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A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Urom, Christian; Chevallier, Julien; Zhu, Bangzhu - In: Energy economics 85 (2020), pp. 1-45
Persistent link: https://www.econbiz.de/10012510103
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Higher moment risk premiums for the crude oil market : a downside and upside conditional decomposition
Fonseca, José da; Xu, Yahua - In: Energy economics 67 (2017), pp. 410-422
Persistent link: https://www.econbiz.de/10011897942
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Oil volatility risk and stock market volatility predictability : evidence from G7 countries
Feng, Jiabao; Wang, Yudong; Yin, Libo - In: Energy economics 68 (2017), pp. 240-254
Persistent link: https://www.econbiz.de/10011905699
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Liquidity, surprise volume and return premia in the oil market
Batten, Jonathan A.; Kinateder, Harald; Szilágyi, Péter G. - In: Energy economics 77 (2019), pp. 93-104
Persistent link: https://www.econbiz.de/10012306351
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Oil beta uncertainty and global stock returns
Chen, Chun-Da; Demirer, Rıza - In: Energy economics 112 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013350430
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The effects of crude oil shocks on stock market shifts behaviour : a regime switching approach
Aloui, Chaker; Jammazi, Rania - In: Energy economics 31 (2009) 5, pp. 789-799
Persistent link: https://www.econbiz.de/10003880310
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Realized volatility transmission between crude oil and equity futures markets : a multivariate HAR approach
Souček, Michael; Todorova, Neda - In: Energy economics 40 (2013), pp. 586-597
Persistent link: https://www.econbiz.de/10010354962
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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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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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The causal nexus between oil prices and equity market in the US : a regime switching model
Balcilar, Mehmet; Ozdemir, Zeynel Abidin - In: Energy economics 39 (2013), pp. 271-282
Persistent link: https://www.econbiz.de/10010234879