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Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness

  • Published:2020-09 Issue: Volume:91 Page:104762
  • ISSN:0140-9883
  • Container-title:Energy Economics
  • language:en
  • Short-container-title:Energy Economics

Author:

Antonakakis Nikolaos,Cunado Juncal,Filis George,Gabauer David,de Gracia Fernando Perez

Funder

Ministerio de Economa y Competitividad

Marie Sklodowska-Curie

BMK

BMDW

FFG

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference54 articles.

1. Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices;Äijö;Glob. Financ. J.,2008

2. Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest;Antonakakis;Int. Rev. Financ. Anal.,2017

3. European Currency Co-Movements and Contagion: Evidence From a Bayesian TVP-(Pseudo) FAVAR Model;Antonakakis,2018

4. Oil volatility, oil and gas firms and portfolio diversification;Antonakakis;Energy Econ.,2018

5. Volatility spillovers between oil prices and Stock sector returns: implications for portfolio management;Arouri;J. Int. Money Financ.,2011

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