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Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020

We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...

Persistent link: https://www.econbiz.de/10012226706

Energy contagion in the COVID-19 crisis

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020

Persistent link: https://www.econbiz.de/10012317566

The transmission of international stock market volatilities

Budd, Bruce Q. - In: Journal of economics and finance 42 (2018) 1, pp. 155-173

Persistent link: https://www.econbiz.de/10011978148

Correlations in price changes and volatility across international stock markets

Hamao, Yasushi; Masulis, Ronald W.; Ng, Victor - 1989

Persistent link: https://www.econbiz.de/10000133035

Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets

Palanska, Tereza - 2018

We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on …-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to … global financial crisis of 2008. Our empirical analysis reveals that on average, the volatility shocks related to other …

Persistent link: https://www.econbiz.de/10011914776

Volatility linkages and co-movements between international stocks and the sukuk market

Dreassi, Alberto; Miani, Stefano; Paltrinieri, Andrea; … - In: Bank funding, financial instruments and decision-making …, (pp. 31-61). 2016

Persistent link: https://www.econbiz.de/10011619504

Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis

Beirne, John; Caporale, Guglielmo Maria; … - 2009

, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results … dominating in Asia, and regional spillovers in Latin America and the Middle East. -- volatility spillovers ; contagion ; stock …

Persistent link: https://www.econbiz.de/10003887350

Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis

Beirne, John; Caporale, Guglielmo Maria; … - In: Emerging markets review 11 (2010) 3, pp. 250-260

Persistent link: https://www.econbiz.de/10009301650

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

Persistent link: https://www.econbiz.de/10003965868

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, M. Hashem - 2010

Persistent link: https://www.econbiz.de/10003981032