Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak
The spillover effect is a significant factor impacting the volatility of commodity prices. Unlike
earlier studies, this research uses the rolling window-based Quantile VAR (QVAR) model to …
earlier studies, this research uses the rolling window-based Quantile VAR (QVAR) model to …
Extreme return connectedness and its determinants between clean/green and dirty energy investments
Previous studies point to the time-variation and asymmetry in the relationship between clean
energy stocks and crude oil markets, but there is a lack of evidence on the return spillovers …
energy stocks and crude oil markets, but there is a lack of evidence on the return spillovers …
Quantile connectedness in the cryptocurrency market
In order to move beyond mean-based connectedness measures in the cryptocurrency
market and capture connectedness under extreme events, this paper applies quantile-based …
market and capture connectedness under extreme events, this paper applies quantile-based …
Extreme spillovers among fossil energy, clean energy, and metals markets: Evidence from a quantile-based analysis
J Chen, Z Liang, Q Ding, Z Liu - Energy Economics, 2022 - Elsevier
By combining the traditional Diebold–Yilmaz (2012, 2014) spillover index with the quantile
method, we study the extreme spillovers among fossil energy, clean energy, and metals …
method, we study the extreme spillovers among fossil energy, clean energy, and metals …
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 …
Extreme spillovers across Asian-Pacific currencies: a quantile-based analysis
Abstract The Asia-Pacific region remains understudied regarding return connectedness
among exchange rate markets. Furthermore, previous studies mostly use average-based …
among exchange rate markets. Furthermore, previous studies mostly use average-based …
Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers
The aim of this study is to examine the extreme return spillovers among the US stock market
sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional …
sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional …
Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Evidence from a quantile-based analysis
Z Dai, X Zhang, Z Yin - Energy Economics, 2023 - Elsevier
This paper combines quantile regression with time-varying vector autoregressive (TVP−
VAR) model to study extreme spillover effects among high carbon emission stocks, green …
VAR) model to study extreme spillover effects among high carbon emission stocks, green …
Extreme dependence and spillovers between uncertainty indices and stock markets: Does the US market play a major role?
This study investigates the spillovers and connectedness between uncertainty indices of oil
gold, and stock (VIX), the economic policy uncertainty (EPU) and international stock markets …
gold, and stock (VIX), the economic policy uncertainty (EPU) and international stock markets …
Quantile spillovers and connectedness analysis between oil and African stock markets
This study examines the spillovers and connectedness between oil and the African stock
markets under bearish, normal, and bullish market conditions. Using the quantile …
markets under bearish, normal, and bullish market conditions. Using the quantile …