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Shocks and Herding Contagion in the Oil and Stock Markets

Ghorbel, Achraf - 2014

This paper presents empirical evidence of herding contagion between oil market and stock markets, during the oil shock and the US financial crisis period of 2008-2009, after controlling fundamentals-driven comovements. We estimate the forecasting errors of time-varying parameters using the...

Persistent link: https://www.econbiz.de/10013053080

Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?

Wang, Lu; Ma, Feng; Hao, Jianyang; Gao, Xinxin - In: International review of financial analysis 76 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012804675

Volatility spillovers and hedging effectiveness between the oil market and Eurozone sectors : a tale of two crises

Belhassine, Olfa - In: Research in international business and finance 53 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012548919

The risk-return relationship in crude oil markets during COVID-19 pandemic : evidence from time-varying coefficient GARCH-in-Mean model

Napon Hongsakulvasu; Asama Liammukda - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 10, pp. 63-71

Persistent link: https://www.econbiz.de/10012671349

Forecasting volatility in the petroleum futures markets : a re-examination and extension

Hasanov, Akram Shavkatovich; Shaiban, Mohammed Sharaf; … - In: Energy economics 86 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012511802

Analyzing time-varying volatility spillovers between the crude oil markets using a new method

Liu, Tangyong; Gong, Xu - In: Energy economics 87 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012512419

Forecasting crude oil price volatility via a HM-EGARCH model

Lin, Yu; Yang, Xiaoming; Li, Fuxing - In: Energy economics 87 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012512591

Jumps in the convenience yield of crude oil

Mason, Charles F.; Wilmot, Neil A. - In: Resource and energy economics 60 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012515262

Frequency dynamics of volatility spillovers among crude oil and international stock markets : the role of the interest rate

Wang, Xunxiao - In: Energy economics 91 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012518567

Co-movements and spillovers of oil and renewable firms under extreme conditions : new evidence from negative WTI prices during COVID-19

Corbet, Shaen; Goodell, John W.; Günay, Samet - In: Energy economics 92 (2020), pp. 1-24

Persistent link: https://www.econbiz.de/10012520119

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