New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries
Sign Up to like & getrecommendations! Published in 2018 at "Applied Energy"
DOI: 10.1016/j.apenergy.2018.08.008
Abstract: This paper examines the return transmission, volatility spillovers, dynamic correlations, and financial risks among oil futures and oil and gas sector equity returns of the US, Canada, Australia, and Russia by applying our new vector… read more here.
Keywords: oil futures; oil equities; futures oil; oil ... See more keywords
Analyzing time-varying volatility spillovers between the crude oil markets using a new method
Sign Up to like & getrecommendations! Published in 2020 at "Energy Economics"
DOI: 10.1016/j.eneco.2020.104711
Abstract: Abstract The spillover effect is an important factor affecting the volatility of crude oil price. Basing on the study of Diebold and Yilmaz (2009, 2012, 2014), we propose a new method that calculates the time-varying… read more here.
Keywords: volatility; time varying; new method; crude oil ... See more keywords
Volatility spillovers in Australian electricity markets
Sign Up to like & getrecommendations! Published in 2020 at "Energy Economics"
DOI: 10.1016/j.eneco.2020.104782
Abstract: Electricity markets are significantly more volatile than other comparable financial or commodity markets. This study examines volatility spillover effects across different regions in the Australian National Electricity Market (NEM), aiming at providing a better understanding… read more here.
Keywords: volatility; spillovers australian; market; electricity ... See more keywords
Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate
Sign Up to like & getrecommendations! Published in 2020 at "Energy Economics"
DOI: 10.1016/j.eneco.2020.104900
Abstract: This paper explores the frequency dynamics of volatility spillovers among crude oil and international stock markets using implied volatility indices. I find evidence of volatility spillovers driven mainly by short-term spillovers. Moreover, low interest rate… read more here.
Keywords: volatility; frequency dynamics; interest rate; volatility spillovers ... See more keywords
Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.10.032
Abstract: Abstract This paper investigates the volatility spillover and connectedness among global and regional stock markets and those of Greece, Ireland, Portugal, Spain, and Italy (GIPSI). For this investigation, we perform a static and rolling-window analysis… read more here.
Keywords: volatility; stock markets; dynamic volatility; global regional ... See more keywords
Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102363
Abstract: Abstract This paper investigates volatility spillovers between energy and stock markets during periods of crises. Our main findings reveal that transmissions of volatilities among these markets during the Covid-19 pandemic crisis exceeded the ones recorded… read more here.
Keywords: energy; 2008 global; stock; volatility spillovers ... See more keywords
Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries
Sign Up to like & getrecommendations! Published in 2021 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2021.101457
Abstract: This paper examines the frequency dynamics of volatility spillovers between Brent crude oil and stock markets in the US (S&P500 index), Europe (STOXX600 index), Asia (Dow Jones Asia index) and five vulnerable European Union (EU)… read more here.
Keywords: risk; index; time; oil ... See more keywords
The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises
Sign Up to like & getrecommendations! Published in 2017 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2017.04.003
Abstract: This paper examines return and volatility spillovers between the Turkish stock market with international stock, exchange rate and commodity markets. Our aim is not only to examine spillover behaviour with a large emerging market but… read more here.
Keywords: return volatility; asset; market; behaviour asset ... See more keywords
Volatility spillovers between WTI and Brent spot crude oil prices: an analysis of granger causality in variance patterns over time
Sign Up to like & getrecommendations! Published in 2021 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2021.101385
Abstract: Abstract There has been an increase in price volatility in oil prices during and since the global financial crisis (GFC). This study investigates the Granger causality patterns in volatility spillovers between West Texas International (WTI)… read more here.
Keywords: wti brent; volatility spillovers; volatility; oil prices ... See more keywords
Volatility spillovers and connectedness among credit default swap sector indexes
Sign Up to like & getrecommendations! Published in 2018 at "Applied Economics"
DOI: 10.1080/00036846.2018.1430344
Abstract: ABSTRACT This article studies volatility spill-over effects and market connectedness using daily data of credit default swap spreads for U.S. companies over a period from 2007 to 2012. We quantify volatility spillovers by means of… read more here.
Keywords: volatility; credit default; market; sector ... See more keywords
Dynamic correlations and volatility spillovers between stock price and exchange rate in BRIICS economies: evidence from the COVID-19 outbreak period
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DOI: 10.1080/13504851.2021.1884835
Abstract: This paper examines the impact of COVID-19 pandemic on dynamic correlations and volatility spillovers between stock prices and exchange rates in BRIICS economies. Using volatility modelling, we dem... read more here.
Keywords: spillovers stock; volatility; briics economies; correlations volatility ... See more keywords