Volatility spillovers across global asset classes: Evidence from time and frequency domains

Tiwari, Aviral Kumar; Cuñado, Juncal; Gupta, Rangan; Wohar, Mark E.

doi:10.1016/j.qref.2018.05.001

Cited by 137 publications

(87 citation statements)

References 45 publications

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“…Liu et al [31] examine the spillovers of return and volatility from fossil fuel energies (crude oil, coal, natural gas) to electricity spot and three electricity futures in Europe using the same time-frequency domain frameworks. Tiwari et al [32] examine the volatility spillovers among four global assets, including currency, credit default swaps, sovereign bonds, and stocks, using the Diebold-Yilmaz approach and Barunik and Krehlik method.…”

Section: Literature Reviewmentioning

confidence: 99%

Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?

Liu

Hamori

2020

Energies

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This paper examines the spillovers of return and volatility transmitted from fossil energies (crude oil and natural gas) and several important financial variables (stock market index, bonds, and the volatility index) to renewable stock markets in the US and Europe under the time-frequency domain frameworks. The total spillovers of return and volatility from all variables to renewable stock markets in the US are higher than those in Europe. Stock markets transmit the highest return spillovers to renewable energy stocks, which far exceed the spillovers from fossil energy to renewable energy stocks in both regions. In addition, both return and volatility spillovers could be enhanced, possibly due to specific events or sudden changes in prices. In particular, extreme events such as the Brexit referendum in 2016 influenced mostly the volatility spillovers across European markets. Moreover, the spillovers of return and volatility are contingent on frequency, and most return spillovers are concentrated at the high frequency, whereas most volatility spillovers are concentrated at the low frequency. These results remind investors that it is necessary to consider the investment horizon when making their financial decisions on renewable energy investment.

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Section: Literature Reviewmentioning

confidence: 99%

Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?

Liu

Hamori

2020

Energies

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“…For corresponding studies on co-movements in gold and oil returns, see References [14][15][16][17], and references cited therein. A literature review on return and volatility spillovers across asset classes can be found in Reference [18].…”

Section: Introductionmentioning

confidence: 99%

The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures

2019

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This paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects for daily crude oil and gold futures. We use a modified version of the jump-robust covariance estimator of Koike (2016), such that the estimated matrix is positive definite. Using this approach, we can disentangle the estimates of the integrated co-volatility matrix and jump variations from the quadratic covariation matrix. Empirical results show that more than 80% of the co-volatility of the two futures contains jump variations and that they have significant impacts on future co-volatility but that the impact is negligible in forecasting weekly and monthly horizons.

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“…are used. SeeCreal et al (2013) for details.5 Before moving into our discussion of the findings, it must be highlighted that the outlined spillover estimation framework is due toBarunik & Krehlik (2018) and seems to be gaining popularity in relevant literature (see e.g.,Corbet et al, 2018;Lau et al, 2017;Tiwari et al, 2018). Spillover estimation byBarunik & Krehlik (2018) is closely related to the framework ofDiebold & Yilmaz (2012) and can be regarded as an extension of the latter.…”

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confidence: 99%

The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country

Semeyutin

Lau

et al. 2020

Finance Research Letters

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This study evaluated volatility spillovers among oil price, volatility index and a pool of the credit default swaps for emerging market economies. A special role was ascribed to the time-varying interdependencies and connectedness from the perspectives of Kazakhstan, an oil exporting country. The result shows that Kazakhstan may be more resistant to the volatility, which originated from the other emerging countries. However, Kazakhstan is more sensitive to the global "fear index barometer" of volatility index and oil price volatility. The results might be appealing for portfolio diversification strategies because Kazakhstan's credit default swaps are in the low oil dependency regime.

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Volatility spillovers across global asset classes: Evidence from time and frequency domains

Cited by 137 publications

References 45 publications

Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?

Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?

The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures

The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country

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