This paper uses a time-varying Granger causality test and time-varying parameter vector
autoregression with stochastic volatility model to analyze the effects of infectious disease …

Unprecedented increases in European natural gas prices observed between late 2021 and
mid 2022 raise a question about the sources of these events. In this article we investigate …

In this paper we show that the Chilean exchange rate has the ability to predict the returns of
oil and of three additional oil-related products: gasoline, propane and heating oil. We show …

The random walk, no-change forecast is a customary benchmark in the literature on
forecasting commodity prices. We challenge this custom by examining whether alternative …

Purpose This study examines the dynamics of financial institution development among
economies in sub-Saharan Africa (SSA) and how volatility in forex-adjusted price of key …

Unprecedented increases in European natural gas prices observed in late 2021 and early
2022 raise a question about the sources of these events. In this article we investigate this …

Asymmetric price transmission has been the subject of many studies in agricultural
economics, but few has been said on Quebec grain market. This study uses threshold …

In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict
base metal prices. We use both in-sample and out-of-sample exercises to conduct such …

By modelling dynamism in the global oil market by three essential market-centric
observables (viz., Market Expansion, Market Regime, and Market Liquidity), we study …

This study analyses whether nonlinear methods are powerful enough to outperform
consistently the no-change forecast for prices of key energy commodities, ie Brent crude oil …