Do oil prices and stock markets move in tandem or in opposite directions? The complex and
time varying relationship between oil prices and stock markets has caught the attention of …

This paper makes three contributions to the literature on forecasting stock returns. First,
unlike the extant literature on oil price and stock returns, we focus on out-of-sample …

With many commodity and financial markets reportedly experiencing poor performances
during this COVID-19 pandemic, this study intends to examine the effect of the pandemic on …

This paper investigates the volatility spillover effects and the dynamic relationships among
WTI crude oil, gold and the Chinese stock markets of new energy vehicle, environmental …

This paper examines the asymmetric return spillovers between crude oil futures, gold futures
and ten sector stock markets of China. The results show using the spillover index of Diebold …

This study examines the dynamic asymmetric return spillovers between gold and oil
commodity futures and 22 European equity sectors using the Diebold and Yilmaz (2012) …

In this study, we first examine the dynamic dependence structure between green bonds
(GBs) and several global and sectoral clean energy (CE) markets by using several time …

This paper uses a trivariate VAR-BEKK-GARCH model to investigate the dynamic
relationship among the Chinese stock market, commodity markets and global oil price. We …

This paper investigates the return volatility spillover effects and the dynamic relationships
among WTI crude oil futures, Natural Gas futures, and the Chinese stock markets related to …

While much research uses multivariate GARCH to model volatility dynamics and risk
measures, one particular type of multivariate GARCH model, GO-GARCH, has been …