title: 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.
authors.affiliation: College of Business and Economics, Qatar University, Doha, Qatar.
authors.forename: Ahmed A A
authors.initials: AA
authors.lastname: Khalifa
authors.affiliation: Università degli Studi di Messina, Italy.
authors.forename: Pietro
authors.initials: P
authors.lastname: Bertuccelli
authors.affiliation: University of Messina, Italy.
authors.forename: Edoardo
authors.initials: E
authors.lastname: Otranto
keywords: GAUSS codes; Petroleum based stock markets; Resources economics; SAMEM; Volatility