Nazlioglu, Saban; Soytas, Ugur; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
This paper examines whether a volatility/risk transmission exists between world energy and the US financial markets …. It also explores causal dynamics and derives the impulse response functions for the volatility and the level shocks. The … volatility structure (the GARCH model estimations) of oil prices and financial stress index works against each other; but both …