Extreme risk spillovers between crude oil and stock markets

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Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2020, background): “At the same time, researchers explore price volatility using multivariate GARCH models to facilitate analysis of multi-dimensional relationships among the markets (e.g., Awartani and Maghyereh, 2013; Du and He, 2015; Zhang and Wang, 2014; Jouini, 2013; Sadorsky, 2012).”
Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models (2019, background): “A vast body of studies has investigated the relationship between the two markets, and most of them have confirmed their close linkage and verified their time-variant and asymmetric characteristics (Mensi et al., 2013; Du and He, 2015; Creti et al., 2013; Pan et al., 2016; Broadstock and Filis, 2014;”
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “Du and He (2015) study the US market and show that there are significant risk spillovers between oil and stock markets.”