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Volatility transmission and volatility impulse response functions in crude oil markets

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Cited by:

  1. Massimo Peri, 2017. "Climate variability and the volatility of global maize and soybean prices," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 9(4), pages 673-683, August.
  2. Tanin, Tauhidul Islam & Hasanov, Akram Shavkatovich & Shaiban, Mohammed Sharaf Mohsen & Brooks, Robert, 2022. "Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries," Energy Economics, Elsevier, vol. 115(C).
  3. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2024. "Volatility spillovers across the spot and futures oil markets after news announcements," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
  4. Gong, Xu & Liu, Yun & Wang, Xiong, 2021. "Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method," International Review of Financial Analysis, Elsevier, vol. 76(C).
  5. Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
  6. Peri, Massimo, 2015. "Cliamte Variability and Agricultural Price volatility: the case of corn and soybeans," 2015 Conference, August 9-14, 2015, Milan, Italy 212623, International Association of Agricultural Economists.
  7. Matthias R Fengler & Jeannine Polivka, 2025. "Structural Volatility Impulse Response Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 951-971.
  8. 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.
  9. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
  10. Michael Funke & Julius Loermann & Andrew Tsang, 2022. "Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 606-628, May.
  11. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017. "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
  12. Jin, Xiaoye & An, Ximeng, 2016. "Global financial crisis and emerging stock market contagion: A volatility impulse response function approach," Research in International Business and Finance, Elsevier, vol. 36(C), pages 179-195.
  13. Apostolakis, George N., 2024. "Bitcoin price volatility transmission between spot and futures markets," International Review of Financial Analysis, Elsevier, vol. 94(C).
  14. Toan Luu Duc Huynh & Muhammad Shahbaz & Muhammad Ali Nasir & Subhan Ullah, 2024. "Correction to: Financial modelling, risk management of energy instruments and the role of cryptocurrencies," Annals of Operations Research, Springer, vol. 332(1), pages 1273-1273, January.
  15. Mohanty, Sunil K. & Mishra, Sibanjan, 2020. "Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets," Research in International Business and Finance, Elsevier, vol. 52(C).
  16. Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2016. "Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 277-285.
  17. Assefa, Tsion & Meuwissen, Miranda & Lansink, Alfons G.J.M., 2015. "Food scares and price volatility: the case of German and Spanish pig chains," 2015 Conference, August 9-14, 2015, Milan, Italy 210966, International Association of Agricultural Economists.
  18. Dowling, Michael & Cummins, Mark & Lucey, Brian M., 2016. "Psychological barriers in oil futures markets," Energy Economics, Elsevier, vol. 53(C), pages 293-304.
  19. Jiasha Fu & Hui Qiao, 2022. "The Time-Varying Connectedness Between China’s Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis," Letters in Spatial and Resource Sciences, Springer, vol. 15(3), pages 341-376, December.
  20. Herwartz, Helmut & Roestel, Jan, 2018. "A structural approach to identify financial transmission in distinguished scenarios of crises," Economics Working Papers 2018-08, Christian-Albrechts-University of Kiel, Department of Economics.
  21. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
  22. Liang, Xuedong & Luo, Peng & Li, Xiaoyan & Wang, Xia & Shu, Lingli, 2023. "Crude oil price prediction using deep reinforcement learning," Resources Policy, Elsevier, vol. 81(C).
  23. Vincenzo Candila & Salvatore Farace, 2018. "On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets," Risks, MDPI, vol. 6(4), pages 1-16, October.
  24. PIERRET, Diane, 2013. "The systemic risk of energy markets," LIDAM Discussion Papers CORE 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  25. Antonio Rubia Serrano & Lidia Sanchis-Marco, 2015. "Measuring Tail-Risk Cross-Country Exposures in the Banking Industry," Working Papers. Serie AD 2015-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  26. Ribeiro Scarcioffolo, Alexandre & Etienne, Xiaoli L., "undated". "Does Economic Policy Uncertainty Affect Energy Market Volatility and Vice-Versa?," 2018 Annual Meeting, August 5-7, Washington, D.C. 273976, Agricultural and Applied Economics Association.
  27. Michael Funke & Julius Loermann & Andrew Tsang, 2022. "Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 606-628, May.
  28. Anthony N. Rezitis & Shaikh Mostak Ahammad, 2016. "Investigating The Interdependency Of Agricultural Production Volatility Spillovers Between Bangladesh, India, And Pakistan," Review of Urban & Regional Development Studies, Wiley Blackwell, vol. 28(1), pages 32-54, March.
  29. Ederington, Louis H. & Fernando, Chitru S. & Hoelscher, Seth A. & Lee, Thomas K. & Linn, Scott C., 2019. "Characteristics of petroleum product prices: A survey," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 1-15.
  30. Hasanov, Akram Shavkatovich & Do, Hung Xuan & Shaiban, Mohammed Sharaf, 2016. "Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis," Energy Economics, Elsevier, vol. 57(C), pages 16-27.
  31. Yen-Hsien Lee & Ting-Huei Liao & Ya-Ling Huang & Tzu-Ling Huang, 2015. "Dynamic Spillovers between Oil and Stock Markets: New Approaches at Spillover Index," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 178-189, April.
  32. Stavros Stavroyiannis, 2022. "Cointegration and ARDL specification between the Dubai crude oil and the US natural gas market," Papers 2206.03278, arXiv.org.
  33. Tangyong Liu & Xu Gong & Boqiang Lin, 2021. "Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1375-1396, September.
  34. Awartani, Basel & Maghyereh, Aktham Issa, 2013. "Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries," Energy Economics, Elsevier, vol. 36(C), pages 28-42.
  35. Efimova, Olga & Serletis, Apostolos, 2014. "Energy markets volatility modelling using GARCH," Energy Economics, Elsevier, vol. 43(C), pages 264-273.
  36. Roy, Rudra Prosad & Sinha Roy, Saikat, 2017. "Financial contagion and volatility spillover: An exploration into Indian commodity derivative market," Economic Modelling, Elsevier, vol. 67(C), pages 368-380.
  37. Andriosopoulos, Kostas & Galariotis, Emilios & Spyrou, Spyros, 2017. "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Energy Economics, Elsevier, vol. 66(C), pages 217-227.
  38. Liu, Tangyong & Gong, Xu, 2020. "Analyzing time-varying volatility spillovers between the crude oil markets using a new method," Energy Economics, Elsevier, vol. 87(C).
  39. Jena, Sangram Keshari & Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Hammoudeh, Shawkat, 2022. "The connectedness in the world petroleum futures markets using a Quantile VAR approach," Journal of Commodity Markets, Elsevier, vol. 27(C).
  40. Harrison, Andre & Liu, Xiaochun & Stewart, Shamar L., 2023. "Structural sources of oil market volatility and correlation dynamics," Energy Economics, Elsevier, vol. 121(C).
  41. Block, Alexander Souza & Righi, Marcelo Brutti & Schlender, Sérgio Guilherme & Coronel, Daniel Arruda, 2015. "Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework: The financial and economic role of structural breaks," Energy Economics, Elsevier, vol. 49(C), pages 23-32.
  42. Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2016. "Financial Markets and Agricultural Commodities: Volatility Impulse Response Analysis," 2016 International European Forum (151st EAAE Seminar), February 15-19, 2016, Innsbruck-Igls, Austria 244461, International European Forum on System Dynamics and Innovation in Food Networks.
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