Oil Volatility Spillovers to the US and EU industries
This essay examines the volatility spillover effects from oil price shocks across different US and EU industries, using a GJR-GARCH(1,1) model. We conclude that the European industries are much more sensitive to oil and stock market shocks compared to their US counterparts. In US, oil news have significant effect only on Basic Materials, Industrials, Utilities and Consumer Services and coefficient
