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Systemic Risk Spillovers in the European Energy Sector
16 references·0 citing·50 second hopsampled
Systemic Risk Spillovers in the European Energy Sector (2021)Systemic Risk Spillovers in the European …Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis (2021)Volatility Spillovers between…Systemic risk and financial contagion across top global energy companies (2021)Systemic risk and financial c…Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies (2020)Time-varying co-movements bet…Renewable energy, non-renewable energy, and economic growth: evidence from 26 European countries (2020)Renewable energy, non-renewab…Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19 (2020)Co-movements and spillovers o…Influencing factors of energy technical innovation in China: Evidence from fossil energy and renewable energy (2019)Influencing factors of energy…Return, volatility and shock spillovers of Bitcoin with energy and technology companies (2018)Return, volatility and shock …Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017)Oil price shocks, economic po…Assessing contagion risk from energy and non-energy commodity markets (2017)Assessing contagion risk from…Measuring Systemic Risk (2016)Measuring Systemic RiskCoVaR (2016)CoVaRVolatility spillovers between oil prices and the stock market under structural breaks (2015)Volatility spillovers between…The relationship between energy and equity markets: Evidence from volatility impulse response functions (2014)The relationship between ener…On the links between stock and commodity markets' volatility (2013)On the links between stock an…The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey (2012)The long-run and causal analy…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)CO2 emissions, real output, energy consumption, trade, urbanization and financial development: testing the EKC hypothesis for the USA (2015)Environmental degradation in France: The effects of FDI, financial development, and energy innovations (2018)Renewable energy consumption, urbanization, financial development, income and CO2 emissions in Turkey: Testing EKC hypothesis with structural breaks (2018)Oil price shocks and stock market activity (1999)Is gold a safe haven? International evidence (2010)Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014)Oil shocks and stock markets revisited: Measuring connectedness from a global perspective (2017)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Oil and the Macroeconomy since World War II (1983)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)The Impact of Uncertainty Shocks (2009)Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index (2018)Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike? (2019)Asymmetric effects of geopolitical risks on energy returns and volatility under different market conditions (2020)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin (2018)Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties (2021)A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies (2022)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Tail Risk Connectedness in the Refined Petroleum Market: A First Look at the Impact of the COVID Pandemic (2021)Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises (2023)RETRACTED: Co-movement between dirty and clean energy: A time-frequency perspective (2023)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Multivariate Simultaneous Generalized ARCH (1995)What is an Oil Shock? (2000)Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective (2019)Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic (2021)Bank Runs, Deposit Insurance, and Liquidity (1983)Coherent Measures of Risk (1999)Market Liquidity and Funding Liquidity (2008)Bank Capital and Lending Relationships (2017)Estimating global bank network connectedness (2017)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)SRISK: A conditional capital shortfall measure of systemic risk (2017)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)COVID–19 media coverage and ESG leader indices (2021)Does energy diversification cause an economic slowdown? Evidence from a newly constructed energy diversification index (2022)Extreme spillovers among fossil energy, clean energy, and metals markets: Evidence from a quantile-based analysis (2022)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2016CoVaR2,395 cited
  • 2016Measuring Systemic Risk1,846 cited
  • 2012The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey1,277 cited
  • 2013On the links between stock and commodity markets' volatility559 cited
  • 2017Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression304 cited
  • 2020Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19292 cited
  • 2018Return, volatility and shock spillovers of Bitcoin with energy and technology companies211 cited
  • 2015Volatility spillovers between oil prices and the stock market under structural breaks186 cited
  • 2021Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis183 cited
  • 2020Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies172 cited
  • 2020Renewable energy, non-renewable energy, and economic growth: evidence from 26 European countries161 cited
  • 2017Assessing contagion risk from energy and non-energy commodity markets121 cited

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  • 2021Systemic risk and financial contagion across top global energy companies114 cited
  • 2014The relationship between energy and equity markets: Evidence from volatility impulse response functions111 cited
  • 2019Influencing factors of energy technical innovation in China: Evidence from fossil energy and renewable energy110 cited
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