How influential are green energy instruments? We examine how green-and carbon-energy
assets differ regarding transmitting and receiving shocks between normal versus crises …

We examine the long-term impact of oil prices, price uncertainty, and local and global
geopolitical risks on Gulf Cooperation Council (GCC) stock markets from May 2007 to …

The response of renewable energy stock returns to the dynamics of fossil energy markets is
a vital concern of low-carbon transitions. There is still sparse literature documenting the …

We examine return and volatility transmission between the newly established crude oil
futures in China and international major crude oil futures markets using intraday data. For …

We construct a multivariate heterogeneous autoregressive model specified with common
stochastic volatility and the student-t distribution, the MHAR-CSV-t model, to investigate co …

This study investigates the pricing efficiency of the Shanghai Crude Oil Futures (SC) as a
newly emerged crude oil future market from the perspective of co-integration and estimates …

This paper investigates the direction and extent of volatility connectedness between
fluctuating oil prices and the stock returns of international transportation or logistics …

The newly established Shanghai crude oil futures market provides a natural experimental
setting for studying the price cointegration and causal relationships between the Chinese …

Abstract We introduce Infinite Hidden Markov (IHM) models to forecasting realized volatilities
of crude oil futures markets with exogenous factors. With these IHM models, we lift the …

This article examines the interconnectedness of WTI and Brent prices on different
resolutions of price movements. Firstly, within a multivariate BEKK framework we identify …