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Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
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The asymmetric effects of oil price shocks on the U.S. stock market
Rahman, Sajjadur - In: Energy economics 105 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013201580
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Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate
Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-min - In: Energy economics 48 (2015), pp. 46-60
Persistent link: https://www.econbiz.de/10011533698
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Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework : the financial and economic role of structural breaks
Block, Alexander Souza; Righi, Marcelo Brutti; … - In: Energy economics 49 (2015), pp. 23-32
Persistent link: https://www.econbiz.de/10011536627
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Analyzing volatility spillovers and hedging between oil and stock markets : evidence from wavelet analysis
Khalfaoui, R.; Boutahar, Mohamed; Boubaker, H. - In: Energy economics 49 (2015), pp. 540-549
Persistent link: https://www.econbiz.de/10011537181
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Equity market implied volatility and energy prices : a double threshold GARCH approach
Cochran, Steven J.; Mansur, Iqbal; Odusami, Babatunde … - In: Energy economics 50 (2015), pp. 264-272
Persistent link: https://www.econbiz.de/10011564071
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Extreme risk spillovers between crude oil and stock markets
Du, Limin; He, Yanan - In: Energy economics 51 (2015), pp. 455-465
Persistent link: https://www.econbiz.de/10011564907
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Revisiting value-at-risk and expected shortfall in oil markets under structural breaks : the role of fat-tailed distributions
Patra, Saswat - In: Energy economics 101 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013161743
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Volatility spillovers and hedging effectiveness between oil and stock markets : evidence from a wavelet-based and structural breaks analysis
Belhassine, Olfa; Karamti, Chiraz - In: Energy economics 102 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013162440
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Systemic risk spillovers between crude oil and stock index returns of G7 economies : conditional value-at-risk and marginal expected shortfall approaches
Tiwari, Aviral Kumar; Trabelsi, Nader; Alqahtani, Faisal; … - In: Energy economics 86 (2020), pp. 1-27
Persistent link: https://www.econbiz.de/10012512191