The connectedness between crude oil and financial markets: Evidence from implied volatility indices
(2016)
Journal Article
Awartani, B., Maghyereh, A., & Guermat, C. (2016). The connectedness between crude oil and financial markets: Evidence from implied volatility indices. Journal of Commodity Markets, 4(1), 56-69
In this paper we exploit newly introduced implied volatility indexes to investigate the directional risk transfer from oil to US equities, Euro/Dollar exchange rates, precious metals and agricultural commodities. We find significant volatility transm... Read More about The connectedness between crude oil and financial markets: Evidence from implied volatility indices.