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Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia; Li, Yuqian; Xu, Qifa; Wu, Jun - In: Journal of risk 24 (2021) 1, pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
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The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets
Szafranek, Karol; Rubaszek, Michał; Uddin, Mohammed … - 2023
Persistent link: https://www.econbiz.de/10014507841
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Oil volatility spillover into oil dependent equity-sector stock returns : evidence from major oil producing countries
Bhuyan, Rafiqul; Robbani, Mohammad; Talukder, Bakhtear - In: Bulletin of applied economics 8 (2022) 1, pp. 149-165
Persistent link: https://www.econbiz.de/10013271050
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The role of China's crude oil futures in world oil futures market and China's financial market
Sun, Chuanwang; Min, Jialin; Sun, Jiacheng; Gong, Xu - In: Energy economics 120 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014284634
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Volatility spillovers between oil and financial markets during economic and financial crises : a dynamic approach
Sánchez-García, Javier; Cruz Rambaud, Salvador - In: Journal of economics and finance : JEF 47 (2023) 4, pp. 1018-1040
Persistent link: https://www.econbiz.de/10014448599
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Financial and oil market's co-movements by a regime-switching copula
Soury, Manel - In: Econometrics : open access journal 12 (2024) 2, pp. 1-19
Over the years, oil prices and financial stock markets have always had a complex relationship. This paper analyzes the interactions and co-movements between the oil market (WTI crude oil) and two major stock markets in Europe and the US (the Euro Stoxx 50 and the SP500) for the period from 1990...
Persistent link: https://www.econbiz.de/10014636410
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How do great shocks influence the correlation between oil and international stock markets?
Zhang, Bing - In: Applied economics 49 (2017) 15, pp. 1513-1526
Persistent link: https://www.econbiz.de/10011813622
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Oil and non-energy commodity markets : an empirical analysis of volatility spillovers and hedging effectiveness
Dutta, Anupam; Noor, Md Hasib - In: Cogent economics & finance 5 (2017) 1, pp. 1-15
markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal … this gap by investigating the volatility cross effects between oil and three different non-energy commodity markets. Using … the bivariate VAR-GARCH models, we do not find any evidence of volatility linkage between oil and agricultural product …
Persistent link: https://www.econbiz.de/10011881040
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A reassessment of oil market volatility and stock market volatility : evidence from selected SAARC countries
Aziz, Tariq - In: Comparative economic research : Central and Eastern Europe 26 (2023) 3, pp. 179-196
Volatility spillover informs whether the information in one market impacts the information in another. This paper … examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from … February 2013 to September 2019 to obtain updated evidence about the transmission of global oil price volatility to the equity …
Persistent link: https://www.econbiz.de/10014428534
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Volatility and the hedging effectiveness of China fuel oil futures
Chen, Wei; Ford, James L. - 2010
Persistent link: https://www.econbiz.de/10009374212