Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness
This paper inspects volatility connectedness across crude oil, natural gas, coal, stock, and
currency markets in the US and China. To accomplish this objective, we deploy …
currency markets in the US and China. To accomplish this objective, we deploy …
Spillovers among energy commodities and the Russian stock market
M Costola, M Lorusso - Journal of Commodity Markets, 2022 - Elsevier
We examine the connectedness in the energy commodities sector and the Russian stock
market over the period 2005–2020 using the variance decomposition approach. Our …
market over the period 2005–2020 using the variance decomposition approach. Our …
Policy-driven or market-driven? Evidence from steam coal price bubbles in China
This paper first verifies the existence and determinants of multiple bubbles in the steam coal
market in China since the abolition of the double-track pricing system of coal and electricity …
market in China since the abolition of the double-track pricing system of coal and electricity …
Dynamic frequency connectedness between oil and natural gas volatilities
Y Lovcha, A Perez-Laborda - Economic Modelling, 2020 - Elsevier
The goal of this paper is twofold. First, we study dynamic volatility connectedness between
oil and natural gas over the period 1994 to 2018. Second, we examine the frequency …
oil and natural gas over the period 1994 to 2018. Second, we examine the frequency …
Volatility spillovers between Turkish energy stocks and fossil fuel energy commodities based on time and frequency domain approaches
M Coskun, N Taspinar - Resources Policy, 2022 - Elsevier
In this paper, we investigate the volatility spillovers among major energy stocks, the
electricity index, and fossil fuel energy commodities (crude oil, natural gas, and coal) using …
electricity index, and fossil fuel energy commodities (crude oil, natural gas, and coal) using …
The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system
In this study, we analyze the relationship between the price of carbon-intensive fuel and the
stock prices of renewable energy companies, incorporating the price of carbon in the …
stock prices of renewable energy companies, incorporating the price of carbon in the …
Two decades of contagion effect on stock markets: Which events are more contagious?
This study aims to investigate the impact of a wide range of economic and non-economic
events on stock market spillover effects in a group of 16 major developed and emerging …
events on stock market spillover effects in a group of 16 major developed and emerging …
Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy
Notwithstanding Australia plays the lead role in exporting strategic commodities such as
crude oil, natural gas, coal, Liquid Natural Gas (LNG), and iron ore, a scattering of …
crude oil, natural gas, coal, Liquid Natural Gas (LNG), and iron ore, a scattering of …
The roles of inter-fuel substitution and inter-market contagion in driving energy prices: Evidences from China's coal market
Coal has been dominating energy supply and consumption in China, with the country
becoming the largest energy supplier and consumer worldwide. Due to inter-fuel substitution …
becoming the largest energy supplier and consumer worldwide. Due to inter-fuel substitution …
Volatility spillovers for energy prices: A diagonal BEKK approach
M Zolfaghari, H Ghoddusi, F Faghihian - Energy Economics, 2020 - Elsevier
We examine the relationship between return and volatility as well as the covolatility spillover
for energy, foreign currency, and stock markets using the diagonal BEKK model. Using daily …
for energy, foreign currency, and stock markets using the diagonal BEKK model. Using daily …