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 … (2006) provides evidence of risk transfer from energy markets to financial markets before the crisis, but from financial … markets to energy markets after the crisis. In contrast, the Toda-Yamamoto Granger causality test indicates causality from oil …