Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 …
J Cui, A Maghyereh - International Review of Financial Analysis, 2023 - Elsevier
This paper investigates the higher-order moment risk connectedness between West Texas
Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures …
Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures …
Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets
S Wang - Journal of Commodity Markets, 2023 - Elsevier
Cross-market linkage and spillover effects under extreme risk scenarios have recently
attracted widespread attention from scholars. However, few studies have focused on tail …
attracted widespread attention from scholars. However, few studies have focused on tail …
The impact of oil shocks on systemic risk of the Commodity markets
Z Dai, T Wu - Journal of Systems Science and Complexity, 2024 - Springer
This study examines the influence of oil shocks on systemic risk spillover among the
commodity markets. Specifically, this paper uses the DCC-GARCH approach combined with …
commodity markets. Specifically, this paper uses the DCC-GARCH approach combined with …
Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher …
J Cui, A Maghyereh, D Liao - International Review of Economics & Finance, 2024 - Elsevier
Quantifying the connectedness across the oil and stock markets is vital for global asset
allocation, systemic risk regulation, and prudent policy making. However, existing studies …
allocation, systemic risk regulation, and prudent policy making. However, existing studies …
Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness
O Polat - Financial Innovation, 2024 - Springer
This study examines the time-varying asymmetric interlinkages between nine US sectoral
returns from January 2020 to January 2023. To this end, we used the time-varying …
returns from January 2020 to January 2023. To this end, we used the time-varying …