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On volatility transmission from crude oil to agricultural commodities

Kumar, Dilip - In: Theoretical economics letters 7 (2017) 2, pp. 87-101

Persistent link: https://www.econbiz.de/10011660209

Time-frequency correlation and risk spillovers between Euramerican mature and Asian emerging crude oil futures markets

Hong, Shuifeng; Luo, Yimin; Li, Mengya; Yang, Duoping - In: The journal of risk finance : JRF 25 (2024) 2, pp. 321-336

Persistent link: https://www.econbiz.de/10014504706

Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns

Tansuchat, Roengchai - 2010

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

Persistent link: https://www.econbiz.de/10013149274

Trading around the clock : revisit volatility spillover between crude oil and equity markets in different trading sessions

Hao, Jing; He, Feng; Ma, Feng; Fu, Tong - In: The journal of futures markets 43 (2023) 6, pp. 771-791

Persistent link: https://www.econbiz.de/10014293226

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

Frequency dynamics of volatility spillovers among crude oil and international stock markets : the role of the interest rate

Wang, Xunxiao - In: Energy economics 91 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012518567

Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models

Yu, Lean; Zha, Rui; Stafylas, Dimitrios; He, Kaijian; … - In: International review of financial analysis 68 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012301075

Volatility regimes, asymmetric basis effects and forecasting performance : an empirical investigation of the WTI crude oil futures market

Chang, Kuang-liang - In: Energy economics 34 (2012) 1, pp. 294-306

Persistent link: https://www.econbiz.de/10009618842

Forecasting crude oil market volatility : a Markov switching multifractal volatility approach

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: International journal of forecasting 32 (2016) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011596312

The role of speculation in oil markets : what have we learned so far?

Fattouh, Bassam; Kilian, Lutz; Mahadeva, Lavan - In: The energy journal 34 (2013) 3, pp. 7-33

Persistent link: https://www.econbiz.de/10009771896

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