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Structural sources of oil market volatility and correlation dynamics

Harrison, Andre; Liu, Xiaochun; Stewart, Shamar L. - In: Energy economics 121 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014438691

Volatility spillovers across the spot and futures oil markets after news announcements

Apostolakis, George N.; Floros, Christos; Gillas, … - In: The North American journal of economics and finance : a … 69 (2024) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014445527

Ripples on financial networks

Kumar, Sudarshan; Bansal, Avijit; Chakrabarti, Anindya S. - In: The European journal of finance 28 (2022) 13/15, pp. 1302-1323

Persistent link: https://www.econbiz.de/10013532199

Dynamic responses of energy prices to oil price shocks

Miller, Tom W. - In: Managerial finance 49 (2023) 2, pp. 357-377

Persistent link: https://www.econbiz.de/10013503874

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - In: Energy economics 136 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015046875

Forecasting stock volatility using time-distance weighting fundamental’s shocks

Mei, Xueting; Wang, Xinyu - In: Finance research letters 65 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014564298

Are exchange rates absorbers of global oil shocks? : a generalized structural analysis

Schwartz, Andrew; Liu, Xiaochun; Stewart, Shamar L. - In: Journal of international money and finance 146 (2024), pp. 1-46

Persistent link: https://www.econbiz.de/10015076032

International transmission of shocks and African forex markets

Bossman, Ahmed; Gubareva, Mariya; Teplova, Tamara - In: Energy economics 131 (2024), pp. 1-18

heterogeneously depends on oil and GPR innovations. We also provide empirical evidence that return and volatility shock transmission … African forex markets. To gauge the dynamics of shock transmission, we employ the TVP-VAR connectedness model using daily data … spanning over the period 2000-2023. We show that shock transmission between oil-exporting and oil-importing countries …

Persistent link: https://www.econbiz.de/10015046270

Volatility estimation for cryptocurrencies using Markov-switching GARCH models

Silva, Paulo Vitor Jordão da Gama; Klotzle, Marcelo Cabus - In: International Journal of Financial Markets and … 7 (2019) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10012253524

Cryptocurrencies, Fiat money or gold standard : an empirical evidence from volatility structure analysis using news impact curve

Anwar Hasan Abdullah Othman; Syed Musa Alhabshi; Bin … - In: International journal of monetary economics and finance 12 (2019) 2, pp. 75-97

Persistent link: https://www.econbiz.de/10012115820