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Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries
16 references·2 citing·37 second hop
Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries (2022)Risk connectedness between energy and sto…Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies (2022)Examining the interrelatednes…Tail dependence between bitcoin and green financial assets (2021)Tail dependence between bitco…Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Dynamic spillover effects amo…The Global Effects of COVID-19-Induced Uncertainty (2020)The Global Effects of COVID-1…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…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…Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Time and frequency dynamics o…High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets (2018)High-frequency volatility con…Global financial crisis and rising connectedness in the international commodity markets (2018)Global financial crisis and r…Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Wavelet-based test of co-move…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Evidence on Structural Instability in Macroeconomic Time Series Relations (1996)Evidence on Structural Instab…Systemic risk contagion of green and Islamic markets with conventional markets (2023)Systemic risk contagion of gr…Clean Energy Action Index Efficiency: An Analysis in Global Uncertainty Contexts (2023)Clean Energy Action Index Eff…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The federal funds rate and the channels of monetary transmission (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Instability of return prediction models (2006)Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data (2009)Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Generalized autoregressive conditional heteroskedasticity (1986)The Econometrics of Financial Markets (1997)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Econometrics of Financial Markets (2012)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index (2017)Oil price shocks, geopolitical risks, and green bond market dynamics (2020)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)Efficient Tests for an Autoregressive Unit Root (1996)Return connectedness across asset classes around the COVID-19 outbreak (2020)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Extreme return connectedness and its determinants between clean/green and dirty energy investments (2020)Geopolitical risk and dynamic connectedness between commodity markets (2022)SRISK: A conditional capital shortfall measure of systemic risk (2017)Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga (2022)Dynamic connectedness among climate change index, green financial assets and renewable energy markets: Novel evidence from sustainable development perspective (2022)The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises (2023)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2018Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices643 cited
  • 1996Evidence on Structural Instability in Macroeconomic Time Series Relations617 cited
  • 2016Wavelet-based test of co-movement and causality between oil and renewable energy stock prices501 cited
  • 2021Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies479 cited
  • 2018Global financial crisis and rising connectedness in the international commodity markets382 cited
  • 2021Tail dependence between bitcoin and green financial assets300 cited
  • 2020Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19292 cited

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  • 2022Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies291 cited
  • 2018High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets219 cited
  • 2020The Global Effects of COVID-19-Induced Uncertainty206 cited
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    • 2023Systemic risk contagion of green and Islamic markets with conventional markets26 cited
    • 2023Clean Energy Action Index Efficiency: An Analysis in Global Uncertainty Contexts21 cited