o:29658 Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers – the multiscale robust quantile regression en Abstract This paper investigates the volatility transmission effect between Brent oil futures and stock markets in the major global oil producing and consuming countries – the U.S., Russia, China and Saudi Arabia. In that process, we employ a mixture of novel and elaborate methodologies – wavelet signal decomposing procedure, GARCH model with complex distribution and recently developed robust quantile regression. Our results indicate that the effect is stronger in short-term horizon than in midterm and long-term in most cases. The magnitude is much stronger in turbulent times, whereas in tranquil times, this effect is very weak. We find that Russian RTS index endures the strongest volatility transmission effect from oil market. Surprisingly, Saudi stock market does not suffer heavy spillover effect even in the periods of increased market unrest. In the U.S. and China, the effect is much stronger from stocks to oil than vice-versa, and this particularly applies for the U.S. case Keywords: Volatility spillover effect, Oil and stock markets, Wavelets, Robust quantile regression 1552099 10.1007/s10258-020-00189-x 1552101 1617-982X 2023-05-19T13:17:50.013Z 44 no 46 Dejan Živkov Slavica Manić Univerzitet u Beogradu Ekonomski fakultet person 12719207 0000-0003-2730-3215 Jelena Kovačević person Željana Trbović person application/pdf 1375948 https://phaidrabg.bg.ac.rs/o:29658 no yes 1 70 92000001 11A03 Portuguese Economic Journal 21 1 67 93 2022