The relationship between energy and equity markets: evidence from volatility impulse response functions
By Eric Olson, Andrew Vivian, M. Wohar. 2014
125 citations recorded by the source corpus.
This paper examines the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate BEKK model of the Goldman Sach's Energy Index and the SP in addition, we also calculate the time varying conditional correlations and time varying dynamic hedge ratios. From volatility impulse response functions, we find that low SP however, we find only a weak response from S&P 500 volatility to energy price shocks. Moreover, our dynamic hedge ratio analysis suggests that the energy index is generally a poor hedging instrument.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/1f35cfc11abb422e721efbad743de1ca67b3abfc
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In Economics and Econometrics
Citations in the corpus
- Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis (2017, background): “…there is a growing body of literature that attributes the crude oil and agricultural commodity co-movement to the rapid integration of stock and bond markets with commodity markets, specifically during the financial crisis, which is referred to as “financialization” (Olson et al., 2014).”