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.
Dataset for Petroleum Based Stock Markets and GAUSS Codes for SAMEM / Khalifa, ; Bertuccelli, Pietro; Otranto, Edoardo. - In: DATA IN BRIEF. - ISSN 2352-3409. - 10:(2017), pp. 421-425. [10.1016/j.dib.2016.10.031]
Dataset for Petroleum Based Stock Markets and GAUSS Codes for SAMEM
OTRANTO, Edoardo
2017
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
