The connectedness in the world petroleum futures markets using a Quantile VAR approach
This paper investigates how the six major petroleum futures Oman crude, NYMEX RBOB
gasoline, ICE low sulphur gasoil, ICE Brent crude, NYMEX light sweet crude and NYMEX …
gasoline, ICE low sulphur gasoil, ICE Brent crude, NYMEX light sweet crude and NYMEX …
Climate policy uncertainty and the price dynamics of green and brown energy stocks
Using the newly proposed textual-based climate policy uncertainty index of Gavriilidis
(2021), we provide the first empirical evidence that climate policy uncertainty is a significant …
(2021), we provide the first empirical evidence that climate policy uncertainty is a significant …
The Russia-Ukraine conflict and volatility risk of commodity markets
Y Fang, Z Shao - Finance Research Letters, 2022 - Elsevier
We construct a new index to measure the intensity of the Russia-Ukraine conflict and use it
to examine to what extent and through which channels does this conflict affect the volatility …
to examine to what extent and through which channels does this conflict affect the volatility …
Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach
This study introduces a novel time-varying parameter vector autoregression (TVP-VAR)
based extended joint connectedness approach in order to characterize connectedness of 11 …
based extended joint connectedness approach in order to characterize connectedness of 11 …
Causal discovery from temporal data: An overview and new perspectives
Temporal data, representing chronological observations of complex systems, has always
been a typical data structure that can be widely generated by many domains, such as …
been a typical data structure that can be widely generated by many domains, such as …
Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
Using the spillover index approach and its variants, we examine both static and dynamic
volatility connectedness among eight typical cryptocurrencies. The results reveal that their …
volatility connectedness among eight typical cryptocurrencies. The results reveal that their …
Quantile connectedness: modeling tail behavior in the topology of financial networks
T Ando, M Greenwood-Nimmo… - Management Science, 2022 - pubsonline.informs.org
We develop a new technique to estimate vector autoregressions with a common factor error
structure by quantile regression. We apply our technique to study credit risk spillovers …
structure by quantile regression. We apply our technique to study credit risk spillovers …
China's commercial bank stock price prediction using a novel K-means-LSTM hybrid approach
Y Chen, J Wu, Z Wu - Expert Systems with Applications, 2022 - Elsevier
China's commercial Bank shares have become the backbone of the capital market. The
prediction of a bank's stock price has been a hot topic in the investment field. However, the …
prediction of a bank's stock price has been a hot topic in the investment field. However, the …
Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies
This paper introduces a novel framework of partial connectedness measures to investigate
contagion dynamics between different types of oil price shocks and exchange rates. Oil price …
contagion dynamics between different types of oil price shocks and exchange rates. Oil price …
Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach
This study investigates the tail risk spillovers between the crude oil market and the stock
markets of twelve major oil-importing and seven oil-exporting countries. We employ a novel …
markets of twelve major oil-importing and seven oil-exporting countries. We employ a novel …