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q-fin.ST2014
How does bad and good volatility spill over across petroleum markets?
Jozef Barunik, Evzen Kocenda, Lukas Vacha
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 p…
q-fin.ST2013★ 1 cited
Gold, Oil, and Stocks
Jozef Barunik, Evzen Kocenda, Lukas Vacha
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987…