Tail risk spillover network among green bond, energy and agricultural markets under extreme weather scenarios
This paper explores the tail risk spillover patterns among eight US green bond, energy, and
agricultural commodity markets conditional on different extreme weather conditions, using a …
agricultural commodity markets conditional on different extreme weather conditions, using a …
[HTML][HTML] AI, FinTech and clean minerals: A wavelet analysis and quantile value-at-risk investigation
The increasing demand for clean minerals and the rise of new-age technologies present
significant challenges and opportunities for sustainable development. This study aims to …
significant challenges and opportunities for sustainable development. This study aims to …
[HTML][HTML] Cross-quantile risk assessment: The interplay of crude oil, artificial intelligence, clean tech, and other markets
M Gubareva, M Shafiullah, T Teplova - Energy Economics, 2024 - Elsevier
This paper explores the interconnections among oil, artificial intelligence (AI), clean
technology, and traditional markets. We apply a novel generalized quantile-on-quantile …
technology, and traditional markets. We apply a novel generalized quantile-on-quantile …
Early Warning of Systemic Risk in Commodity Markets Based on Transfer Entropy Networks: Evidence from China
This study aims to employ a causal network model based on transfer entropy for the early
warning of systemic risk in commodity markets. We analyzed the dynamic causal …
warning of systemic risk in commodity markets. We analyzed the dynamic causal …
Financial fusion: Bridging Islamic and Green investments in the European stock market
Given the historic decoupling nature of Islamic and green financial instruments with
conventional financial markets this study investigated the interconnectedness of the …
conventional financial markets this study investigated the interconnectedness of the …
Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping?
M Potrykus - Finance Research Letters, 2024 - Elsevier
The article investigates the existence of a price bubble in the artificial intelligence market,
employing the Generalised Supremum Augmented Dickey-Fuller test and dynamic time …
employing the Generalised Supremum Augmented Dickey-Fuller test and dynamic time …
Tail risk contagion and connectedness between crude oil, natural gas, heating oil, precious metals, and international stock markets
We apply the QVAR connectedness and frequency causality methods to investigate tail risk
contagion, quantile dependency, and causality linkages among the spot prices of equity …
contagion, quantile dependency, and causality linkages among the spot prices of equity …
Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers?
In this paper, we examine the time-varying tail risks transmission among the agricultural,
precious metals, and energy commodities markets, and explore how climate change …
precious metals, and energy commodities markets, and explore how climate change …
Commodity market downturn: Systemic risk and spillovers during left tail events
We investigate systemic risk and spillovers in the commodity network during left-tail events
using state-of-the-art methodologies: the Component Exponent Shortfall (CES), Quantile …
using state-of-the-art methodologies: the Component Exponent Shortfall (CES), Quantile …
Multilayer networks for measuring interconnectedness among global stock markets through the lens of trading volume-price relationship
Y Xiang, S Borjigin - Global Finance Journal, 2024 - Elsevier
Using daily data spanning from 5 January 2004 to 22 November 2022, we quantify the
spillover effects between 42 global stock markets. Specifically, combining causal structure …
spillover effects between 42 global stock markets. Specifically, combining causal structure …