scholarly journals Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic

2021 ◽  
Vol 74 ◽  
pp. 102334
Author(s):  
Mohammed M. Elgammal ◽  
Walid M.A. Ahmed ◽  
Abdullah Alshami
Keyword(s):  
Energy Markets ◽  
Volatility Spillovers

scholarly journals Modeling and Analyzing the Mean and Volatility Relationship between Electricity Price Returns and Fuel Market Returns

2016 ◽  
Vol 8 (7) ◽  
pp. 55 ◽  
Author(s):  
Ching-Chun Wei
Keyword(s):  
Statistical Significance ◽  
Dynamic Structure ◽  
Energy Markets ◽  
Market Returns ◽  
Fuel Price ◽  
Asymmetric Effects ◽  
Market Effects ◽  
Volatility Spillovers ◽  
Long Run ◽  
The Mean

<p>This paper has two objectives. First, we apply the symmetric and asymmetric VAR(1)-BEKK-MGARCH(1.1), VAR(1)-CCC-MGARCH(1,1), VAR(1)-DCC-MGARCH, VAR(1)-VARMA-CCC-MGARCH and VAR(1)- VARMA-DCC-MGARCH models to explore the return and volatility interactions among electricity and other fuel price markets(oil, natural gas, and coal). Second, this paper investigates the importance of not only volatility spillover among energy markets, but also the asymmetric effects of negative and positive shockson the conditional variance of modeling one energy market’s volatility upon the returns of future prices within and across other energy markets. The empirical results display that these models do capture the dynamic structure of the return interactions and volatility spillovers and exhibit statistical significance for own past mean and volatility short-and long-run persistence effects, while there are just a few cross-market effects for each model.</p>

Volatility Spillovers in Energy Markets

2019 ◽  
Vol 40 (3) ◽  
Author(s):  
Helena Chuli� ◽  
Dolores Furi� ◽  
Jorge M. Uribe
Keyword(s):  
Energy Markets ◽  
Volatility Spillovers

scholarly journals Cross-commodity news transmission and volatility spillovers in the German energy markets

2018 ◽  
Vol 95 ◽  
pp. 231-243 ◽  
Author(s):  
Rikard Green ◽  
Karl Larsson ◽  
Veronika Lunina ◽  
Birger Nilsson
Keyword(s):  
Energy Markets ◽  
Volatility Spillovers

scholarly journals Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets

2016 ◽  
Author(s):  
Rikard Green ◽  
Karl Larsson ◽  
Veronika Lunina ◽  
Birger Nilsson
Keyword(s):  
Energy Markets ◽  
Volatility Spillovers
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