Volatility transmission in the oil and natural gas markets

By Bradley T. Ewing, Farooq Malik, Ozkan Ozfidan. 2002

202 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2dc1369500523ccbdd3c3888938f6ac216b8069c

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Citations in the corpus

Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance (2005, background): “Examples include papers by Hamao et al. (1990), King and Wadhwani (1990), Ng et al.”
Energy markets volatility modelling using GARCH (2014, background): “…among several electricity markets [see Goto and Karolyi (2004) and Worthington et al. (2005)], between oil and natural gas markets [see Ewing et al. (2002) and Serletis and Shahmoradi (2006)], and between oil markets and financial or macroeconomic indicators [see Lee et al. (1995),…”
Metal volatility in presence of oil and interest rate shocks (2008, methodology): “Ewing et al. (2002) employed the bivariate GARCH to examine volatility transmission between crude oil and natural gas markets(6). Wilson et al. (1996) use the GARCH model and the Ican-Tiao algorithm to compare the degree of volatility persistence when sudden changes in the variance are taken into ac”
Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011, background): “While there are a number of papers on volatility transmission in financial and/or energy markets (e.g., Hamao, Masulis, and Ng 1990; Ewing, Malik, and Ozfidan 2002; Baele 2005), specific studies on volatility transmission between crude oil and agricultural markets are sparse.”
Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory (2014, result): “This nonlinearity feature of commodity return volatility has been demonstrated in several recent studies (Ewing et al., 2002; Hammoudeh and Yuan, 2008; Cochran et al., 2012).”
Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011, background): “As noted in the introduction part, the issue of volatility transmission between oil and stock markets has been relatively less explored in the extant literature, two exceptions being Ewing et al. (2002), and Malik and Ewing (2009).”
On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2012, background): “The study of Ewing et al. (2002), albeit not directly related to ours, offers for its part several interesting insights about the volatility transmission between the oil and natural gas markets.”