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Spillover effects in energy futures markets · Study

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ArticleSpillover effects in energy futures markets

Michael N. Tamvakis2001

Article2001

Spillover effects in energy futures markets

Michael N. Tamvakis

161 citations·0/0 files stored·Energy Economics

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Market Dynamics and Volatility Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1995Multivariate Simultaneous Generalized ARCH 1980Stock returns and the weekend effect 1990Correlations in Price Changes and Volatility across International Stock Markets 1990Transmission of Volatility between Stock Markets 1989Transmission of Volatility Between Stock Markets 1989International Transmission of Stock Market Movements

Cited by

2019Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models 2014Evolution of the world crude oil market integration: A graph theory analysis 2003Causality and volatility spillovers among petroleum prices of WTI, gasoline and heating oil in different locations 2010Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach 2015Volatility Spillovers Across Petroleum Markets

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Year2001

Typearticle

Published2001-01-01

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations161

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/s0140-9883(00)00051-7

openalex_workW2104184584

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2014

Time-varying Granger causality tests for applications in global crude oil markets

2019Dynamic frequency connectedness between oil and natural gas volatilities

2014Return and volatility spillovers between china and world oil markets