In this paper, multivariate GARCH models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies. Four different multivariate GARCH models (BEKK, diagonal, constant conditional...

Increased financial integration between countries and the financialization of commodity markets are providing investors with new ways to diversify their investment portfolios. This paper uses VARMA-AGARCH and DCC-AGARCH models to model volatilities and conditional correlations between emerging...

This paper explores the effect of oil price fluctuations on the stock returns of U.S. oil firms using a strategy of identification through heteroskedasticity exploiting the 2020 oil crash. Results are twofold. First, we find that a decline in oil prices statistically significantly reduces stock...