Dataset for petroleum based stock markets and GAUSS codes for SAMEM

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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Bibliographic Details
Main Authors: Ahmed A.A. Khalifa, Pietro Bertuccelli, Edoardo Otranto
Format: Article
Language:English
Published: Elsevier 2017-02-01
Series:Data in Brief
Subjects:
GAUSS codes
Petroleum based stock markets
Volatility
SAMEM
Resources economics
Online Access:http://www.sciencedirect.com/science/article/pii/S2352340916306588
Description
Summary: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.
ISSN:2352-3409

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