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|Title: ||The relationship between energy and equity markets: evidence from volatility impulse response functions|
|Authors: ||Olson, Eric|
Vivian, Andrew J.
Wohar, Mark E.
|Keywords: ||Volatility impulse response functions|
Dynamic hedge ratios
|Issue Date: ||2014|
|Citation: ||OLSON, E., VIVIAN, A.J. and WOHAR, M.E., 2014. The relationship between energy and equity markets: evidence from volatility impulse response functions. Energy Economics, 43, pp.297-305|
|Abstract: ||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 varying dynamic hedge ratios. From volatility impulse response functions, we find that low S&P 500 returns cause substantial increases in the volatility of the energy index; however, we find only a weak response from S&P 500 volatility to energy price shocks. Moreover, our dynamic hedge ratio analysis suggests that the energy index is generally a poor hedging instrument.|
|Description: ||This paper was submitted for publication in the journal Energy Economics.|
|Version: ||Submitted for publication|
|Publisher Link: ||http://dx.doi.org/10.1016/j.eneco.2014.01.009|
|Appears in Collections:||Published Articles (Business School)|
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