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Cross-asset time-series momentum : crude oil volatility and global stock markets

Fernandez-Perez, Adrian; Indriawan, Ivan; Tse, Yiuman; … - In: Journal of banking & finance 154 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014492117

Oil price uncertainty and Chinese stock returns : new evidence from the oil volatility index

Luo, Xingguo; Qin, Shihua - In: Finance research letters 20 (2017), pp. 29-34

Persistent link: https://www.econbiz.de/10011806739

Modeling and forecasting oil price risk : the role of implied volatility index

Dutta, Anupam - In: Journal of economic studies 44 (2017) 6, pp. 1003-1016

Persistent link: https://www.econbiz.de/10011961008

Dynamic return-volatility dependence and risk measure of CoVaR in the oil market : a time-varying mixed copula model

Liu, Bing-Yue; Ji, Qiang; Fan, Ying - In: Energy economics 68 (2017), pp. 53-65

Persistent link: https://www.econbiz.de/10011904999

Total factor productivity growth and oil price volatility

Balashova, Svetlana P. - In: International journal of trade and global markets 14 (2021) 6, pp. 548-558

Persistent link: https://www.econbiz.de/10012693584

Return and volatility linkages between Bitcoin, gold price, and oil price : evidence from diagonal BEKK-GARCH model

Surachai Chancharat; Julaluk Butda - 2022

Persistent link: https://www.econbiz.de/10013197429

Dynamic spillovers between crude oil price and gold price : empirical evidence

Tripathy, Nalini Prava; Mishra, Shekhar - In: International journal of business and economics 22 (2023) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10014383601

How is volatility in commodity markets linked to oil price shocks?

Ahmadi, Maryam; Behmiri, Niaz Bashiri; Manera, Matteo - 2015

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

Persistent link: https://www.econbiz.de/10011438674

Analysing oil price- macroeconomic volatility in Nigeria

Abdulkareem, Alhassan; Abdulhakeem, Kilishi A. - In: CBN journal of applied statistics 7 (2016) 1, pp. 1-22

This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the … GARCH - M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is … vulnerable to both internal shocks (interest rate volatility, real GDP volatility) and external shocks (exchange rate volatility …

Persistent link: https://www.econbiz.de/10011460195

The nexus between stock returns of oil companies and oil price fluctuations after heavy oil upgrading : toward theoretical progress

Sedigh, Mojtaba; Mohammadi, Majid; Farahani Fard, Saeed; … - In: Economies : open access journal 7 (2019) 3/71, pp. 1-17

This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....

Persistent link: https://www.econbiz.de/10012029331