Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis
M Al-Shboul, A Maghyereh - Journal of Economic Structures, 2023 - Springer
This study explores the impact of real economic policy (business condition risk) on the oil–
stock nexus risk connectedness during the COVID-19 pandemic. It uses multivariate wavelet …
stock nexus risk connectedness during the COVID-19 pandemic. It uses multivariate wavelet …
Asymmetric connectedness in the Chinese stock sectors: Overnight and daytime return spillovers
X Yuan, J Long, X Li, C Zhao - Pacific-Basin Finance Journal, 2025 - Elsevier
This paper investigates the asymmetric spillover in the Chinese stock sectors, spanning from
January 2011 to December 2022. Specifically, our work highlights the daytime and overnight …
January 2011 to December 2022. Specifically, our work highlights the daytime and overnight …
Integration and risk transmission across supply, demand, and prices in China's housing market
H Nong - Economic Change and Restructuring, 2024 - Springer
This study explores integration and risk transmission in the Chinese (residential) housing
market using variance decompositions from the vector autoregression model. The study …
market using variance decompositions from the vector autoregression model. The study …
Cross-industry contagion of systemic financial risks from the perspective of dynamic tail risk network: Evidence from China
D Chang, T Fu, W Zhang - International Journal of Financial …, 2024 - World Scientific
Fluctuations in interconnectedness within different industrial sectors are hence critical not
only for financial market stability but also for the development of real economy. Thus, this …
only for financial market stability but also for the development of real economy. Thus, this …
Testing for Differences in High-Frequency Network Connectedness from Variance Decompositions
M Bevilacqua, M Ellington, R Hizmeri - Available at SSRN 4901254, 2024 - papers.ssrn.com
This paper develops a Bayesian Wald-type test for detecting differences in network
connections from variance decompositions over time. The test statistic asymptotically follows …
connections from variance decompositions over time. The test statistic asymptotically follows …
[PDF][PDF] Uncertainty Connectedness between Oil and Commodities
The study examines the uncertainty connectedness between oil and a bouquet of
commodities. We construct a news-based index that measures commodity-specific …
commodities. We construct a news-based index that measures commodity-specific …