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SSRNDerivatives & Volatility

Modeling Volatility Spillovers Between Petroleum and Stocks

The study analyzes the relationship between petroleum prices and stock sector indices in Canada, Saudi Arabia, the US, and China, revealing diverse volatility interdependencies and fluctuating optimal portfolio weights and hedge ratios.

Featured in No. 99 on 30 May 2025 · 1 day after release

Released
29 May 2025
First featured
No. 99 · 30 May 2025
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
4
Identifier
SSRN 5273787

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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