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Dynamic frequency connectedness between oil and natural gas volatilities
16 references·10 citing·33 second hopsampled
Dynamic frequency connectedness between oil and natural gas volatilities (2019)Dynamic frequency connectedness between o…Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Time and frequency dynamics o…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…Estimating global bank network connectedness (2017)Estimating global bank networ…Measuring Systemic Risk (2016)Measuring Systemic RiskCoVaR (2016)CoVaROn the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013)The Role of Speculation in Oi…On the links between stock and commodity markets' volatility (2013)On the links between stock an…Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011)Return and volatility transmi…Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Correlations and volatility s…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…The Economic Effects of Energy Price Shocks (2008)The Economic Effects of Energ…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Volatility spillovers and frequency dependence between oil price shocks and green stock markets (2023)Volatility spillovers and fre…Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications (2023)Time-frequency connectedness …The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak (2022)The time-frequency connectedn…What drive carbon price dynamics in China? (2021)What drive carbon price dynam…The information content of uncertainty indices for natural gas futures volatility forecasting (2021)The information content of un…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…Are there spillovers among China's pilots for carbon emission allowances trading? (2021)Are there spillovers among Ch…Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different? (2020)Spillovers to Renewable Energ…Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives (2020)Dynamic dependence and risk c…Dynamic connectedness and portfolio strategies: Energy and metal markets (2020)Dynamic connectedness and por…Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Oil and the Macroeconomy since World War II (1983)What is an Oil Shock? (2000)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Causes and Consequences of the Oil Shock of 2007-08 (2009)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)What do we learn from the price of crude oil futures? (2010)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Volatility forecast comparison using imperfect volatility proxies (2010)Correlations in Price Changes and Volatility across International Stock Markets (1990)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Bank Runs, Deposit Insurance, and Liquidity (1983)Coherent Measures of Risk (1999)Market Liquidity and Funding Liquidity (2008)Bank Capital and Lending Relationships (2017)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)SRISK: A conditional capital shortfall measure of systemic risk (2017)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2016CoVaR2,395 cited
  • 2016Measuring Systemic Risk1,846 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 2008The Economic Effects of Energy Price Shocks1,299 cited
  • 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies877 cited
  • 2018Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices643 cited
  • 2017Estimating global bank network connectedness637 cited
  • 2013On the links between stock and commodity markets' volatility559 cited

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2013
The Role of Speculation in Oil Markets: What Have We Learned So Far?
491 cited
  • 2011Return and volatility transmission between world oil prices and stock markets of the GCC countries423 cited
  • Cited by

    • 2021What drive carbon price dynamics in China?107 cited
    • 2020Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives105 cited
    • 2021The information content of uncertainty indices for natural gas futures volatility forecasting101 cited
    • 2021Are there spillovers among China's pilots for carbon emission allowances trading?101 cited
    • 2020Dynamic connectedness and portfolio strategies: Energy and metal markets93 cited
    • 2021Dynamic frequency relationships and volatility spillovers in natural gas, crude oil, gas oil, gasoline, and heating oil markets: Implications for portfolio management91 cited
    • 2023Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications88 cited
    • 2022The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak86 cited
    • 2023Volatility spillovers and frequency dependence between oil price shocks and green stock markets75 cited
    • 2020Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?73 cited