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Oil and non-energy commodity markets : an empirical analysis of volatility spillovers and hedging effectiveness

Dutta, Anupam; Noor, Md Hasib - In: Cogent economics & finance 5 (2017) 1, pp. 1-15

Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal this gap by investigating the volatility cross effects...

Persistent link: https://www.econbiz.de/10011881040

In search of time-varying jumps during the turmoil periods : evidence from crude oil futures markets

Dutta, Anupam; Soytaş, Uǧur; Das, Debojyoti; … - In: Energy economics 114 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013477590

Does Bitcoin hedge crude oil implied volatility and structural shocks? : a comparison with gold, commodity and the US Dollar

Das, Debojyoti; Le Roux, Corlise L.; Jana, R. K.; … - In: Finance research letters 36 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012483345

Financial stress and crude oil implied volatility : new evidence from continuous wavelet transformation framework

Das, Debojyoti; Maitra, Debasish; Dutta, Anupam; Basu, … - In: Energy economics 115 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013541818