In this study, we compare the safe-haven properties of Bitcoin, gold, and the commodity
index against world, developed, emerging, USA, and Chinese stock market indices for the …

Abstract Changes in the composite stock price index are a barometer of social and
economic development. To improve the accuracy of stock price index prediction, this paper …

This paper aims to study the co-movement and the volatility fluctuation between stock
markets in the Association of Southeast Asian Nations (ASEAN) countries from a new …

This paper extends wavelet methodology to handle comovement dynamics of multivariate
time series via moving weighted regression on wavelet coefficients. The concept of wavelet …

Applying the TVP-VAR model, we creatively construct multilayer information spillover
networks containing return spillover layer, volatility spillover layer and extreme risk spillover …

This paper uses the VMD-Copula-ΔCoVaR model to examine the dynamic characteristics of
extreme risk spillovers between the oil market and BRICS stock markets during COVID-19 …

We investigate the time-varying dependence structures between G7 and BRICS countries'
sovereign credit default swap (CDS) spreads for different timescales by combining wavelet …

Purpose This study aims to examine the determinants of bank stability based on three
measures of bank stability while accounting for key bank-specific, macro-finance and …

This paper constructs a tail event driven network to investigate the interdependence of tail
risks among industries in the Chinese stock market from 2014 to 2019, and identifies …

This study examines the power law properties of 11 US credit and stock markets at the
industry level. We use multifractal detrended fluctuation analysis (MF-DFA) and multifractal …