Volatility spillovers across Russian oil and gas sector. Evidence of the impact of global markets and extraordinary events

Vladimir Balash and Alexey Faizliev

Energy Economics, 2024, vol. 129, issue C

Abstract: This paper provides empirical evidence on the evolution of the impact of external shocks on the volatility connectedness of Russian oil and gas companies’ stock prices. We examine how the spillover structure has changed following the outbreak of COVID-19, as well as under the impact of the 2022–2023 events.

Keywords: Volatility spillover; Stock markets; Commodity markets; Economic and political crises; Augmented vector autoregressive models; COVID-19; Russian–Ukrainian military shock (search for similar items in EconPapers)
JEL-codes: C32 F3 G12 Q43 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988323007004
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007004

DOI: 10.1016/j.eneco.2023.107202

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().