[HTML][HTML] Forecasting: theory and practice
Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …
uncertainty that surrounds the future is both exciting and challenging, with individuals and …
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 …
Diversification in the age of the 4th industrial revolution: The role of artificial intelligence, green bonds and cryptocurrencies
In the context of the 4th industrial revolution, artificial intelligence (AI) and environmental
challenges, this study investigates the role of AI, robotics stocks and green bonds in portfolio …
challenges, this study investigates the role of AI, robotics stocks and green bonds in portfolio …
Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets
This study examines the dynamic asymmetric return spillovers between gold and oil
commodity futures and 22 European equity sectors using the Diebold and Yilmaz (2012) …
commodity futures and 22 European equity sectors using the Diebold and Yilmaz (2012) …
[PDF][PDF] Pass-through Effects of Oil Prices on LATAM Emerging Stocks before and during COVID-19: An Evidence from a Wavelet-VAR Analysis
Vector Auto regression model (VAR) a time-varying parameter is applied to study the effect
of oil price shocks on the returns of stocks in the LATAM (Latin American) markets. Coherent …
of oil price shocks on the returns of stocks in the LATAM (Latin American) markets. Coherent …
Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis
This study explores the dynamic co-movement between oil and six stock markets (China,
India, Japan, Saudi Arabia, Russia, and Canada) by using two types of wavelet analysis …
India, Japan, Saudi Arabia, Russia, and Canada) by using two types of wavelet analysis …
Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies
This paper introduces a novel framework of partial connectedness measures to investigate
contagion dynamics between different types of oil price shocks and exchange rates. Oil price …
contagion dynamics between different types of oil price shocks and exchange rates. Oil price …
Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method
This study combines the variational mode decomposition (VMD) method and static and time-
varying symmetric and asymmetric copula functions to examine the dependence structure …
varying symmetric and asymmetric copula functions to examine the dependence structure …
Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS
This paper investigates the dynamic dependence and risk spillover between BRICS stock
returns and different types of oil shocks, combining the Structural VAR model and time …
returns and different types of oil shocks, combining the Structural VAR model and time …
Uncertainty and crude oil returns
We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using
copulas to construct multivariate distributions of time-series data permit the calculation of the …
copulas to construct multivariate distributions of time-series data permit the calculation of the …