This paper employs a bivariate BEKK-GARCH(1,1) model to examine shock and volatility spillovers between crude oil and … equity sector returns. In the market level, there are unilateral spillovers of shock and volatility from oil price to stock … market return. The findings in this paper are crucial for financial market participation to understand shock and volatility …

market volatility. We construct from daily data on return and volatility the covariance of return and volatility at monthly … frequency. The measures of daily volatility are realized-volatility at high frequency (normalized squared return), conditional-volatility … recovered from a stochastic volatility model, and implied-volatility deduced from options prices. Positive shocks to aggregate …

dollar, an important oil trade partner of the U.S., to natural gas returns and its volatility, but not to oil return … volatility.Both the upstream and downstream segments present asymmetric changes regarding oil return changes. Stock returns of …