Browsing by Author "Otranto, Edoardo"

Now showing items 1-2 of 2

    • Dataset for petroleum based stock markets and GAUSS codes for SAMEM 

      Khalifa, Ahmed A.A.; Bertuccelli, Pietro; Otranto, Edoardo ( Elsevier Inc. , 2017 , Article)
      This article includes a unique data set of a balanced daily (Monday, Tuesday and Wednesday) for oil and natural gas volatility and the oil rich economies’ stock markets for Saudi Arabia, Qatar, Kuwait, Abu Dhabi, Dubai, ...

    • Volatility transmission across currencies and commodities with US uncertainty measures 

      Khalifa, Ahmed A. A.; Otranto, Edoardo; Hammoudeh, Shawkat; Ramchander, Sanjay ( Elsevier Inc. , 2016 , Article)
      This paper uses the Multi-chain Markov Switching model (MCMS) conditioned on US uncertainty measures (VIX, VIX-oil and FSI) to examine the patterns of volatility transmission across the resource, major and safe haven ...