Dynamic dependence and risk connectedness among oil and stock markets: new evidence from time-frequency domain perspectives
This paper investigates the time-frequency dependence and risk connectedness among oil
and stock markets in oil-importing and oil-exporting countries using the wavelet coherence …
and stock markets in oil-importing and oil-exporting countries using the wavelet coherence …
COVID-19 pandemic's impact on intraday volatility spillover between oil, gold, and stock markets
This study examines the volatility spillovers between the US stock market (S&P500 index)
and both oil and gold before and during the global health crisis (GHC). We apply the …
and both oil and gold before and during the global health crisis (GHC). We apply the …
Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies
J Liao, X Zhu, J Chen - International Review of Financial Analysis, 2021 - Elsevier
Extreme events have a systemic impact on global financial markets, leading to significant
cross-market spillovers in the oil, gold, and stock markets and raising widespread concerns …
cross-market spillovers in the oil, gold, and stock markets and raising widespread concerns …
Oil shocks and stock market volatility: New evidence
This paper investigates the effect of oil shocks on US stock market volatility based on a new
hybrid model that combines the least absolute shrinkage and selection operator (LASSO) …
hybrid model that combines the least absolute shrinkage and selection operator (LASSO) …
Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic
P Zhu, Y Tang, Y Wei, T Lu - Energy, 2021 - Elsevier
This paper investigates the multidimensional risk spillovers among crude oil, the US and
Chinese stock markets during the COVID-19 epidemic through a GARCHSK-Mixed Copula …
Chinese stock markets during the COVID-19 epidemic through a GARCHSK-Mixed Copula …
Risk spread in multiple energy markets: extreme volatility spillover network analysis before and during the COVID-19 pandemic
W Zhou, Y Chen, J Chen - Energy, 2022 - Elsevier
Financial events in global energy markets could trigger extreme volatility spillovers and even
become financial crises without effective risk management. To analyze extreme volatility …
become financial crises without effective risk management. To analyze extreme volatility …
Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies
This paper investigates returns and volatility transmission between SPGCE (S&P Global
Clean Energy), SPGO (S&P Global Oil), two non-renewable energy commodities (natural …
Clean Energy), SPGO (S&P Global Oil), two non-renewable energy commodities (natural …
Extreme risk spillovers between crude oil prices and the US exchange rate: Evidence from oil-exporting and oil-importing countries
D Wen, L Liu, C Ma, Y Wang - Energy, 2020 - Elsevier
Many studies have investigated the mean and volatility spillovers between oil prices and
exchange rates. However, the risk spillover has been paid little attention in the literature …
exchange rates. However, the risk spillover has been paid little attention in the literature …
Does China's new energy vehicles supply chain stock market have risk spillovers? Evidence from raw material price effect on lithium batteries
This study focuses primarily on the New Energy Vehicles (NEV) industry in China, which will
lead to new resource challenges and supply chain risks, establishing a comprehensive …
lead to new resource challenges and supply chain risks, establishing a comprehensive …
Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries
We examine the nonlinear dependence structure between oil (WTI, Brent, Gas oil, Heating
oil) and the stock market returns for 14 emerging market indices in oil-exporting and oil …
oil) and the stock market returns for 14 emerging market indices in oil-exporting and oil …