The relationship between energy and equity markets: evidence from volatility impulse response functions

This paper examines the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate BEKK model of the Goldman Sach's Energy Index and the S&P 500; in addition, we also calculate the time varying conditional correlations and time...

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Bibliographic Details
Main Authors: Eric Olson, Andrew Vivian, Mark Wohar
Format: Default Article
Published: 2014
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Mechanical engineering not elsewhere classified
Volatility impulse response functions
Dynamic hedge ratios
Volatility spillovers
Conditional correlation
Commodity market
Equity index
Mechanical Engineering
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/24284
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