We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

base our empirical study on four pairs of prices, namely Germany-France, Germany-Netherlands, Netherlands-Belgium and … Germany-Western Denmark. We find that the marginal dynamics are better described by the flexible skew t distribution than the …