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The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas
16 references·3 citing·42 second hop
The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas (2023)The Russia–Ukraine war and energy market …The Unprecedented Stock Market Impact of COVID-19 (2020)The Unprecedented Stock Marke…COVID-19 and finance: Agendas for future research (2020)COVID-19 and finance: Agendas…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Occasional structural breaks …Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Long memory and regime switching (2001)Long memory and regime switch…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…An enquiry into the monetary policy and stock market shocks in the US (2025)An enquiry into the monetary …Contagion between investor sentiment and green bonds in China during the global uncertainties (2024)Contagion between investor se…An empirical study on the response of the energy market to the shock from the artificial intelligence industry (2023)An empirical study on the res…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)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)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)The variation of certain speculative prices (1997)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Modelling Extremal Events (1997)Chapter 8 Growth Econometrics (2005)Volatility Is Rough (2018)A STATE‐PREFERENCE MODEL OF OPTIMAL FINANCIAL LEVERAGE (1973)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)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Option pricing when underlying stock returns are discontinuous (1976)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Expected Stock Returns and Variance Risk Premia (2009)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)
this work references cited by second hop

References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2020COVID-19 and finance: Agendas for future research1,596 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 2001Long memory and regime switching1,162 cited
  • 2020The Unprecedented Stock Market Impact of COVID-19903 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited

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1997
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns
649 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • Cited by

    • 2023An empirical study on the response of the energy market to the shock from the artificial intelligence industry57 cited
    • 2024Contagion between investor sentiment and green bonds in China during the global uncertainties25 cited
    • 2025An enquiry into the monetary policy and stock market shocks in the US10 cited