While energy risk is increasingly recognized as a new systemic risk, there is limited comprehensive analysis of the risk propagation in regional context. In this paper, we examine oil and natural gas price changes in relation to equity market returns for 24 countries in the European Economic...

This study investigates the relationship between crude oil price and petrol price, as well as their behavior using daily U.S. price series in the period from January 11, 1988 to May 20, 2011. We find that uni-variate GARCH (1,1) is likely the most suitable model to measure the volatility of...

This study tests the theory that currency crises are associated with sudden large changes in the structure of foreign exchange market volatility. Due to increases in market uncertainty, crisis periods exhibit abnormally high levels of volatility. By studying short-term changes in volatility...