Asymmetric spillovers and connectedness between crude oil and currency markets using high-frequency data-Reference-Cited by-同舟云学术

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Asymmetric spillovers and connectedness between crude oil and currency markets using high-frequency data

Published:2022-08 Issue: Volume:77 Page:102678
ISSN:0301-4207
Container-title:Resources Policy
language:en
Short-container-title:Resources Policy

Author:

Mensi Walid,Shafiullah Muhammad^ORCID,Vo Xuan Vinh,Kang Sang Hoon

Funder

Ministry of Education

National Research Foundation of Korea

Đại học Kinh tế Thành phố Hồ Chí Minh

Publisher

Elsevier BV

Subject

Law,Management, Monitoring, Policy and Law,Economics and Econometrics,Sociology and Political Science

Reference71 articles.

1. Does realized skewness predict the cross-section of equity returns?;Amaya;J. Financ. Econ.,2015

2. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts;Andersen;Int. Econ. Rev.,1998

3. Good volatility, bad volatility: what drives the asymmetric connectedness of Australian electricity markets?;Apergis;Energy Econ.,2017

4. Volatility spillovers between oil prices and stock sector returns: implications for portfolio management;Arouri;J. Int. Money Finance,2011

5. On the impacts of oil price fluctuations on European equity markets: volatility spillover and hedging effectiveness;Arouri;Energy Econ.,2012

Cited by 20 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments;International Review of Economics & Finance;2024-09

2. Currency tail risk measurement and spillovers: An improved TENET approach;Finance Research Letters;2024-09

3. Evaluation of volatility spillovers for asymmetric realized covariance;The North American Journal of Economics and Finance;2024-07

4. Global financial risk and market connectedness: An empirical analysis of COVOL and major financial markets;International Review of Financial Analysis;2024-05

5. Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness;Financial Innovation;2024-02-06

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