This study documents the return and volatility spillover effect between the stock prices of Chinese new energy and fossil fuel companies using the asymmetric BEKK model. Based on daily samples taken from August 30, 2006 to September 11, 2012, the dynamics of new energy/fossil fuel stock...

In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial crisis. Using the WTI oil spot price, the S&P500 index, the Shanghai stock market composite index and the Shenzhen stock market component...

This paper extends the work of Kang et al. (2009). We use a greater number of linear and nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) class models to capture the volatility features of two crude oil markets -- Brent and West Texas Intermediate (WTI). The one-,...