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Volatility spillovers and hedging effectiveness between oil and stock markets : evidence from a wavelet-based and structural breaks analysis

Belhassine, Olfa; Karamti, Chiraz - In: Energy economics 102 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013162440

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

Oil prices, stock market returns, and volatility spillovers : evidence from Saudi Arabia

Cevik, Emrah Ismail; Dibooglu, Sel; Abdallah, Atif Awad; … - In: International economics and economic policy 18 (2021) 1, pp. 157-175

Persistent link: https://www.econbiz.de/10012499759

Oil volatility, oil and gas firms and portfolio diversification

Antonakakis, Nikolaos; Cuñado Eizaguirre, Juncal; … - In: Energy economics 70 (2018), pp. 499-515

Persistent link: https://www.econbiz.de/10011942874

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

Ehouman, Yao Axel - In: Economic modelling 91 (2020), pp. 198-217

Persistent link: https://www.econbiz.de/10012429033

Volatility spillovers between the oil market and the European Union carbon emission market

Reboredo, Juan C. - In: Economic Modelling 36 (2014) C, pp. 229-234

This paper examines the dynamics of volatility transmission between EU emission allowances (EUA) and oil markets using a range-based volatility measure. We propose a multivariate conditional autoregressive range model with bivariate lognormal distribution to capture volatility dynamics and...

Persistent link: https://www.econbiz.de/10010729837

Volatility spillovers and macroeconomic announcements evidence from crude oil markets

Belgacem, Aymen; Creti, Anna; Guesmi, Khaled; Lahiani, Amine - Institut de Préparation à l'Administration et à la … - 2014

The paper employs an event study methodology to investigate the macroeconomic announcements effects on S&P500 and oil prices. Our results provide evidence of a significant impact of the US macroeconomic news on oil prices. This impact is split into two components, namely the direct effect...

Persistent link: https://www.econbiz.de/10010754757

Time-frequency causality and connectedness between oil price shocks and the world food prices

Raza, Syed Ali; Guesmi, Khaled; Belaîd, Fateh; Shah, Nida - In: Research in international business and finance 62 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10014247897

Volatility spillovers between WTI and Brent spot crude oil prices : an analysis of granger causality in variance patterns over time

Atukeren, Erdal; Çevik, Emrah İsmail; Korkmaz, Turhan - In: Research in international business and finance 56 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013267899

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

Le Thanh Ha - In: Journal of economic studies 50 (2023) 5, pp. 1087-1104

Persistent link: https://www.econbiz.de/10014311809