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Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
In: CIRJE F-Series.
RePEc:tky:fseres:2010cf718.

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  3. Measuring the response of clean energy stock price volatility to extreme shocks. (2023). Luo, Keyu ; Peng, Lijuan ; Wang, LU ; Zhang, LI.
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  4. Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective. (2023). Maghyereh, Aktham ; Cui, Jinxin.
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  5. The Time-Varying Connectedness Between China’s Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis. (2022). Qiao, Hui ; Fu, Jiasha.
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  8. Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19. (2022). Xie, Qiwei ; Yao, Yanzhen ; Liu, Ranran.
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  16. Windowed volatility spillover effects among crude oil prices. (2020). Liu, Siyao ; Sun, Qingru ; An, Feng ; Gao, Xiangyun.
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  17. 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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  19. Analyzing time-varying volatility spillovers between the crude oil markets using a new method. (2020). Gong, XU ; Liu, Tangyong.
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  20. Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya.
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  21. 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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  22. Correlations and volatility spillovers between oil, natural gas, and stock prices in India. (2019). Tiwari, Aviral ; Pradhan, Ashis ; Kumar, Satish ; Kang, Sang Hoon.
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  23. Association between the energy and emission prices: An analysis of EU emission trading system. (2019). Nasir, Muhammad ; Soliman, Alaa M.
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  24. Characteristics of petroleum product prices: A survey. (2019). Linn, Scott ; Ederington, Louis H ; Lee, Thomas K ; Hoelscher, Seth A ; Fernando, Chitru S.
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  25. Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks. (2019). Wang, Yudong ; Meng, Fanyi ; Geng, Qianjie.
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  28. Crude oil price shocks and hedging performance: A comparison of volatility models. (2019). Cho, Hoon ; Chun, Dohyun ; Kim, Jihun.
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  29. Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States. (2019). Ma, Feng ; Xu, Weiju ; Zhang, Bing ; Chen, Wang.
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  31. Total, asymmetric and frequency connectedness between oil and forex markets. (2019). Kocenda, Evzen ; Baruník, Jozef ; Kovcenda, Evvzen.
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  34. RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan. (2018). Zhang, Zhaoyong ; Qin, Fengming.
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  35. Is stock market volatility asymmetric? A multi-period analysis for five countries. (2018). Bentes, Sonia R.
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  36. Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting .
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  53. Evolution of the world crude oil market integration: A graph theory analysis. (2016). Ji, Qiang ; Fan, Ying.
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  76. Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach. (2012). Xiang, Guocheng ; Lai, Kinkeung ; He, Kaijian.
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  77. Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?. (2012). Wang, Yudong ; Wu, Chongfeng.
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  78. A characterization of oil price behavior — Evidence from jump models. (2012). Gronwald, Marc.
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  79. Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies. (2012). Sadorsky, Perry.
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  12. Hammoudeh, S., Y. Yuan and M. McAleer, 2009, Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets. Quarterly Review of Economics and Finance 49, 829-842.

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  46. Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate. (1996). Barkoulas, John ; Baum, Christopher ; Onochie, Joseph .
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  49. Stochastic Volatility. (1995). Renault, Eric ; Harvey, Andrew ; Ghysels, Eric.
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  50. On Periodic Autogressive Conditional Heteroskedasticity. (1994). Ghysels, Eric ; Bollerslev, Tim.
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