{"id":"https://openalex.org/W2883114138","doi":"https://doi.org/10.1016/j.eneco.2018.07.027","title":"On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach","display_name":"On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach","publication_year":2018,"publication_date":"2018-07-29","ids":{"openalex":"https://openalex.org/W2883114138","doi":"https://doi.org/10.1016/j.eneco.2018.07.027","mag":"2883114138"},"language":"en","primary_location":{"id":"doi:10.1016/j.eneco.2018.07.027","doi":"https://doi.org/10.1016/j.eneco.2018.07.027","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.eneco.2018.07.027","pdf_url":null,"source":{"id":"https://openalex.org/S94499970","display_name":"Energy Economics","issn_l":"0140-9883","issn":["0140-9883","1873-6181"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Energy Economics","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hdl.handle.net/11129/12687","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5014189498","display_name":"Mehmet Balc\u0131lar","orcid":"https://orcid.org/0000-0001-9694-5196","observed_orcids":["https://orcid.org/0000-0001-9694-5196"]},"institutions":[{"id":"https://openalex.org/I36515993","display_name":"Eastern Mediterranean University","ror":"https://ror.org/00excyz84","country_code":"CY","type":"education","lineage":["https://openalex.org/I36515993"]},{"id":"https://openalex.org/I4210131537","display_name":"MBS School of Business","ror":"https://ror.org/037tw3m02","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210131537"]},{"id":"https://openalex.org/I69552723","display_name":"University of Pretoria","ror":"https://ror.org/00g0p6g84","country_code":"ZA","type":"education","lineage":["https://openalex.org/I69552723"]}],"countries":["CY","FR","ZA"],"is_corresponding":false,"raw_author_name":"Mehmet Balcilar","raw_affiliation_strings":["Department of Economics, Eastern Mediterranean University, Famagusta, T. R. North Cyprus, via Mersin 10, Turkey","Department of Economics, University of Pretoria, Pretoria 0002, South Africa","Montpellier Business School, Montpellier, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Eastern Mediterranean University, Famagusta, T. R. North Cyprus, via Mersin 10, Turkey","institution_ids":["https://openalex.org/I36515993"]},{"raw_affiliation_string":"Department of Economics, University of Pretoria, Pretoria 0002, South Africa","institution_ids":["https://openalex.org/I69552723"]},{"raw_affiliation_string":"Montpellier Business School, Montpellier, France","institution_ids":["https://openalex.org/I4210131537"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5038883380","display_name":"Shawkat M. Hammoudeh","orcid":"https://orcid.org/0000-0002-5455-5453","observed_orcids":["https://orcid.org/0000-0002-5455-5453"]},"institutions":[{"id":"https://openalex.org/I4210131537","display_name":"MBS School of Business","ror":"https://ror.org/037tw3m02","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210131537"]},{"id":"https://openalex.org/I72816309","display_name":"Drexel University","ror":"https://ror.org/04bdffz58","country_code":"US","type":"education","lineage":["https://openalex.org/I72816309"]}],"countries":["FR","US"],"is_corresponding":false,"raw_author_name":"Shawkat Hammoudeh","raw_affiliation_strings":["Lebow College of Business, Drexel University, Philadelphia, PA, USA","Montpellier Business School, Montpellier, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Lebow College of Business, Drexel University, Philadelphia, PA, USA","institution_ids":["https://openalex.org/I72816309"]},{"raw_affiliation_string":"Montpellier Business School, Montpellier, France","institution_ids":["https://openalex.org/I4210131537"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5078910095","display_name":"Elif Akay Toparl\u0131","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I36515993","display_name":"Eastern Mediterranean University","ror":"https://ror.org/00excyz84","country_code":"CY","type":"education","lineage":["https://openalex.org/I36515993"]}],"countries":["CY"],"is_corresponding":true,"raw_author_name":"Elif Akay Toparli","raw_affiliation_strings":["Department of Economics, Eastern Mediterranean University, Famagusta, T. R. North Cyprus, via Mersin 10, Turkey"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Eastern Mediterranean University, Famagusta, T. R. North Cyprus, via Mersin 10, Turkey","institution_ids":["https://openalex.org/I36515993"]}]}],"institutions":[],"countries_distinct_count":4,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5078910095"],"corresponding_institution_ids":["https://openalex.org/I36515993"],"apc_list":{"value":4280,"currency":"USD","value_usd":4280},"apc_paid":null,"fwci":5.8019,"has_fulltext":false,"cited_by_count":50,"citation_normalized_percentile":{"value":0.95915114,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":95,"max":99},"biblio":{"volume":"74","issue":null,"first_page":"813","last_page":"827"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.002400000113993883,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11711","display_name":"COVID-19 Pandemic Impacts","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/risk-spillovers","display_name":"risk spillovers","score":0.9359999895095825},{"id":"https://openalex.org/keywords/volatility-spillovers","display_name":"volatility spillovers","score":0.9739999771118164},{"id":"https://openalex.org/keywords/oil-market","display_name":"oil market","score":0.8960000276565552},{"id":"https://openalex.org/keywords/stock-market","display_name":"stock market","score":0.7860000133514404},{"id":"https://openalex.org/keywords/credit-default-swaps","display_name":"credit default swaps","score":0.9829999804496765},{"id":"https://openalex.org/keywords/wti-crude-oil-futures","display_name":"WTI crude oil futures","score":0.7760000228881836},{"id":"https://openalex.org/keywords/vix","display_name":"VIX","score":0.6389999985694885},{"id":"https://openalex.org/keywords/stock-market-volatility","display_name":"stock market volatility","score":0.7250000238418579},{"id":"https://openalex.org/keywords/lehman-brothers-bankruptcy","display_name":"Lehman Brothers bankruptcy","score":0.8519999980926514},{"id":"https://openalex.org/keywords/natural-gas-industry","display_name":"natural gas industry","score":0.9959999918937683},{"id":"https://openalex.org/keywords/utility-sector","display_name":"utility sector","score":0.9959999918937683}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6724671721458435},{"id":"https://openalex.org/C55527203","wikidata":"https://www.wikidata.org/wiki/Q334194","display_name":"Spillover effect","level":2,"score":0.645086944103241},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.5570672750473022},{"id":"https://openalex.org/C70784835","wikidata":"https://www.wikidata.org/wiki/Q1049071","display_name":"West Texas Intermediate","level":3,"score":0.5566238760948181},{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.5535514950752258},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.532768189907074},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.48480215668678284},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4526869058609009},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.43747660517692566},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4298708438873291},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.42950111627578735},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.4111124873161316},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.4049201011657715},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.38620492815971375},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.2629970908164978},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.18160396814346313},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0943605899810791},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.eneco.2018.07.027","doi":"https://doi.org/10.1016/j.eneco.2018.07.027","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.eneco.2018.07.027","pdf_url":null,"source":{"id":"https://openalex.org/S94499970","display_name":"Energy Economics","issn_l":"0140-9883","issn":["0140-9883","1873-6181"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Energy Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:eneeco:v:74:y:2018:i:c:p:813-827","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0140988318302779","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:i-rep.emu.edu.tr:11129/12687","doi":null,"is_oa":true,"landing_page_url":"https://hdl.handle.net/11129/12687","pdf_url":null,"source":{"id":"https://openalex.org/S4306402300","display_name":"Eastern Mediterranean University Institutional Repository (Eastern Mediterranean University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I36515993","host_organization_name":"Eastern Mediterranean University","host_organization_lineage":["https://openalex.org/I36515993"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"}],"best_oa_location":{"id":"pmh:oai:i-rep.emu.edu.tr:11129/12687","doi":null,"is_oa":true,"landing_page_url":"https://hdl.handle.net/11129/12687","pdf_url":null,"source":{"id":"https://openalex.org/S4306402300","display_name":"Eastern Mediterranean University Institutional Repository (Eastern Mediterranean University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I36515993","host_organization_name":"Eastern Mediterranean University","host_organization_lineage":["https://openalex.org/I36515993"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":64,"referenced_works":["https://openalex.org/W1482241473","https://openalex.org/W1497656116","https://openalex.org/W1511647749","https://openalex.org/W1529112126","https://openalex.org/W1564319424","https://openalex.org/W1567579011","https://openalex.org/W1594348241","https://openalex.org/W1600814911","https://openalex.org/W1629883981","https://openalex.org/W1899865046","https://openalex.org/W1966017674","https://openalex.org/W1969610664","https://openalex.org/W1970482607","https://openalex.org/W1970999465","https://openalex.org/W1971393332","https://openalex.org/W1974843079","https://openalex.org/W1977018057","https://openalex.org/W1977480757","https://openalex.org/W1989292978","https://openalex.org/W1990303559","https://openalex.org/W1993117258","https://openalex.org/W1998968611","https://openalex.org/W2008702027","https://openalex.org/W2013458455","https://openalex.org/W2019459021","https://openalex.org/W2021292846","https://openalex.org/W2021604287","https://openalex.org/W2022921407","https://openalex.org/W2025899806","https://openalex.org/W2028738662","https://openalex.org/W2030659905","https://openalex.org/W2033562162","https://openalex.org/W2040343460","https://openalex.org/W2046105906","https://openalex.org/W2062207105","https://openalex.org/W2066928381","https://openalex.org/W2074380893","https://openalex.org/W2079615115","https://openalex.org/W2081085020","https://openalex.org/W2081378407","https://openalex.org/W2091358667","https://openalex.org/W2091592366","https://openalex.org/W2109341760","https://openalex.org/W2127169188","https://openalex.org/W2127223208","https://openalex.org/W2131426928","https://openalex.org/W2135472182","https://openalex.org/W2155797117","https://openalex.org/W2169476066","https://openalex.org/W2317354687","https://openalex.org/W2321750104","https://openalex.org/W2539434941","https://openalex.org/W2788667447","https://openalex.org/W2790429593","https://openalex.org/W2891277411","https://openalex.org/W3121151953","https://openalex.org/W3121328583","https://openalex.org/W3122088046","https://openalex.org/W3122186884","https://openalex.org/W3123165716","https://openalex.org/W3123791576","https://openalex.org/W3124335938","https://openalex.org/W3124372532","https://openalex.org/W3125092579"],"related_works":["https://openalex.org/W6987071509","https://openalex.org/W2066928381","https://openalex.org/W3040497382","https://openalex.org/W7096281319","https://openalex.org/W4385491864","https://openalex.org/W2083890400","https://openalex.org/W126648966","https://openalex.org/W3003240351","https://openalex.org/W4284882167","https://openalex.org/W152147950"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":7},{"year":2025,"cited_by_count":7},{"year":2024,"cited_by_count":9},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":8},{"year":2021,"cited_by_count":7},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":4}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2018-08-03T00:00:00"}