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Dynamic frequency connectedness between oil and natural gas volatilities · Study

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ArticleDynamic frequency connectedness between oil and natural gas volatilities

Yuliya Lovcha2019

Article2019

Dynamic frequency connectedness between oil and natural gas volatilities

Yuliya Lovcha · Alejandro Pérez-Laborda

111 citations·0/0 files stored·Economic Modelling

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

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References

1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2016CoVaR 2016Measuring Systemic Risk 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1980On the Estimation of Security Price Volatilities from Historical Data

Cited by

2021What drive carbon price dynamics in China?2020Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives 2021The information content of uncertainty indices for natural gas futures volatility forecasting 2021Are there spillovers among China's pilots for carbon emission allowances trading?2020Dynamic connectedness and portfolio strategies: Energy and metal markets

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2019Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspectivearticle · 11 shared references 2017Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas tradearticle · 11 shared references 2018Information spillovers and connectedness networks in the oil and gas marketsarticle · 11 shared references 2021Dynamic frequency relationships and volatility spillovers in natural gas, crude oil, gas oil, gasoline, and heating oil markets: Implications for portfolio managementarticle · 11 shared references 2020Asymmetric and time-frequency spillovers among commodities using high-frequency dataarticle · 11 shared references 2015Volatility Spillovers Across Petroleum Marketsarticle · 10 shared references

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Year2019

Typearticle

Published2019-04-13

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations111

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.econmod.2019.04.008

openalex_workW2938464183

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2021Dynamic frequency relationships and volatility spillovers in natural gas, crude oil, gas oil, gasoline, and heating oil markets: Implications for portfolio management

2023Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications

2022The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak