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Volatility spillovers between oil prices and the stock market under structural breaks · Study

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ArticleVolatility spillovers between oil prices and the stock market under structural breaks

Bradley T. Ewing2015

Article2015

Volatility spillovers between oil prices and the stock market under structural breaks

Bradley T. Ewing · Farooq Malik

186 citations·0/0 files stored·Global Finance Journal

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Market Dynamics and Volatility Financial Risk and Volatility Modeling COVID-19 Pandemic Impacts

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References

1995Multivariate Simultaneous Generalized ARCH 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2000What is an Oil Shock?1999Oil price shocks and stock market activity 1996Oil and the Stock Markets 1998Modeling Asymmetric Comovements of Asset Returns 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures 2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics

Cited by

2019Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective 2021Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis 2021Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic 2020Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies 2016The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment

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2012Volatility transmission between gold and oil futures under structural breaksarticle · 16 shared references 2017Modelling asymmetric volatility in oil prices under structural breaksarticle · 14 shared references 2021Volatility spillover between exchange rate and stock returns under volatility shiftsarticle · 13 shared references 2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidencearticle · 10 shared references 2005Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variancearticle · 10 shared references 2011Estimating the impact of good news on stock market volatilityarticle · 10 shared references

Details

Year2015

Typearticle

Published2015-05-22

VenueGlobal Finance Journal

ISSN-L1044-0283

Languageen

Citations186

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.gfj.2015.04.008

openalex_workW372903089

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2015Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia

2017Impact of oil price uncertainty on Middle East and African stock markets

2021Relationship between green investments, energy markets, and stock markets in the aftermath of the global financial crisis