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Risk transmission mechanism between energy markets: A VAR for VaR approach
16 references·1 citing·49 second hop
Risk transmission mechanism between energy markets: A VAR for VaR approach (2018)Risk transmission mechanism between energ…The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)The cross-quantilogram: Measu…VAR for VaR: Measuring tail dependence using multivariate regression quantiles (2015)VAR for VaR: Measuring tail d…The dynamic volatility spillover between European carbon trading market and fossil energy market (2015)The dynamic volatility spillo…Do global factors impact BRICS stock markets? A quantile regression approach (2014)Do global factors impact BRIC…Volatility spillover between oil and agricultural commodity markets (2012)Volatility spillover between …Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Hedges and safe havens: An ex…Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Speculation and volatility sp…On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)On the impacts of oil price f…How does oil price volatility affect non-energy commodity markets? (2011)How does oil price volatility…Granger causality in risk and detection of extreme risk spillover between financial markets (2009)Granger causality in risk and…Causality in quantiles and dynamic stock return–volume relations (2009)Causality in quantiles and dy…Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Value-at-Risk Prediction: A C…Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Shock and volatility transmis…CAViaR (2004)CAViaRGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Information transmission in regional energy stock markets (2022)Information transmission in r…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations (2016)Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017)High frequency volatility co-movements in cryptocurrency markets (2019)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)An econometric analysis of emission allowance prices (2008)The impact of terrorism on financial markets: An empirical study (2010)Financial Network Systemic Risk Contributions (2014)Oil and the Macroeconomy since World War II (1983)Oil price shocks and stock market activity (1999)What is an Oil Shock? 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References

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  • 2011On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness487 cited
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  • 2011How does oil price volatility affect non-energy commodity markets?

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330 cited
  • 2015The dynamic volatility spillover between European carbon trading market and fossil energy market280 cited
  • 2009Causality in quantiles and dynamic stock return–volume relations275 cited
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    • 2022Information transmission in regional energy stock markets59 cited