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Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets

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Market efficiency and its determinants : macro-level dynamics and micro-level characteristics of cryptocurrencies

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Investigating Volatility Spillover of Energy Commodities in the Context of the Chinese and European Stock Markets

Yadav, Miklesh Prasad; Sharif, Taimur; Ashok, Shruti; … - 2022

This paper adopts a novel approach of employing Granger causality test, dynamic conditional correlation (DCC), Diebold-Yilmaz (2012) and Barunik-Krehlic (2018) models to investigate the spillover of energy commodities in the Shanghai stock exchange and the Euronext for the December 16, 2010 -...

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