Dataset for petroleum based stock markets and GAUSS codes for SAMEM

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 3...

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Detalles Bibliográficos
Autores principales: Khalifa, Ahmed A.A., Bertuccelli, Pietro, Otranto, Edoardo
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2016
Materias:
Data Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5192250/
https://www.ncbi.nlm.nih.gov/pubmed/28050584
http://dx.doi.org/10.1016/j.dib.2016.10.031
Descripción
Sumario: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.

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