Chatziantoniou, Ioannis; Floros, Christos; Gabauer, David - 2021
We investigate volatility contagion across G7 stock markets and the market for crude oil for the period between 2007 … sample period. Prominent among our results is that the crude oil market is an important net transmitter of volatility shocks … for crude oil. Finally, we show that the Canadian stock market is a persistent net transmitter of volatility in recent …