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Asymmetric volatility spillovers between crude oil and international financial markets

Wang, Xunxiao; Wu, Chongfeng - In: Energy economics 74 (2018), pp. 592-604

Persistent link: https://www.econbiz.de/10011972941

Modelling conditional correlations for risk diversification in crude oil markets

Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009

Persistent link: https://www.econbiz.de/10003877105

Forecasting volatility and spillovers in crude oil spot, forward and futures markets

Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009

Persistent link: https://www.econbiz.de/10003877109

Changes in Volatility Leverage and Spillover Effects of Crude Oil Futures Markets Affected by the 2022 Russia-Ukraine Conflict

Pan, Qunxing; Sun, Yujia - 2023

We investigate the changes in volatility leverage and spillover effects of three crude oil futures markets—WTI, Brent … and Brent markets, slightly increases and stabilizes the dynamic conditional correlation, and diminishes the volatility …

Persistent link: https://www.econbiz.de/10014353169

Dynamic spillovers across precious metals and oil realized volatilities : evidence from quantile extended joint connectedness measures

Cuñado Eizaguirre, Juncal; Chatziantoniou, Ioannis; … - In: Journal of commodity markets 30 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014426696

Is there an intraday volatility spillover between exchange rate, gold and crude oil?

Shakeel, Moonis; Rabbani, Mustafa Raza; Hawaldar, Iqbal … - In: Journal of open innovation : technology, market, and … 9 (2023) 3, pp. 1-10

The study examines the intraday volatility spillover between the exchange rate, gold, and crude oil using the Dynamic … volatility is a crucial component of the market for commodities derivatives and can influence transaction profitability, hedging … efficiency, and overall market risk. Market participants need to keep an eye on volatility and modify their plans accordingly …

Persistent link: https://www.econbiz.de/10014502887

Volatility transmissions across international oil market, commodity futures and stock markets : empirical evidence from China

Ahmed, Abdullahi Dahir; Huo, Rui - In: Energy economics 93 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012631345

Risk spillovers and hedge strategies between global crude oil markets and stock markets : do regime switching processes combining long memory and asymmetry matter?

Lin, Ling; Zhou, Zhongbao; Jiang, Yong; Ou, Yangchen - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012822126

Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method

Gong, Xu; Liu, Yun; Wang, Xiong - In: International review of financial analysis 76 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012804753

Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs

Chang, Chia-Lin - 2018

The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded … energy and crude oil ETFs are from 18 June 2008 to 20 March 2017. From the underlying stochastic process of a vector random … coefficient autoregressive (VRCAR) process for the shocks of returns, we derive Latent Volatility Granger causality from the …

Persistent link: https://www.econbiz.de/10012918304