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Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses

Citations

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Cited by:

  1. Xuedi Li & Jie Ma & Zhu Chen & Haitao Zheng, 2018. "Linkage Analysis among China’s Seven Emissions Trading Scheme Pilots," Sustainability, MDPI, vol. 10(10), pages 1-13, September.
  2. Singh, Amanjot, 2021. "Investigating the dynamic relationship between litigation funding, gold, bitcoin and the stock market: The case of Australia," Economic Modelling, Elsevier, vol. 97(C), pages 45-57.
  3. Tsuji, Chikashi, 2025. "Dual asymmetries in Bitcoin," Finance Research Letters, Elsevier, vol. 82(C).
  4. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
  5. Chikashi Tsuji, 2019. "An Analysis of Stock Return Transmission in North and Latin America," International Journal of Business Administration, International Journal of Business Administration, Sciedu Press, vol. 10(6), pages 14-21, November.
  6. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
  7. Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
  8. Molina-Muñoz, Jesús & Mora-Valencia, Andrés & Perote, Javier, 2025. "Dynamic volatility spillovers among commodities, bitcoin, and emerging markets," Emerging Markets Review, Elsevier, vol. 69(C).
  9. Miklesh Prasad Yadav & Shikha Bhatia & Nidhi Singh & Md Tarikul Islam, 2024. "Financial and energy exchange traded funds futures: an evidence of spillover and portfolio hedging," Annals of Operations Research, Springer, vol. 333(1), pages 501-516, February.
  10. Arafet Hamida & Salah ben Nasr, 2024. "Volatility Transmission between Oil Price and Exchange Rate," International Journal of Energy Economics and Policy, Econjournals, vol. 14(5), pages 380-392, September.
  11. Cui, Jinxin & Goh, Mark & Li, Binlin & Zou, Huiwen, 2021. "Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives," Energy, Elsevier, vol. 216(C).
  12. Guoxiang Xu & Wangfeng Gao, 2019. "Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects," Sustainability, MDPI, vol. 11(5), pages 1-20, March.
  13. Antonio Garcia-Amate & Laura Molero-González & Miguel Angel Sánchez-Granero & Juan Evangelista Trinidad-Segovia & Andres García-Medina, 2024. "Testing the significance of pricing factors of oil and gas companies," PLOS ONE, Public Library of Science, vol. 19(12), pages 1-18, December.
  14. Ichraf Ben Flah & Kaies Samet & Anis El Ammari & Chokri Terzi, 2025. "Shock and Volatility Transmissions Across Global Commodity and Stock Markets Spillovers: Empirical Evidence from Africa," JRFM, MDPI, vol. 18(6), pages 1-17, June.
  15. Gargallo, Pilar & Lample, Luis & Miguel, Jesús & Salvador, Manuel, 2022. "Dynamic comparison of portfolio risk: Clean vs dirty energy," Finance Research Letters, Elsevier, vol. 47(PA).
  16. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "COVID-19 and time-frequency spillovers between oil and sectoral stocks and portfolio implications: Evidence from China and US economies," International Economics, Elsevier, vol. 180(C).
  17. Ashfaq, Saleha & Tang, Yong & Maqbool, Rashid, 2019. "Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns," Energy, Elsevier, vol. 188(C).
  18. Ashfaq, Saleha & Tang, Yong & Maqbool, Rashid, 2020. "Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets," Energy, Elsevier, vol. 207(C).
  19. Dejan Živkov & Suzana Balaban & Marko Pećanac, 2021. "Assessing the multiscale “meteor shower” effect from oil to the central and eastern European stock indices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1855-1870, April.
  20. Zhao, Zhao & Wen, Huwei & Li, Ke, 2021. "Identifying bubbles and the contagion effect between oil and stock markets: New evidence from China," Economic Modelling, Elsevier, vol. 94(C), pages 780-788.
  21. Ana Alzate-Ortega & Natalia Garzón & Jesús Molina-Muñoz, 2024. "Volatility Spillovers in Emerging Markets: Oil Shocks, Energy, Stocks, and Gold," Energies, MDPI, vol. 17(2), pages 1-19, January.
  22. Jung-Bin Su, 2025. "Does the COVID-19 pandemic affect the asset allocation performance? Evidence from a composite asset selection approach," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-22, December.
  23. Miklesh Yadav & Sabia Tabassum & Anas Ali AlQudah & Manaf Al-Okaily & Myriam Aloulou & Nikola Stakic & Marcos Santos, 2024. "Does COVID-19 Outbreak Push Saudi Crude Oil to Connect with Selected GCC Equity Market? Insight of Time Varying Linkage," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1047-1070, March.
  24. Song, Feng & Cui, Jian & Yu, Yihua, 2022. "Dynamic volatility spillover effects between wind and solar power generations: Implications for hedging strategies and a sustainable power sector," Economic Modelling, Elsevier, vol. 116(C).
  25. Jesús Enrique Molina-Muñoz & Pilar Soriano-Felipe, 2026. "Dynamic spillovers among policy uncertainty, financial markets and energy markets in developed and emerging economies," Economic Change and Restructuring, Springer, vol. 59(1), pages 1-33, February.
  26. Yu, Lean & Zha, Rui & Stafylas, Dimitrios & He, Kaijian & Liu, Jia, 2020. "Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models," International Review of Financial Analysis, Elsevier, vol. 68(C).
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