Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks
The link between energy and agricultural markets have been studied extensively in the last
two decades. Nonetheless, the literature fails to consider the effects of geopolitical risks …
two decades. Nonetheless, the literature fails to consider the effects of geopolitical risks …
[HTML][HTML] Time-varying price–volume relationship and adaptive market efficiency: A survey of the empirical literature
This paper conducts a review of the literature on the price–volume relationship and its
relation with the implications of the adaptive market hypothesis. The literature on market …
relation with the implications of the adaptive market hypothesis. The literature on market …
Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach
We examine the energy-food nexus using the dependence-switching copula model.
Specifically, we look at the dependence for four distinct market states, such as, increasing oil …
Specifically, we look at the dependence for four distinct market states, such as, increasing oil …
Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory
H Wang, Y Yuan, Y Li, X Wang - Economic Modelling, 2021 - Elsevier
We propose a new approach to the study of financial contagion and contagion channels in
the forex market by using a dynamic mixture copula-extreme value theory (DMC-EVT) …
the forex market by using a dynamic mixture copula-extreme value theory (DMC-EVT) …
Housing market spillovers through the lens of transaction volume: A new spillover index approach
Proposing and applying a new spillover index approach based on data-determined
structural vector autoregression to measure connectedness, we examine the daily housing …
structural vector autoregression to measure connectedness, we examine the daily housing …
Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach
We examine the dependence structure between the BRICS stock and foreign exchange
markets using a dependence-switching copula model. In particular, we examine …
markets using a dependence-switching copula model. In particular, we examine …
Investigating the dynamics of crisis transmission channels: A comparative analysis
Y Yuan, H Wang, T Wang - Journal of International Money and Finance, 2023 - Elsevier
This paper analyzes the growing complexity of cross-market interdependence during
financial crises. From macroeconomic, investor constraint, and quantitative easing policy …
financial crises. From macroeconomic, investor constraint, and quantitative easing policy …
Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach
In this paper, a dependence-switching copula model is used for the first time to analyse the
dependence structure between sectoral equity markets and crude oil prices for India, one of …
dependence structure between sectoral equity markets and crude oil prices for India, one of …
Spatial contagion between financial markets: new evidence of asymmetric measures
W Miled, Z Ftiti, JM Sahut - Annals of Operations Research, 2022 - Springer
The objective of this paper is to identify the presence, direction and time at which the pure
contagion effect occurred between financial markets. In so doing, the aim is to prove the …
contagion effect occurred between financial markets. In so doing, the aim is to prove the …
Price returns and trading volume changes in agricultural futures markets: An empirical analysis with quantile regressions
This work examines the price-volume relationship in six agricultural futures markets using
quantile regressions and daily data from 2010 to 2018. The results suggest that the …
quantile regressions and daily data from 2010 to 2018. The results suggest that the …