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Risk spread in multiple energy markets: Extreme volatility spillover network analysis before and during the COVID-19 pandemic
16 references·0 citing·25 second hop
Risk spread in multiple energy markets: Extreme volatility spillover network analysis before and during the COVID-19 pandemic (2022)Risk spread in multiple energy markets: E…COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)COVID-19 pandemic, oil prices…CoVaR (2016)CoVaRCorrelations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Correlations and volatility s…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Rational contagion and the globalization of securities markets (2000)Rational contagion and the gl…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A NEW MEASURE OF RANK CORRELATION (1938)A NEW MEASURE OF RANK CORRELA…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Generalized autoregressive conditional heteroskedasticity (1986)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Correlations in Price Changes and Volatility across International Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Aggregate Confusion: The Divergence of ESG Ratings (2019)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Econometric Analysis of Cross Section and Panel Data (2001)An effect size primer: A guide for clinicians and researchers. (2009)Comparison of Values of Pearson's and Spearman's Correlation Coefficients on the Same Sets of Data (2011)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,695 cited
  • 1938A NEW MEASURE OF RANK CORRELATION7,315 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,790 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2016CoVaR2,406 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach1,488 cited
  • 2000Rational contagion and the globalization of securities markets

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952 cited
  • 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies877 cited
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