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Time-varying partial-directed coherence approach to forecast global energy prices with stochastic volatility model

Dhifaoui, Zouhaier; Jabeur, Sami Ben; Khalfaoui, Rabeh; … - In: Journal of forecasting 42 (2023) 8, pp. 2292-2306

Persistent link: https://www.econbiz.de/10014432894

Is the Global Carbon Market Integrated? Return and Volatility Connectedness in ETS Systems

Lyu, Chenyan; Scholtens, Bert - 2022

weekly return and volatility data, constructed by the daily prices from four markets, covering the period April 2014 …

Persistent link: https://www.econbiz.de/10013405978

CDS and equity markets' volatility linkages : lessons from the EMU crisis

Bratis, Theodoros; Laopodis, Nikiforos; Kouretas, … - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 1259-1281

Persistent link: https://www.econbiz.de/10014291804

Anderson, Kym - 2022

Persistent link: https://www.econbiz.de/10013166307

Global oil price and stock markets in oil exporting and European countries : evidence during the Covid-19 and the Russia-Ukraine war

Olayungbo, David Oluseun; Župarova, A. S.; Al-Faryan, … - In: Research in globalization 8 (2024), pp. 1-14

-Ukraine war period. As regards the volatility spillover, significant spillover is found from stock to oil market for Nigeria, vice … versa for Saudi Arabia and bi-directional volatility spillover found for the US, Italy and Germany during the COVID-19 … respectively while US, Italy and Germany should adopt policy coordination to stabilize oil-stock market volatility during low oil …

Persistent link: https://www.econbiz.de/10015047816