A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

inference even in large samples. Common estimation strategies in high dimensions or with tight restrictions can prove to be … estimation and identification of vector autoregressions to achieve sharper inference. First, we provide conditions when imposing …

Crisis, the COVID-19 pandemic and the Ukrainian War. Using the most recent developments in local Gaussian partial correlation …

strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the … financialisation process of oil prices explaining most of the strengthening of this correlation. …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of …We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis periods … in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co …

A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating … extreme subsamples for comparing market relationships in the construction of contagion tests. Our original approach is useful …