This article investigates the dependence structure between the agricultural commodity
prices (white maize, yellow maize, wheat, sunflower and soya) and energy prices (oil …

Purpose The purpose of this study is to investigate the correlation between the price return
of leading cryptocurrencies, including Bitcoin, Ethereum, Ripple, Litecoin, Monero, Stellar …

This study examined how the relationships among the fossil fuel, clean energy stock, gold,
and Bitcoin markets have changed since the COVID-19 pandemic took place for hedging the …

Context: modeling volatility is an advanced technique in financial econometrics, with several
applications for academic research. Objective: in this tutorial paper, we will address the topic …

The oil price-inflation relationship has been at the center of attention among economists and
policy analysts, especially after 1970's oil shocks that resulted in a significant increase in the …

This chapter provides a survey of various multivariate GARCH specifications that model the
temporal dependence in the second moment of multivariate return series processes. The …

The relationship between corn and ethanol markets has become a popular topic and has
been investigated in various studies. However, examining the co-volatility spillover between …

This paper explores the dynamic relationship among bank credit, house prices and carbon
dioxide emissions in China by systematically analyzing related data from January 2000 to …

Most trading systems developed from technical indicators are designed to operate in either
trending or non-trending markets but they are rarely useful for both markets. A reaction trend …

The information flow in the volatility and the skewness of returns are two factors closely
influences the hedging risks for cross-border transactions. This article adopts a VAR–BEKK …