Volatility spillovers between oil prices and the stock market under structural breaks

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Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, background): “This effect may intensify during financial crises, with a further implication being that both volatility and correlation will persistently move together over time (Silvennoinen and Thorp, 2013; Sensoy et al., 2015; Ewing and Malik, 2016).”
Oil volatility, oil and gas firms and portfolio diversification (2018, background): “, 2014, and references therein), while only very recently authors focus on the volatility interrelationships between oil and stock market returns, mainly in terms of volatility spillovers (see, for example, Malik and Hammoudeh, 2007; Malik and Ewing, 2009; Arouri et al., 2011a,b, 2012; Sadorsky, 201”
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, result): “Ewing and Malik (2016) also support the findings of Vo (2011) and Mensi et al. (2013), focusing on WTI and S&P500 volatilities, for the period 1996–2013.”
The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016, background): “Arouri et al. (2011) find significant volatility spillovers from oil to equities in Europe and the US and insignificant spillovers from equities to oil.”