Degiannakis, Stavros; Filis, George; Kizys, Renatas - 2022
The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three … measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply …-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks …