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Spillover effects in energy futures markets
12 references·16 citing·33 second hop
Spillover effects in energy futures markets (2001)Spillover effects in energy futures marke…Superexogeneity and the dynamic linkages among international equity markets (1998)Superexogeneity and the dynam…Testing Super Exogeneity and Invariance in Regression Models (1995)Testing Super Exogeneity and …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Hourly volatility spillovers between international equity markets (1994)Hourly volatility spillovers …Testing superexogeneity and invariance in regression models (1993)Testing superexogeneity and i…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock returns and the weekend effect (1980)Stock returns and the weekend…The connectedness in the world petroleum futures markets using a Quantile VAR approach (2021)The connectedness in the worl…Dynamic frequency relationships and volatility spillovers in natural gas, crude oil, gas oil, gasoline, and heating oil markets: Implications for portfolio management (2021)Dynamic frequency relationshi…Return and volatility transmission between China's and international crude oil futures markets: A first look (2020)Return and volatility transmi…Financial modelling, risk management of energy instruments and the role of cryptocurrencies (2020)Financial modelling, risk man…Dynamic transmission mechanisms in global crude oil prices: Estimation and implications (2019)Dynamic transmission mechanis…Dynamic frequency connectedness between oil and natural gas volatilities (2019)Dynamic frequency connectedne…Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2019)Dependences and volatility sp…Volatility Spillovers Across Petroleum Markets (2015)Volatility Spillovers Across …Time-varying Granger causality tests for applications in global crude oil markets (2014)Time-varying Granger causalit…Return and volatility spillovers between china and world oil markets (2014)Return and volatility spillov…Evolution of the world crude oil market integration: A graph theory analysis (2014)Evolution of the world crude …Volatility spillovers in commodity markets (2013)Volatility spillovers in comm…Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach (2010)Market Efficiency of Oil Spot…Threshold Cointegration Analysis of Crude Oil Benchmarks (2008)Threshold Cointegration Analy…Cost of carry, causality and arbitrage between oil futures and tanker freight markets (2004)Cost of carry, causality and …Causality and volatility spillovers among petroleum prices of WTI, gasoline and heating oil in different locations (2003)Causality and volatility spil…ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Price discovery and volatility spillovers in the DJIA index and futures markets (1999)Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Efficient Market Hypothesis and Its Critics (2003)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Specification Tests in Econometrics (1978)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Forecasting in cointegrated systems (1995)Cointegration tests in the presence of structural breaks (1996)Asymptotic Inference on Cointegrating Rank in Partial Systems (1998)Stock return variances (1986)Mean reversion in stock prices (1988)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Econometric Analysis of Cross Section and Panel Data (2001)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Competition and Financial Stability (2004)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1994Hourly volatility spillovers between international equity markets389 cited
  • 1993Testing superexogeneity and invariance in regression models346 cited
  • 1998Superexogeneity and the dynamic linkages among international equity markets83 cited
  • 1995Testing Super Exogeneity and Invariance in Regression Models80 cited

Cited by

  • 2019Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models154 cited
  • 2014Evolution of the world crude oil market integration: A graph theory analysis138 cited
  • 2003

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Causality and volatility spillovers among petroleum prices of WTI, gasoline and heating oil in different locations
124 cited
  • 2010Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach121 cited
  • 2015Volatility Spillovers Across Petroleum Markets119 cited
  • 2014Time-varying Granger causality tests for applications in global crude oil markets115 cited
  • 2019Dynamic frequency connectedness between oil and natural gas volatilities111 cited
  • 2014Return and volatility spillovers between china and world oil markets109 cited
  • 2008Threshold Cointegration Analysis of Crude Oil Benchmarks109 cited
  • 2020Return and volatility transmission between China's and international crude oil futures markets: A first look102 cited
  • 2019Dynamic transmission mechanisms in global crude oil prices: Estimation and implications98 cited
  • 2020Financial modelling, risk management of energy instruments and the role of cryptocurrencies98 cited
  • 2004Cost of carry, causality and arbitrage between oil futures and tanker freight markets95 cited
  • 2021Dynamic frequency relationships and volatility spillovers in natural gas, crude oil, gas oil, gasoline, and heating oil markets: Implications for portfolio management91 cited
  • 2021The connectedness in the world petroleum futures markets using a Quantile VAR approach88 cited
  • 2013Volatility spillovers in commodity markets88 cited