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

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.

SUBMITTER: Khalifa AA 

PROVIDER: S-EPMC5192250 | biostudies-literature | 2017 Feb

REPOSITORIES: biostudies-literature

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

Khalifa Ahmed A A AA   Bertuccelli Pietro P   Otranto Edoardo E  

Data in brief 20161130

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 mo  ...[more]

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