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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

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

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Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets : evidence from the United States

Tian, Shuairu; Hamori, Shigeyuki - In: The North American journal of economics and finance : a … 38 (2016), pp. 163-171

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Volatility spillovers among oil and stock markets in the US and Saudi Arabia

Finta, Marinela Adriana; Frijns, Bart; Tiurani-Rad, Alireza - In: Applied economics 51 (2019) 4, pp. 329-345

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A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets

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Volatility transmission between oil prices and banks' stock prices as a new source of instability : lessons from the United States experience

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The relationship between oil and financial markets in emerging economies : the significant role of Kazakhstan as the oil exporting country

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Volatile agricultural markets, how much is oil to blame?

Saucedo, Lucio Alberto - 2016

average and spot measures of the magnitude and direction of volatility spillovers. Our methodology is based on forecast error … variance decompositions of VAR and VARMA systems of parametric and non-parametric volatility measure... …

Persistent link: https://www.econbiz.de/10012314338

Does the volatility spillover effect matter in oil price volatility predictability? : evidence from high-frequency data

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Fat tails and network interlinkages of crude oil and cryptocurrency during the COVID-19 health crisis

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