Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
DOI: 10.1016/j.eneco.2019.01.014
Abstract: The relationship between oil and stock markets is a hot topic, but little research has focused on the time-varying asymmetric volatility spillover in a quantitative manner. In this study, we use a new spillover directional… read more here.
Keywords: stock markets; asymmetric volatility; oil stock; volatility ... See more keywords
The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications
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DOI: 10.1016/j.eneco.2020.105061
Abstract: Abstract This study examines the direction and extent of asymmetric volatility connectedness between the oil and commodity markets, using five-minute interval data from the oil, natural gas, and 21 commodity futures markets. We also analyze… read more here.
Keywords: volatility; good bad; asymmetric volatility; volatility connectedness ... See more keywords
Asymmetric volatility and conditional expected returns
Sign Up to like & getrecommendations! Published in 2017 at "International Journal of Emerging Markets"
DOI: 10.1108/ijoem-12-2015-0255
Abstract: Purpose The risk-return relationship is one of the most widely investigated topics in finance, yet this relationship remains one of the most controversial topics. The purpose of this paper is to investigate the asymmetric volatility… read more here.
Keywords: return tradeoff; risk; asymmetric volatility; risk return ... See more keywords