Return and volatility spillovers between china and world oil markets

By Bing Zhang, Peijie Wang. 2014

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Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, background): “Several studies emphasize a number of empirical advantages of this method (Awartani and Maghyereh, 2013; Zhang and Wang, 2014; Antonakakis and Kizys, 2015).”
Dynamic spillovers between commodity and currency markets (2015, background): “…as it is one of the most common academic definitions of volatility and provides the most stable results given varying sample sizes (see, e.g. Zhang and Wang, 2014).6 The spot prices of gold and silver were relatively stable (and even decreasing) before 2003/2004, but they experienced…”
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).”