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Oil and non-energy commodity markets : an empirical analysis of volatility spillovers and hedging effectiveness

Dutta, Anupam; Noor, Hasib (Cogent OA, an imprint of Taylor & Francis, 05.05.2017)
article

Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present ...
The asymmetric impact of oil price uncertainty on emerging market financial stress : A quantile regression approach

Das, Debojyoti; Dutta, Anupam; Jana, Rabin K.; Ghosh, Indranil (Wiley, 06.06.2022)
article

This study investigates the effects of the crude oil implied volatility index (OVX) upon emerging market financial stress (EMFS). We resort to a quantile regression framework as this approach is a better alternative to ...