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 …
Modeling return and volatility spillover networks of global new energy companies
This paper constructs the returns and volatility system networks of the global new energy
companies using the connectedness network approach. Then, it measures the information …
companies using the connectedness network approach. Then, it measures the information …
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 …
Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments …
This study has been inspired by the emergence of socially responsible investment practices
in mainstream investment activity as it examines the transmission of return patterns between …
in mainstream investment activity as it examines the transmission of return patterns between …
[HTML][HTML] Is non-fungible token pricing driven by cryptocurrencies?
M Dowling - Finance Research Letters, 2022 - Elsevier
In early 2021, non-fungible tokens (NFT) became the first application of blockchain
technology to achieve clear public prominence. NFTs are tradeable rights to digital assets …
technology to achieve clear public prominence. NFTs are tradeable rights to digital assets …
Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis
Motivated by lack of empirical research on volatility linkages among clean-energy stock
markets and fossil fuel markets during the recent Covid-19 pandemic, the study examines …
markets and fossil fuel markets during the recent Covid-19 pandemic, the study examines …
NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic
In this paper, we analyze the connectedness between returns for non-fungible tokens (NFTs)
and other financial assets (equities, bonds, currencies, gold, oil, Ethereum) during the period …
and other financial assets (equities, bonds, currencies, gold, oil, Ethereum) during the period …
Static and dynamic connectedness between NFTs, Defi and other assets: Portfolio implication
I Yousaf, L Yarovaya - Global Finance Journal, 2022 - Elsevier
The paper examines the return and volatility transmission between NFTs, Defi assets, and
other assets (oil, gold, Bitcoin, and S&P 500) using the TVP-VAR framework. The results …
other assets (oil, gold, Bitcoin, and S&P 500) using the TVP-VAR framework. The results …
Financial contagion during COVID–19 crisis
This study examines how financial contagion occurs through financial and nonfinancial firms
between China and G7 countries during the COVID–19 period. The empirical results show …
between China and G7 countries during the COVID–19 period. The empirical results show …
Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions
N Antonakakis, I Chatziantoniou… - Journal of Risk and …, 2020 - mdpi.com
In this study, we enhance the dynamic connectedness measures originally introduced by
Diebold and Yılmaz (2012, 2014) with a time-varying parameter vector autoregressive …
Diebold and Yılmaz (2012, 2014) with a time-varying parameter vector autoregressive …