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Return transmission and asymmetric volatility spillovers between oil futures and oil equities : new DCC-MEGARCH analyses

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Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)

Zeitlberger, Alexander C. M.; Brauneis, Alexander - In: Central European journal of operations research : CEJOR … 24 (2016) 1, pp. 149-176

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Oil volatility spillover into oil dependent equity-sector stock returns : evidence from major oil producing countries

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Event study of the crude oil futures market : a mixed event response model

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Dynamic spillovers between oil and stock markets : new approaches at spillover index

Lee, Yen-Hsien; Liao, Ting-Huei; Huang, Ya-Ling; Huang, … - In: International journal of financial research 6 (2015) 2, pp. 178-189

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Carbon future price return, oil future price return and stock index future price return in the U.S.

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Conditional correlations and volatility spillovers between crude oil and stock index returns

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: The North American journal of economics and finance : a … 25 (2013), pp. 116-138

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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?

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Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns

Tansuchat, Roengchai - 2010

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

Persistent link: https://www.econbiz.de/10013149274

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