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How do crude oil prices co-move? · Study

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ArticleHow do crude oil prices co-move?

Juan C. Reboredo2011

Article2011

How do crude oil prices co-move?

Juan C. Reboredo

259 citations·0/0 files stored·Energy Economics

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Market Dynamics and Volatility Economics of Agriculture and Food Markets Financial Risk and Volatility Modeling

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1999An Introduction to Copulas 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2001Extreme Correlation of International Equity Markets 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2004Copula Methods in Finance 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2002Asymmetric correlations of equity portfolios

Cited by

2013A wavelet decomposition approach to crude oil price and exchange rate dependence 2013A time-varying copula approach to oil and stock market dependence: The case of transition economies 2018The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach 2013Oil and US dollar exchange rate dependence: A detrended cross-correlation approach 2013Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns 2015

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Year2011

Typearticle

Published2011-04-19

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations259

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.eneco.2011.04.006

openalex_workW1550926239

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Quantile dependence of oil price movements and stock returns

2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method

2020Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach