Oil volatility, oil and gas firms and portfolio diversification
By Nikolaos Antonakakis, Juncal Cunado, George Filis, David Gabauer, F. P. Gracia. 2018
284 citations recorded by the source corpus.
Subfields: Economics and Econometrics, General Energy, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/294b3920fe9c7fc607aac6b292238801cd054f3d
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In Economics and Econometrics
In Renewable Energy, Sustainability and the Environment
Citations in the corpus
- Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre (2020, unknown): “[2017] and Antonakakis et al. [2019], we build on the framework of Diebold and Yilmaz [2012] and construct volatility spillover indices using a DCC–GARCH t-Copula framework to model the multivariate relationships of volatility among stock, commodity (agriculture, energy and precious metal), foreign ”
- Financial contagion during COVID–19 crisis (2020, unknown): “The results are consistent with the literature that shows higher hedge ratios during crisis periods (Antonakakis et al., 2018; Batten et al., 2019).”
- How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020, background): “Also, the numerator term de4 Methodologically, the clear difference and improvement has also been noted in the works of Gabauer and Gupta (2018), Antonakakis et al., 2018a, 2018b, etc. O.B. Adekoya and J.A. Oliyide Resources Policy 70 (2021) 101898 notes the cumulative effect of a shock in variable…”