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Volatility Spillovers Across Petroleum Markets · Study

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ArticleVolatility Spillovers Across Petroleum Markets

Jozef Baruník2014

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Articlegreen2014

Volatility Spillovers Across Petroleum Markets

Jozef Baruník · a Evžen Kočenda b · Lukáš Vácha

49 citations·0/0 files stored·The Energy Journal

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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 1996Impulse response analysis in nonlinear multivariate models 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market 1983Oil and the Macroeconomy since World War II 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001The Distribution of Realized Exchange Rate Volatility

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2013Asymmetric Volatility Spillovers: Revisiting the Diebold-Yilmaz (2009) Spillover Index with Realized Semivariance

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2015Volatility Spillovers Across Petroleum Marketsarticle · 39 shared references 2019The economic and financial properties of crude oil: A reviewreview · 13 shared references 2017Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrestarticle · 12 shared references 2019Total, Asymmetric and Frequency Connectedness between Oil and Forex Marketsarticle · 12 shared references 2019Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implicationsarticle · 11 shared references 2020Dynamic connectedness and portfolio strategies: Energy and metal marketsarticle · 11 shared references

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Year2014

Typearticle

Published2014-12-19

VenueThe Energy Journal

ISSN-L0195-6574

Languageen

Citations49

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.2139/ssrn.2600204

openalex_workW4248224756

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