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Volatility spillovers across petroleum markets. (2015). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Baruni, Jozef .
In: William Davidson Institute Working Papers Series.
RePEc:wdi:papers:2015-1093.

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  1. Frequency volatility connectedness and portfolio hedging of U.S. energy commodities. (2024). Moravcova, Michala ; Koenda, Even.
    In: Research in International Business and Finance.
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  2. Bond market spillover networks of ASEAN-4 markets: Is the global pandemic different?. (2024). Uddin, Gazi ; PARK, DONGHYUN ; Yahya, Muhammad ; Tian, Shu ; Hedstrom, Axel.
    In: International Review of Economics & Finance.
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  4. Volatility connectedness on the central European forex markets. (2024). Kočenda, Evžen ; Koenda, Even ; Albrecht, Peter.
    In: International Review of Financial Analysis.
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  5. Detecting the horizontal/vertical price relationship patterns in the global oil industry chain through network analysis. (2024). Ma, Ning ; An, Haizhong ; Li, Huajiao ; Guo, Sui ; Liu, Yanxin ; Sun, Guangzhao ; Feng, Sida.
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  6. Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Mazouz, Khelifa ; Guan, BO.
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  7. Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets. (2023). Kang, Sang Hoon ; Pham, Linh ; Ko, Hee-Un ; Hanif, Waqas.
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  8. Volatilidad dinamica en el sector bancario en Mexico: evidencia DCC-GARCH vs Copula-GARCH. (2023). Reyes-Zarate, Francisco ; Sosa-Castro, Miriam ; Bucio-Pacheco, Christian.
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  9. Volatility spillover between oil and stock prices: Structural connectedness based on a multi-sector DSGE model approach with Bayesian estimation. (2023). Qiao, Hui ; Chan, Ying Tung.
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  11. The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Bastianin, Andrea ; Casoli, Chiara.
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  12. Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications. (2023). Soo-Wah, Low ; Hoque, Mohammad Enamul ; Billah, Mabruk.
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  13. Herd and causality dynamics between energy commodities and ethical investment: Evidence from the different phases of the COVID-19 pandemic. (2023). Fromentin, Vincent ; Mohamad, Azhar.
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  14. Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets. (2023). Uddin, Gazi ; Yahya, Muhammad ; Okhrin, Yarema.
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  15. Price risk transmissions in the water-energy-food nexus: Impacts of climate risks and portfolio implications. (2023). Do, Hung X ; Pham, Linh ; Le, Trung H.
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  16. Volatility Connectedness on the Central European Forex Markets. (2023). Kočenda, Evžen ; Albrecht, Peter ; Kocenda, Even ; Koenda, Even.
    In: CESifo Working Paper Series.
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  17. Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng.
    In: Cardiff Economics Working Papers.
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  18. The uncertainty spillovers of Chinas economic policy: Evidence from time and frequency domains. (2022). Gong, XU ; Liu, Tangyong ; Tang, Lizhi.
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  19. Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets. (2022). Manzli, Yasmine Snene ; Frikha, Wajdi ; Ghorbel, Achraf.
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  20. Extreme return spillovers and connectedness between crude oil and precious metals futures markets: Implications for portfolio management. (2022). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid ; Alomari, Mohammad.
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  21. Asymmetric risk transmissions between oil, gold and US equities: Recent evidence from the realized variance of the futures prices. (2022). Maghyereh, Aktham ; Virk, Nader S ; Awartani, Basel.
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  22. The connectedness in the world petroleum futures markets using a Quantile VAR approach. (2022). Hammoudeh, Shawkat ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar ; Jena, Sangram Keshari.
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  23. Long-memory and volatility spillovers across petroleum futures. (2022). Perez-Laborda, Alejandro ; Lovcha, Yuliya.
    In: Energy.
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  24. Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments. (2022). Maghyereh, Aktham ; Zou, Huiwen ; Goh, Mark ; Cui, Jinxin.
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  26. Macroeconomic responses of emerging market economies to oil price shocks: An analysis by region and resource profile. (2022). Koenda, Even ; Togonidze, Sophio.
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  27. Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets. (2021). Gulzar, Saiqb ; Qarni, Muhammad Owais.
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  28. Dynamic frequency relationships and volatility spillovers in natural gas, crude oil, gas oil, gasoline, and heating oil markets: Implications for portfolio management. (2021). Vo, Xuan Vinh ; Ur, Mobeen ; Mensi, Walid.
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  29. Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method. (2021). Liu, Yun ; Gong, XU ; Wang, Xiong.
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  30. Returns and volatilities of energy futures markets: Roles of speculative and hedging sentiments. (2021). , Bowei ; Chen, Rongda ; Liu, Jia ; Jin, Chenglu ; Wei, BO.
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  31. Oil price shocks and the return and volatility spillover between industrial and precious metals. (2021). Escribano, Ana ; Jareo, Francisco ; Umar, Zaghum.
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  32. COVID-19 and asymmetric volatility spillovers across global stock markets. (2021). Li, Wenqi.
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  33. Volatility spillovers between food and fuel markets: Do administrative regulations affect the transmission?. (2021). Rude, James ; Qiu, Feng ; An, Henry.
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  35. Intra-EMU and non-EMU, EU stock markets’ return spillover: evidence from ESDC. (2020). Gulzar, Saqib ; Qarni, Muhammad Owais.
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  37. Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung Xuan.
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  38. Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate. (2020). Wang, Xunxiao.
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  39. Volatility spillovers in Australian electricity markets. (2020). Trueck, Stefan ; Truck, Stefan ; Kordzakhia, Nino ; Han, Lin.
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  42. Spillover effects in oil-related CDS markets during and after the sub-prime crisis. (2020). Ozdemir, Zeynel ; Balcilar, Mehmet ; Wohar, Mark E.
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  45. Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung.
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  47. Dynamic asymmetric spillovers and volatility interdependence on China’s stock market. (2019). Qu, Fang ; Li, Wenqi ; Chen, Yufeng.
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  59. Oil price shocks and volatility spillovers in the Nigerian sovereign bond market. (2017). Onipede, Samuel F ; Ndako, Umar B ; Tule, Moses K.
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  61. Oil price shocks and volatility spillovers in the Nigerian sovereign bond market. (2017). tule, moses ; Ndako, Umar ; Onipede, Samuel F.
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  62. Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef.
    In: Journal of International Money and Finance.
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  63. Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest. (2017). Tsouknidis, Dimitris ; Magkonis, Georgios.
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  64. Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis. (2017). Andriosopoulos, Kostas ; Spyrou, Spyros ; Galariotis, Emilios.
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  65. Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?. (2017). Baruník, Jozef ; Apergis, Nicholas ; Keung, Marco Chi.
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  66. Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef ; Kehlik, Toma.
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  67. Networks of volatility spillovers among stock markets. (2016). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard.
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  68. Stock and currency market linkages: New evidence from realized spillovers in higher moments. (2016). Wu, Eliza ; Do, Hung Xuan ; Treepongkaruna, Sirimon ; Brooks, Robert.
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  69. Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Barunik, Jozef ; Koenda, Even.
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  50. Long Memory and Regime Switching. (2000). Inoue, Atsushi ; Diebold, Francis.
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