Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4765253 | Data in Brief | 2017 | 5 Pages |
Abstract
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, Bahrain and Oman, using daily data over the period spanning Oct. 18, 2006-July 30, 2015. Additionally, we have included unique GAUSS codes for estimating the spillover asymmetric multiplicative error model (SAMEM) with application to Petroleum-Based Stock Market. The data, the model and the codes have many applications in business and social science.
Keywords
Related Topics
Physical Sciences and Engineering
Chemical Engineering
Chemical Engineering (General)
Authors
Ahmed A.A. Khalifa, Pietro Bertuccelli, Edoardo Otranto,