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 …
International review of financial analysis: A retrospective evaluation between 1992 and 2020
We provide a comprehensive analysis of the International Review of Financial Analysis
(IRFA) between 1992 and 2020 using bibliometrics, regression analysis, and structural topic …
(IRFA) between 1992 and 2020 using bibliometrics, regression analysis, and structural topic …
COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach
In this paper, we analyze the connectedness between the recent spread of COVID-19, oil
price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in …
price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in …
Exploring the dynamic relationships between cryptocurrencies and other financial assets
We analyse, in the time and frequency domains, the relationships between three popular
cryptocurrencies and a variety of other financial assets. We find evidence of the relative …
cryptocurrencies and a variety of other financial assets. We find evidence of the relative …
Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness
Using the quantile connectedness approach for the median, lower, and upper quantiles, we
examine the return and volatility connectedness between energy and BRIC markets from …
examine the return and volatility connectedness between energy and BRIC markets from …
Asymmetric volatility spillover among Chinese sectors during COVID-19
Inter-sectoral volatility linkages in the Chinese stock market are understudied, especially
asymmetries in realized volatility connectedness, accounting for the catastrophic event …
asymmetries in realized volatility connectedness, accounting for the catastrophic event …
[HTML][HTML] Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre
Utilising Chinese-developed data based on long-standing influenza indices, and the more
recently-developed coronavirus and face mask indices, we set out to test for the presence of …
recently-developed coronavirus and face mask indices, we set out to test for the presence of …
Cryptocurrencies and stock market indices. Are they related?
In this paper, we investigate the stochastic properties of six major cryptocurrencies and their
bilateral linkages with six stock market indices using fractional integration techniques. From …
bilateral linkages with six stock market indices using fractional integration techniques. From …
Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic
Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19
pandemic triggered an urgent need for a study summarising the existing knowledge of …
pandemic triggered an urgent need for a study summarising the existing knowledge of …
Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
Using the spillover index approach and its variants, we examine both static and dynamic
volatility connectedness among eight typical cryptocurrencies. The results reveal that their …
volatility connectedness among eight typical cryptocurrencies. The results reveal that their …