The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three … measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply …-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks …

price volatility on labour market in Greece, using static and dynamic quantile connectedness methodology (Diebold and Yilmaz … quantile VAR to capture the volatility spillovers across the whole conditional distribution shows a large variation of the …

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil … be quite low using the CCC model, while the VARMA-GARCH and VARMA-AGARCH models suggest no significant volatility …

investigate how oil price volatility behaves when the index unexpectedly changes. I find that unexpected increases in the … newspaper index are strongly associated with higher levels of oil price volatility, both realized and implied. In some cases …, interest levels and price volatility appear to be driven by the OPEC event itself, such as the Iraq invasion of Kuwait. In …

We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a … oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply …