Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach
This study introduces a novel time-varying parameter vector autoregression (TVP-VAR)
based extended joint connectedness approach in order to characterize connectedness of 11 …
based extended joint connectedness approach in order to characterize connectedness of 11 …
[HTML][HTML] Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis
This study examines the financial connectedness and risk transmission among MENA
economies by accounting for financial connectedness in the short and long run as well …
economies by accounting for financial connectedness in the short and long run as well …
[HTML][HTML] Asymmetric TVP-VAR connectedness between highly traded commodities and hedging strategies: Evidence from major contagions
AK Mishra - Borsa Istanbul Review, 2024 - Elsevier
The objective of this study is to examine the return interconnectedness and asymmetric
spillover effects in global commodity futures markets, with a focus on the impact of …
spillover effects in global commodity futures markets, with a focus on the impact of …
On the connectedness of commodity markets: A critical and selective survey of empirical studies and bibliometric analysis
The low correlation between commodities and traditional assets, particularly after the crash
of the equity market in the year 2000, is seemingly a major factor influencing global …
of the equity market in the year 2000, is seemingly a major factor influencing global …
Dynamic connectedness in commodity futures markets during Covid-19 in India: New evidence from a TVP-VAR extended joint connectedness approach
This paper presents a unique time-varying parameter vector autoregression (TVP-VAR)
based extended joint connectedness approach to quantify the connectedness and …
based extended joint connectedness approach to quantify the connectedness and …
An empirical comparison of correlation-based systemic risk measures
C Pastorino, P Uberti - Quality & Quantity, 2024 - Springer
Despite the growing attention in the last years on the topic of systemic risk, a widely
accepted definition of systemic crisis is missing. We use a theoretical scheme to subjectively …
accepted definition of systemic crisis is missing. We use a theoretical scheme to subjectively …
Proper measures of connectedness
The concept of connectedness has been widely used in financial applications, in particular
for systemic risk detection. Despite its popularity, at the state of the art, a rigorous definition …
for systemic risk detection. Despite its popularity, at the state of the art, a rigorous definition …
Global Balance and Systemic Risk in Financial Correlation Networks
We show that the global balance index of financial correlation networks can be used as a
systemic risk measure. We define the global balance of a network starting from a diffusive …
systemic risk measure. We define the global balance of a network starting from a diffusive …
Unveiling asymmetric return spillovers with portfolio implications among Indian stock sectors during Covid-19 pandemic
AK Mishra, AV Kappagantula - The North American Journal of Economics …, 2025 - Elsevier
This paper aims to provide a systematic inquiry into the return spillover dynamics between a
network of Indian sectoral indices during the pre-and post-pandemic periods. To analyze the …
network of Indian sectoral indices during the pre-and post-pandemic periods. To analyze the …
Market Stress Detection Through Autoencoder's Deep Latent Factors and Random Matrix Theory
M Qyrana, C Carrara, S Figini - Available at SSRN 4930925, 2024 - papers.ssrn.com
The paper proposes an innovative indicator for systemic market risk prediction using random
matrix theory to evaluate multicollinearity among deep latent factors from an autoencoder …
matrix theory to evaluate multicollinearity among deep latent factors from an autoencoder …