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Lu Yang

Not to be confused with: Yang Lu

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.

    Cited by:

    1. Sara Boni & Massimiliano Caporin & Francesco Ravazzolo, 2024. "Nowcasting Inflation at Quantiles: Causality from Commodities," BEMPS - Bozen Economics & Management Paper Series BEMPS102, Faculty of Economics and Management at the Free University of Bozen.

  2. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.

    Cited by:

    1. D’Amico, Guglielmo & De Blasis, Riccardo & Petroni, Filippo, 2023. "The Mixture Transition Distribution approach to networks: Evidence from stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 632(P1).

  3. Yang, Lu & Hamori, Shigeyuki, 2023. "Modeling the global sovereign credit network under climate change," International Review of Financial Analysis, Elsevier, vol. 87(C).

    Cited by:

    1. Chatjuthamard, Pattanaporn & Singh, Simran & Jiraporn, Pornsit & Lee, Sang Mook, 2024. "Climate change exposure, shareholder wealth, and the adoption of the Paris agreement: A text-based approach," International Review of Financial Analysis, Elsevier, vol. 94(C).
    2. Naifar, Nader, 2024. "Spillover among Sovereign Credit Risk and the Role of Climate Uncertainty," Finance Research Letters, Elsevier, vol. 61(C).
    3. Yang, Lu, 2023. "Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk," Resources Policy, Elsevier, vol. 82(C).

  4. Ho, Kung-Cheng & Yang, Lu & Luo, Sijia, 2022. "Information disclosure ratings and continuing overreaction: Evidence from the Chinese capital market," Journal of Business Research, Elsevier, vol. 140(C), pages 638-656.

    Cited by:

    1. Baochen Yang & Yifang Liu & Yunpeng Su, 2023. "Earnings communication conferences and post‐earnings‐announcement drift: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2145-2185, June.
    2. Blasco-Arcas, Lorena & Kastanakis, Minas N. & Alcañiz, Mariano & Reyes-Menendez, Ana, 2023. "Leveraging user behavior and data science technologies for management: An overview," Journal of Business Research, Elsevier, vol. 154(C).
    3. Huang, Chuangxia & Cai, Yaqian & Yang, Xiaoguang & Deng, Yanchen & Yang, Xin, 2023. "Laplacian-energy-like measure: Does it improve the Cross-Sectional Absolute Deviation herding model?," Economic Modelling, Elsevier, vol. 127(C).
    4. Li, Kun & Li, Xiaokai, 2024. "How does Employee Education Affect Employer's Corporate Social Responsibility? Evidence from China," Economics Letters, Elsevier, vol. 234(C).
    5. Huang, Huiqin & Wang, Chenglong & Yu, Wei & Zhu, Keying, 2023. "Does powerful executive holding a dual post as the board secretary reduce nonpunitive regulation?," International Review of Financial Analysis, Elsevier, vol. 89(C).
    6. Ho, Kung-Cheng & Shen, Xixi & Yan, Cheng & Hu, Xiang, 2023. "Influence of green innovation on disclosure quality: Mediating role of media attention," Technological Forecasting and Social Change, Elsevier, vol. 188(C).
    7. Zhou, Xinxing & Gao, Yan & Wang, Ping & Zhu, Bangzhu, 2022. "Examining the overconfidence and overreaction in China’s carbon markets," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 472-489.
    8. Cao, Jiawei & Dong, Dayong & Yue, Sishi, 2024. "Institutional investors’ site visits and firms’ financial distress," Research in International Business and Finance, Elsevier, vol. 67(PB).
    9. Gaowen Kong & T. Dongmin Kong & Ni Qin & Li Yu, 2023. "Ethnic Diversity, Trust and Corporate Social Responsibility: The Moderating Effects of Marketization and Language," Journal of Business Ethics, Springer, vol. 187(3), pages 449-471, October.
    10. Liu, Huan & Hou, Canran, 2023. "The impact of institutional investors' corporate site visits on corporate social responsibility," Emerging Markets Review, Elsevier, vol. 55(C).
    11. Aarju Poudel & Sudip Bhusal & Durga Datt Pathak, 2024. "Behaviour Bias and Investment Decision in Nepalese Investors," International Journal of Business and Management, Canadian Center of Science and Education, vol. 19(2), pages 1-85, March.
    12. Zhou, Lu Jolly & Kong, Weimin & Li, Yunshen, 2023. "Cross-listing and predation risk in product markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    13. Lipeng Sun & Nur Ashikin Mohd Saat, 2023. "How Does Intelligent Manufacturing Affect the ESG Performance of Manufacturing Firms? Evidence from China," Sustainability, MDPI, vol. 15(4), pages 1-20, February.

  5. Yang, Lu, 2022. "Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe," Journal of Commodity Markets, Elsevier, vol. 25(C).

    Cited by:

    1. Behzad Alimoradian & Jeffrey Jakubiak & Stephane Loisel & Yahia Salhi, 2023. "Understanding Key Drivers of Participant Cash Flows for Individually Managed Stable Value Funds," Risks, MDPI, vol. 11(8), pages 1-27, August.
    2. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
    3. Hasan Yildizhan & Cihan Yıldırım & Shiva Gorjian & Arman Ameen, 2023. "How May New Energy Investments Change the Sustainability of the Turkish Industrial Sector?," Sustainability, MDPI, vol. 15(2), pages 1-15, January.
    4. Zhao, Yihang & Zhou, Zhenxi & Zhang, Kaiwen & Huo, Yaotong & Sun, Dong & Zhao, Huiru & Sun, Jingqi & Guo, Sen, 2023. "Research on spillover effect between carbon market and electricity market: Evidence from Northern Europe," Energy, Elsevier, vol. 263(PF).
    5. Viktor Koval & Oksana Borodina & Iryna Lomachynska & Piotr Olczak & Anzor Mumladze & Dominika Matuszewska, 2022. "Model Analysis of Eco-Innovation for National Decarbonisation Transition in Integrated European Energy System," Energies, MDPI, vol. 15(9), pages 1-19, May.
    6. Qiao, Sen & Dang, Yi Jing & Ren, Zheng Yu & Zhang, Kai Quan, 2023. "The dynamic spillovers among carbon, fossil energy and electricity markets based on a TVP-VAR-SV method," Energy, Elsevier, vol. 266(C).
    7. Jing Deng & Yujie Zheng & Yun Zhang & Cheng Liu & Huanxue Pan, 2023. "Dynamic Spillovers between Carbon Price and Power Sector Returns in China: A Network-Based Analysis before and after Launching National Carbon Emissions Trading Market," Energies, MDPI, vol. 16(14), pages 1-27, July.
    8. Yang, Lu, 2023. "Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk," Resources Policy, Elsevier, vol. 82(C).
    9. Xu Zhang & Xian Yang & Jianping Li & Jun Hao, 2023. "Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 705-733, June.
    10. Jieqiong Wang & Shichao Hu & Ziyi Zhang, 2023. "Does Environmental Regulation Promote Eco-Innovation Performance of Manufacturing Firms?—Empirical Evidence from China," Energies, MDPI, vol. 16(6), pages 1-18, March.
    11. Beibei Hu & Yunhe Cheng, 2023. "Prediction of Regional Carbon Price in China Based on Secondary Decomposition and Nonlinear Error Correction," Energies, MDPI, vol. 16(11), pages 1-22, May.

  6. Yang, Lu & Hamori, Shigeyuki, 2021. "The role of the carbon market in relation to the cryptocurrency market: Only diversification or more?," International Review of Financial Analysis, Elsevier, vol. 77(C).

    Cited by:

    1. Pham, Linh & Huynh, Toan Luu Duc & Hanif, Waqas, 2023. "Time-varying asymmetric spillovers among cryptocurrency, green and fossil-fuel investments," Global Finance Journal, Elsevier, vol. 58(C).
    2. Qin, Meng & Su, Chi-Wei & Lobonţ, Oana-Ramona & Umar, Muhammad, 2023. "Blockchain: A carbon-neutral facilitator or an environmental destroyer?," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 604-615.
    3. Podhorsky, Andrea, 2023. "Taxing bitcoin: Incentivizing the difficulty adjustment mechanism to reduce electricity usage," International Review of Financial Analysis, Elsevier, vol. 86(C).
    4. Liu, Jiatong & Zhu, You & Wang, Gang-Jin & Xie, Chi & Wang, Qilin, 2024. "Risk contagion of NFT: A time-frequency risk spillover perspective in the Carbon-NFT-Stock system," Finance Research Letters, Elsevier, vol. 59(C).
    5. Qin, Meng & Zhang, Xiaojing & Li, Yameng & Badarcea, Roxana Maria, 2023. "Blockchain market and green finance: The enablers of carbon neutrality in China," Energy Economics, Elsevier, vol. 118(C).
    6. Zhu, Pengfei & Lu, Tuantuan & Shang, Yue & Zhang, Zerong & Wei, Yu, 2023. "Can China's national carbon trading market hedge the risks of light and medium crude oil? A comparative analysis with the European carbon market," Finance Research Letters, Elsevier, vol. 58(PA).
    7. Daniel Guterding, 2023. "Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities," Risks, MDPI, vol. 11(5), pages 1-24, April.
    8. Pagnottoni, Paolo, 2023. "Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
    9. Wei Jiang & Yanyu Zhang, 2023. "Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1183-1203, September.
    10. Lee, Chi-Chuan & Yu, Chin-Hsien & Zhang, Jian, 2023. "Heterogeneous dependence among cryptocurrency, green bonds, and sustainable equity: New insights from Granger-causality in quantiles analysis," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 99-109.
    11. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Unveiling the diversification capabilities of carbon markets in NFT portfolios," Finance Research Letters, Elsevier, vol. 58(PD).
    12. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    13. Ren, Yi-Shuai & Ma, Chao-Qun & Chen, Xun-Qi & Lei, Yu-Tian & Wang, Yi-Ran, 2023. "Sustainable finance and blockchain: A systematic review and research agenda," Research in International Business and Finance, Elsevier, vol. 64(C).
    14. Ali, Fahad & Khurram, Muhammad Usman & Sensoy, Ahmet & Vo, Xuan Vinh, 2024. "Green cryptocurrencies and portfolio diversification in the era of greener paths," Renewable and Sustainable Energy Reviews, Elsevier, vol. 191(C).
    15. Shiyi Wu & Rui Niu, 2024. "Development of carbon finance in China based on the hybrid MCDM method," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-11, December.
    16. Liu, Jiatong, 2023. "Time-frequency correlations and extreme spillover effects between carbon markets and NFTs: The roles of EPU and COVID-19," Finance Research Letters, Elsevier, vol. 54(C).
    17. Osman, Myriam Ben & Galariotis, Emilios & Guesmi, Khaled & Hamdi, Haykel & Naoui, Kamel, 2023. "Diversification in financial and crypto markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
    18. Chen, Huayi & Shi, Huai-Long & Zhou, Wei-Xing, 2024. "Carbon volatility connectedness and the role of external uncertainties: Evidence from China," Journal of Commodity Markets, Elsevier, vol. 33(C).
    19. Abakah, Emmanuel Joel Aikins & Wali Ullah, GM & Adekoya, Oluwasegun B. & Osei Bonsu, Christiana & Abdullah, Mohammad, 2023. "Blockchain market and eco-friendly financial assets: Dynamic price correlation, connectedness and spillovers with portfolio implications," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 218-243.
    20. Ye, Wang & Wong, Wing-Keung & Arnone, Gioia & Nassani, Abdelmohsen A. & Haffar, Mohamed & Faiz, Muhammad Fauzinudin, 2023. "Crypto currency and green investment impact on global environment: A time series analysis," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 155-169.
    21. Sharif, Arshian & Brahim, Mariem & Dogan, Eyup & Tzeremes, Panayiotis, 2023. "Analysis of the spillover effects between green economy, clean and dirty cryptocurrencies," Energy Economics, Elsevier, vol. 120(C).
    22. Chi-Wei Su & Yuru Song & Hsu-Ling Chang & Weike Zhang & Meng Qin, 2023. "Could Cryptocurrency Policy Uncertainty Facilitate U.S. Carbon Neutrality?," Sustainability, MDPI, vol. 15(9), pages 1-15, May.
    23. Pham, Linh & Karim, Sitara & Naeem, Muhammad Abubakr & Long, Cheng, 2022. "A tale of two tails among carbon prices, green and non-green cryptocurrencies," International Review of Financial Analysis, Elsevier, vol. 82(C).
    24. Beibei Hu & Yunhe Cheng, 2023. "Prediction of Regional Carbon Price in China Based on Secondary Decomposition and Nonlinear Error Correction," Energies, MDPI, vol. 16(11), pages 1-22, May.

  7. Yang, Lu & Hamori, Shigeyuki, 2021. "Systemic risk and economic policy uncertainty: International evidence from the crude oil market," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 142-158.

    Cited by:

    1. Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh & BenSaïda, Ahmed & Hernandez, Jose Arreola & Kang, Sang Hoon, 2023. "Dependence and risk management of portfolios of metals and agricultural commodity futures," Resources Policy, Elsevier, vol. 82(C).
    2. Long, Shaobo & Zhang, Rui & Hao, Jing, 2022. "Asymmetric impact of Sino-US interest rate differentials and economic policy uncertainty ratio on RMB exchange rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    3. Yang, Lu & Hamori, Shigeyuki, 2023. "Modeling the global sovereign credit network under climate change," International Review of Financial Analysis, Elsevier, vol. 87(C).
    4. Zhang, Yunhan & Ji, Qiang & Zhang, Dayong & Guo, Kun, 2024. "How does Shanghai crude oil futures affect top global oil companies: The role of multi-uncertainties," Energy Economics, Elsevier, vol. 131(C).
    5. Alola, Andrew Adewale & Özkan, Oktay & Obekpa, Hephzibah Onyeje, 2023. "Examining the patterns of disaggregate energy security risk and crude oil price: the USA scenario over 1970–2040," Resources Policy, Elsevier, vol. 82(C).
    6. Huszár, Zsuzsa R. & Kotró, Balázs B. & Tan, Ruth S.K., 2023. "Dynamic volatility transfer in the European oil and gas industry," Energy Economics, Elsevier, vol. 127(PA).
    7. Xiang, Youtao & Borjigin, Sumuya, 2024. "Investment network and stock’s systemic risk contribution: Evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 113-132.
    8. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    9. Pacelli, Vincenzo & Miglietta, Federica & Foglia, Matteo, 2022. "The extreme risk connectedness of the new financial system: European evidence," International Review of Financial Analysis, Elsevier, vol. 84(C).
    10. Charemza, Wojciech & Makarova, Svetlana & Rybiński, Krzysztof, 2022. "Economic uncertainty and natural language processing; The case of Russia," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 546-562.
    11. Chen, Zhenlong & Zheng, Changmei & Hao, Xiaozhen, 2022. "Volatility spillover effect between internet finance and banks," Journal of Business Research, Elsevier, vol. 141(C), pages 512-519.
    12. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
    13. Ren, Yinghua & Tan, Anqi & Zhu, Huiming & Zhao, Wanru, 2022. "Does economic policy uncertainty drive nonlinear risk spillover in the commodity futures market?," International Review of Financial Analysis, Elsevier, vol. 81(C).

  8. Lu Yang & Shigeyuki Hamori, 2020. "Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach," Energies, MDPI, vol. 13(14), pages 1-27, July.

    Cited by:

    1. Yanqiong Liu & Zhenghui Li & Yanyan Yao & Hao Dong, 2021. "Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil," Energies, MDPI, vol. 14(13), pages 1-22, July.
    2. Alkathery, Mohammed A. & Chaudhuri, Kausik & Nasir, Muhammad Ali, 2022. "Implications of clean energy, oil and emissions pricing for the GCC energy sector stock," Energy Economics, Elsevier, vol. 112(C).
    3. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
    4. Michał Woźniak & Marcin Chlebus, 2021. "HCR & HCR-GARCH – novel statistical learning models for Value at Risk estimation," Working Papers 2021-10, Faculty of Economic Sciences, University of Warsaw.

  9. Wu, Kai & Zhu, Jingran & Xu, Mingli & Yang, Lu, 2020. "Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).

    Cited by:

    1. Alkathery, Mohammed A. & Chaudhuri, Kausik & Nasir, Muhammad Ali, 2023. "Dependence between the GCC energy equities, global clean energy and emission markets: Evidence from wavelet analysis," Energy Economics, Elsevier, vol. 121(C).
    2. Kinkyo, Takuji, 2020. "Volatility interdependence on foreign exchange markets: The contribution of cross-rates," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    3. Boateng, Ebenezer & Asafo-Adjei, Emmanuel & Addison, Alex & Quaicoe, Serebour & Yusuf, Mawusi Ayisat & Abeka, Mac Junior & Adam, Anokye M., 2022. "Interconnectedness among commodities, the real sector of Ghana and external shocks," Resources Policy, Elsevier, vol. 75(C).
    4. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2022. "Spillovers and diversification benefits between oil futures and ASEAN stock markets," Resources Policy, Elsevier, vol. 79(C).
    5. Jiang, Wei & Liu, Yan, 2021. "The asymmetric effect of crude oil prices on stock prices in major international financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    6. Carlos David Cardona-Arenas & Rafael Gómez-Gómez & Eliana Morales-Zuluaga, 2023. "COVID-19 and its short-term informational impact on the stock markets of the Pacific Alliance countries," SN Business & Economics, Springer, vol. 3(5), pages 1-23, May.
    7. Koushik Mandal & Radhika Prosad Datta, 2022. "Analysing Time-frequency Relationship between Oil price and Sectoral Indices in India using Wavelet Techniques," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 192-201, September.
    8. Tomiwa Sunday Adebayo & Dervis Kirikkaleli, 2021. "Impact of renewable energy consumption, globalization, and technological innovation on environmental degradation in Japan: application of wavelet tools," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(11), pages 16057-16082, November.
    9. Matos, Paulo & Costa, Antonio & da Silva, Cristiano, 2021. "COVID-19, stock market and sectoral contagion in US: a time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 57(C).
    10. Kruel, Maximiliano & Ceretta, Paulo Sergio, 2022. "Asymmetric influences on Latin American stock markets: A quantile approach," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    11. Tong, Yuan & Wan, Ning & Dai, Xingyu & Bi, Xiaoyi & Wang, Qunwei, 2022. "China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?," Energy Economics, Elsevier, vol. 109(C).
    12. Ghaemi Asl, Mahdi & Adekoya, Oluwasegun Babatunde & Rashidi, Muhammad Mahdi & Ghasemi Doudkanlou, Mohammad & Dolatabadi, Ali, 2022. "Forecast of Bayesian-based dynamic connectedness between oil market and Islamic stock indices of Islamic oil-exporting countries: Application of the cascade-forward backpropagation network," Resources Policy, Elsevier, vol. 77(C).
    13. Su, Zhi & Xu, Fuwei, 2021. "Dynamic identification of systemically important financial markets in the spread of contagion: A ripple network based collective spillover effect approach," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
    14. Mensi, Walid & Alomari, Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Extreme quantile spillovers and connectedness between oil and Chinese sector markets: A portfolio hedging analysis," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    15. Satish Kumar & Rabeh Khalfaoui & Aviral Kumar Tiwari, 2021. "Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries," Post-Print hal-03797578, HAL.
    16. Lee, Chi-Chuan & Lee, Chien-Chiang & Li, Yong-Yi, 2021. "Oil price shocks, geopolitical risks, and green bond market dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    17. Zhu, Huiming & Huang, Xi & Ye, Fangyu & Li, Shuang, 2024. "Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    18. Yonghong Jiang & Jinqi Mu & He Nie & Lanxin Wu, 2022. "Time‐frequency analysis of risk spillovers from oil to BRICS stock markets: A long‐memory Copula‐CoVaR‐MODWT method," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3386-3404, July.
    19. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Precious metals, oil, and ASEAN stock markets: From global financial crisis to global health crisis," Resources Policy, Elsevier, vol. 73(C).
    20. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 397-419.
    21. Heinlein, Reinhold & Legrenzi, Gabriella D. & Mahadeo, Scott M.R., 2021. "Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 223-229.
    22. Jiliang Sheng & Juchao Li & Jun Yang, 2022. "Tail Dependency and Risk Spillover between Oil Market and Chinese Sectoral Stock Markets—An Assessment of the 2013 Refined Oil Pricing Reform," Energies, MDPI, vol. 15(16), pages 1-19, August.
    23. Kinkyo, Takuji, 2022. "The intermediating role of the Chinese renminbi in Asian currency markets: Evidence from partial wavelet coherence," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    24. Mohammad Al-Shboul & Aktham Maghyereh, 2023. "Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 12(1), pages 1-23, December.
    25. Jing Hao & Feng He & Feng Ma & Tong Fu, 2023. "Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 771-791, June.
    26. Marcos Albuquerque Junior & José António Filipe & Paulo de Melo Jorge Neto & Cristiano da Costa da Silva, 2021. "Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio," Mathematics, MDPI, vol. 9(5), pages 1-16, March.
    27. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    28. Nekhili, Ramzi & Ziadat, Salem Adel & Mensi, Walid, 2023. "Frequency interdependence and portfolio management between gold, oil and sustainability stock markets," International Economics, Elsevier, vol. 176(C).
    29. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Quantile spillovers and connectedness analysis between oil and African stock markets," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 60-83.
    30. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    31. Sharif, Arshian & Aloui, Chaker & Yarovaya, Larisa, 2020. "COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach," International Review of Financial Analysis, Elsevier, vol. 70(C).
    32. Bales, Stephan & Burghof, Hans-Peter, 2024. "Public attention, sentiment and the default of Silicon Valley Bank," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    33. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
    34. Emmanuel Asafo-Adjei & Ebenezer Boateng & Zangina Isshaq & Anthony Adu-Asare Idun & Peterson Owusu Junior & Anokye M Adam, 2021. "Financial sector and economic growth amid external uncertainty shocks: Insights into emerging economies," PLOS ONE, Public Library of Science, vol. 16(11), pages 1-26, November.
    35. Younis, Ijaz & Shah, Waheed Ullah & Hkiri, Besma & Qureshi, Fiza & Longsheng, Cheng, 2023. "Risk co-movements and portfolio strategies between energy, gold and BRICS markets," Resources Policy, Elsevier, vol. 82(C).
    36. Opeoluwa Adeniyi Adeosun & Mosab I. Tabash & Xuan Vinh Vo & Suhaib Anagreh, 2023. "Uncertainty measures and inflation dynamics in selected global players: a wavelet approach," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(4), pages 3389-3424, August.
    37. Ngo Thai Hung & Xuan Vinh Vo, 2023. "Multi-scale Features of Interdependence Between Oil Prices and Stock Prices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 475-504, September.
    38. Si Mohammed, Kamel & Tedeschi, Marco & Mallek, Sabrine & Tarczyńska-Łuniewska, Małgorzata & Zhang, Anqi, 2023. "Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash," Resources Policy, Elsevier, vol. 85(PA).
    39. Bhattacherjee, Purba & Mishra, Sibanjan & Kang, Sang Hoon, 2023. "Does market sentiment and global uncertainties influence ESG-oil nexus? A time-frequency analysis," Resources Policy, Elsevier, vol. 86(PA).
    40. Kliber, Agata & Łęt, Blanka, 2022. "Degree of connectedness and the transfer of news across the oil market and the European stocks," Energy, Elsevier, vol. 239(PC).
    41. Mensi, Walid & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2023. "Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices: Evidence from partial and multivariate wavelet approaches," Resources Policy, Elsevier, vol. 80(C).
    42. Xu, Lei. & Hamori, Shigeyuki & Kinkyo, Takuji, 2021. "Continuous wavelet analysis of Chinese renminbi: Co-movement and lead-lag relationship between onshore and offshore exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    43. Beibei Hu & Yunhe Cheng, 2023. "Prediction of Regional Carbon Price in China Based on Secondary Decomposition and Nonlinear Error Correction," Energies, MDPI, vol. 16(11), pages 1-22, May.
    44. Fiaz Ahmad Sulehri & Noor Fatima, 2022. "Nexus Among Commodity Markets And Stock Markets In Asian Countries Before & During Covid," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 11(4), pages 1-14.
    45. Boubaker, Heni & Larbi, Ons Ben, 2022. "Dynamic dependence and hedging strategies in BRICS stock markets with oil during crises," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 263-279.

  10. Chen, Wang & Ho, Kung-Cheng & Yang, Lu, 2020. "Network structures and idiosyncratic contagion in the European sovereign credit default swap market," International Review of Financial Analysis, Elsevier, vol. 72(C).

    Cited by:

    1. Bajaj, Vimmy & Kumar, Pawan & Singh, Vipul Kumar, 2023. "Systemwide directional connectedness from Crude Oil to sovereign credit risk," Journal of Commodity Markets, Elsevier, vol. 30(C).
    2. Vukovic, Darko B. & Lapshina, Kseniya A. & Maiti, Moinak, 2021. "Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    3. Xue Cui & Lu Yang, 2024. "Systemic risk and idiosyncratic networks among global systemically important banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 58-75, January.
    4. Lin, Junqin & Wang, Fan & Wei, Lijian, 2021. "Alumni social networks and hedge fund performance: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 78(C).
    5. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
    6. Zhao, Chengguo & Li, Meng & Wang, Jun & Ma, Shujian, 2021. "The mechanism of credit risk contagion among internet P2P lending platforms based on a SEIR model with time-lag," Research in International Business and Finance, Elsevier, vol. 57(C).
    7. Liu, Peipei & Huang, Wei-Qiang, 2022. "Modelling international sovereign risk information spillovers: A multilayer network approach," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    8. Zhao, Wandi & Gao, Yang, 2024. "Dynamic patterns and the latent community structure of sectoral volatility and jump risk contagion," Emerging Markets Review, Elsevier, vol. 59(C).
    9. Yang, Lu & Hamori, Shigeyuki, 2023. "Modeling the global sovereign credit network under climate change," International Review of Financial Analysis, Elsevier, vol. 87(C).
    10. Zhao, Wandi & Gao, Yang, 2023. "Network connectedness and the contagion structure of informed trading: Evidence from the time and frequency domains," International Review of Financial Analysis, Elsevier, vol. 90(C).
    11. Ballester, Laura & López, Jesúa & Pavía, Jose M., 2023. "European systemic credit risk transmission using Bayesian networks," Research in International Business and Finance, Elsevier, vol. 65(C).
    12. Yang, Lu, 2023. "Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk," Resources Policy, Elsevier, vol. 82(C).
    13. Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
    14. Yuan, Ying & Wang, Haiying & Jin, Xiu, 2022. "Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19," International Review of Financial Analysis, Elsevier, vol. 83(C).
    15. Sawsen Bouker & Faysal Mansouri, 2022. "Sovereign contagion risk measure across financial markets in the eurozone: a bivariate copulas and Markov Regime Switching ARMA based approaches," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 158(2), pages 615-711, May.
    16. Ho, Kung-Cheng & Lee, Shih-Cheng & Chen, Jiun-Lin, 2022. "Book-to-market equity and asset correlations—An international study," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 258-274.
    17. Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    18. Yfanti, Stavroula & Karanasos, Menelaos & Zopounidis, Constantin & Christopoulos, Apostolos, 2023. "Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics," European Journal of Operational Research, Elsevier, vol. 304(2), pages 813-831.
    19. Wu, Baohui & Zhu, Pingheng & Yin, Hua & Wen, Fenghua, 2023. "The risk spillover of high carbon enterprises in China: Evidence from the stock market," Energy Economics, Elsevier, vol. 126(C).

  11. Yang, Lu & Yang, Lei & Ho, Kung-Cheng & Hamori, Shigeyuki, 2020. "Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach," Journal of Asian Economics, Elsevier, vol. 68(C).

    Cited by:

    1. Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh & BenSaïda, Ahmed & Hernandez, Jose Arreola & Kang, Sang Hoon, 2023. "Dependence and risk management of portfolios of metals and agricultural commodity futures," Resources Policy, Elsevier, vol. 82(C).
    2. Ibhagui, Oyakhilome, 2021. "How do sovereign risk, equity and foreign exchange derivatives markets interact?," Economic Modelling, Elsevier, vol. 97(C), pages 58-78.
    3. Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
    4. Yang, Jizhe & Jiang, Tingfeng & Wen, Xingchun & Dai, Lu, 2024. "Time-varying and spillover effects of the macroeconomy on nonfinancial corporate financialization: Evidence from China," Journal of Asian Economics, Elsevier, vol. 90(C).
    5. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    6. Lu Yang & Shigeyuki Hamori, 2020. "Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach," Energies, MDPI, vol. 13(14), pages 1-27, July.
    7. Yunsong Xu & Hanying Qi & Jiaqi Li & Ning Ding, 2021. "The Risk Spillover Effects of the Real Estate Industry on the Financial Industry: A GARCH-Time-Varying-Copula-CoVaR Approach on China," SAGE Open, , vol. 11(4), pages 21582440211, December.
    8. Yao, Can-Zhong & Li, Min-Jian, 2023. "GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    9. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    10. Zhu, Pengfei & Tang, Yong & Wei, Yu & Lu, Tuantuan, 2021. "Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic," Energy, Elsevier, vol. 231(C).
    11. Jieqiong Wang & Shichao Hu & Ziyi Zhang, 2023. "Does Environmental Regulation Promote Eco-Innovation Performance of Manufacturing Firms?—Empirical Evidence from China," Energies, MDPI, vol. 16(6), pages 1-18, March.
    12. Tonmoy Choudhury & Simone Scagnelli & Jaime Yong & Zhaoyong Zhang, 2021. "Non-Traditional Systemic Risk Contagion within the Chinese Banking Industry," Sustainability, MDPI, vol. 13(14), pages 1-16, July.

  12. Xiaojing Cai & Shigeyuki Hamori & Lu Yang & Shuairu Tian, 2020. "Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management," Energies, MDPI, vol. 13(2), pages 1-24, January.

    Cited by:

    1. Muhammad Hanif, 2020. "Relationship between Oil and Stock Markets: Evidence from Pakistan Stock Exchange," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 150-157.
    2. Alao, Rasheed O. & Payaslioglu, Cem, 2021. "Oil price uncertainty and industrial production in oil-exporting countries," Resources Policy, Elsevier, vol. 70(C).
    3. Zhu, Huiming & Meng, Liang & Ge, Yajing & Hau, Liya, 2020. "Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    4. Ngo Thai HUNG, 2020. "Conditional dependence between oil prices and CEE stock markets: a copula-GARCH approach Abstract: This study investigates both the constant and time-varying conditional dependency between crude oil a," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 11, pages 62-86, June.
    5. Ngo Thai Hung & Xuan Vinh Vo, 2023. "Multi-scale Features of Interdependence Between Oil Prices and Stock Prices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 475-504, September.
    6. Zhu, Huiming & Yu, Dongwei & Hau, Liya & Wu, Hao & Ye, Fangyu, 2022. "Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    7. Rasheed O. Alao & Abdulkareem Alhassan & Saheed Alao & Ifedolapo O. Olanipekun & Godwin O. Olasehinde-Williams & Ojonugwa Usman, 2023. "Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7," Letters in Spatial and Resource Sciences, Springer, vol. 16(1), pages 1-14, December.
    8. Jieqiong Wang & Shichao Hu & Ziyi Zhang, 2023. "Does Environmental Regulation Promote Eco-Innovation Performance of Manufacturing Firms?—Empirical Evidence from China," Energies, MDPI, vol. 16(6), pages 1-18, March.

  13. Peng, Wei & Hu, Shichao & Chen, Wang & Zeng, Yu-feng & Yang, Lu, 2019. "Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 137-149.

    Cited by:

    1. Alexandros Pasiouras & Theodoros Daglis, 2020. "The Dollar Exchange Rates in the Covid-19 Era: Evidence from 5 Currencies," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 352-361.
    2. Wen, Tiange & Wang, Gang-Jin, 2020. "Volatility connectedness in global foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 54(C).
    3. Shen, Yiran & Liu, Chang & Sun, Xiaolei & Guo, Kun, 2023. "Investor sentiment and the Chinese new energy stock market: A risk–return perspective," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 395-408.
    4. Seyed Mohammad Sina Seyfi & Azin Sharifi & Hamidreza Arian, 2020. "Portfolio Risk Measurement Using a Mixture Simulation Approach," Papers 2011.07994, arXiv.org.
    5. Hong Eun Moon & Si Won Choi & Yoon Hee Ha, 2024. "Prioritizing factors for the sustainable growth of Vietnam's solar photovoltaic power market," Energy & Environment, , vol. 35(4), pages 2151-2177, June.
    6. Maud Korley & Evangelos Giouvris, 2022. "The Impact of Oil Price and Oil Volatility Index (OVX) on the Exchange Rate in Sub-Saharan Africa: Evidence from Oil Importing/Exporting Countries," Economies, MDPI, vol. 10(11), pages 1-29, November.
    7. Seyfi, Seyed Mohammad Sina & Sharifi, Azin & Arian, Hamidreza, 2021. "Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 190(C), pages 1056-1079.
    8. Lu Yang & Shigeyuki Hamori, 2020. "Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach," Energies, MDPI, vol. 13(14), pages 1-27, July.
    9. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    10. Konstantinos N. Konstantakis & Ioannis G. Melissaropoulos & Theodoros Daglis & Panayotis G. Michaelides, 2023. "The euro to dollar exchange rate in the Covid‐19 era: Evidence from spectral causality and Markov‐switching estimation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2037-2055, April.

  14. Lu Yang & Lei Yang & Kung-Cheng Ho & Shigeyuki Hamori, 2019. "Determinants of the Long-Term Correlation between Crude Oil and Stock Markets," Energies, MDPI, vol. 12(21), pages 1-15, October.

    Cited by:

    1. Vincenzo Candila & Denis Maximov & Alexey Mikhaylov & Nikita Moiseev & Tomonobu Senjyu & Nicole Tryndina, 2021. "On the Relationship between Oil and Exchange Rates of Oil-Exporting and Oil-Importing Countries: From the Great Recession Period to the COVID-19 Era," Energies, MDPI, vol. 14(23), pages 1-18, December.
    2. Wang, Xiong & Li, Jingyao & Ren, Xiaohang & Bu, Ruijun & Jawadi, Fredj, 2023. "Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions," Energy Economics, Elsevier, vol. 117(C).
    3. Balli, Faruk & O Balli, Hatice & Nguyen, Thi Thu Ha, 2023. "Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?," Journal of Commodity Markets, Elsevier, vol. 31(C).
    4. Karol Szafranek & Marek Kwas & Grzegorz Szafrański & Zuzanna Wośko, 2020. "Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach," Energies, MDPI, vol. 13(23), pages 1-23, November.
    5. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
    6. Tao, Chen & Zhong, Guang-Yan & Li, Jiang-Cheng, 2023. "Dynamic correlation and risk resonance among industries of Chinese stock market: New evidence from time–frequency domain and complex network perspectives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 614(C).
    7. Li, Jiang-Cheng & Xu, Ming-Zhe & Han, Xu & Tao, Chen, 2022. "Dynamic risk resonance between crude oil and stock market by econophysics and machine learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    8. Jieqiong Wang & Shichao Hu & Ziyi Zhang, 2023. "Does Environmental Regulation Promote Eco-Innovation Performance of Manufacturing Firms?—Empirical Evidence from China," Energies, MDPI, vol. 16(6), pages 1-18, March.
    9. Liu, Min & Lee, Chien-Chiang, 2022. "Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS," Resources Policy, Elsevier, vol. 76(C).
    10. Boubaker, Heni & Larbi, Ons Ben, 2022. "Dynamic dependence and hedging strategies in BRICS stock markets with oil during crises," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 263-279.

  15. Yang, Lu, 2019. "Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective," Energy Economics, Elsevier, vol. 80(C), pages 219-233.

    Cited by:

    1. Salem, Leila Ben & Nouira, Ridha & Jeguirim, Khaled & Rault, Christophe, 2022. "The Determinants of Crude Oil Prices: Evidence from ARDL and Nonlinear ARDL Approaches," IZA Discussion Papers 15666, Institute of Labor Economics (IZA).
    2. Hao-Lin Shao & Ying-Hui Shao & Yan-Hong Yang, 2021. "New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach," Papers 2110.02693, arXiv.org.
    3. Assaf, Ata & Charif, Husni & Mokni, Khaled, 2021. "Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?," Resources Policy, Elsevier, vol. 72(C).
    4. Qi, Songqiao & Sun, Tianmin, 2024. "Resource curse in OPEC with varied levels of financial regulations and constraints: The role of oil price shocks and digital finance," Resources Policy, Elsevier, vol. 91(C).
    5. Wang, Yilei & Cheng, Sheng & Cao, Yan, 2022. "How does economic policy uncertainty respond to the global oil price fluctuations? Evidence from BRICS countries," Resources Policy, Elsevier, vol. 79(C).
    6. Hedi Ben Haddad & Imed Mezghani & Abdessalem Gouider, 2021. "The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties," Economies, MDPI, vol. 9(2), pages 1-22, June.
    7. Yingce Yang & Junjie Guo & Ruihong He, 2023. "The Asymmetric Impact of the Oil Price and Disaggregate Shocks on Economic Policy Uncertainty: Evidence From China," SAGE Open, , vol. 13(2), pages 21582440231, June.
    8. Tadahiro Nakajima & Yuki Toyoshima, 2020. "Examination of the Spillover Effects among Natural Gas and Wholesale Electricity Markets Using Their Futures with Different Maturities and Spot Prices," Energies, MDPI, vol. 13(7), pages 1-14, March.
    9. Dutta, Anupam & Bouri, Elie & Saeed, Tareq, 2021. "News-based equity market uncertainty and crude oil volatility," Energy, Elsevier, vol. 222(C).
    10. Claudiu Tiberiu Albulescu, 2020. "Coronavirus and oil price crash," Working Papers hal-02507184, HAL.
    11. Yang, Lu & Hamori, Shigeyuki, 2021. "Systemic risk and economic policy uncertainty: International evidence from the crude oil market," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 142-158.
    12. Zhang, Hongwei & Jin, Chen & Bouri, Elie & Gao, Wang & Xu, Yahua, 2023. "Realized higher-order moments spillovers between commodity and stock markets: Evidence from China," Journal of Commodity Markets, Elsevier, vol. 30(C).
    13. Lin, Boqiang & Bai, Rui, 2021. "Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective," Research in International Business and Finance, Elsevier, vol. 56(C).
    14. Wei, Yu & Zhang, Yaojie & Wang, Yudong, 2022. "Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent," International Review of Financial Analysis, Elsevier, vol. 81(C).
    15. Gu, Xin & Zhu, Zixiang & Yu, Minli, 2021. "The macro effects of GPR and EPU indexes over the global oil market—Are the two types of uncertainty shock alike?," Energy Economics, Elsevier, vol. 100(C).
    16. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
    17. Hasan Yildizhan & Cihan Yıldırım & Shiva Gorjian & Arman Ameen, 2023. "How May New Energy Investments Change the Sustainability of the Turkish Industrial Sector?," Sustainability, MDPI, vol. 15(2), pages 1-15, January.
    18. Yuan, Di & Li, Sufang & Li, Rong & Zhang, Feipeng, 2022. "Economic policy uncertainty, oil and stock markets in BRIC: Evidence from quantiles analysis," Energy Economics, Elsevier, vol. 110(C).
    19. Zhang, Yue-Jun & Yan, Xing-Xing, 2020. "The impact of US economic policy uncertainty on WTI crude oil returns in different time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 750-768.
    20. Raza, Syed Ali & Masood, Amna & Benkraiem, Ramzi & Urom, Christian, 2023. "Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach," Energy Economics, Elsevier, vol. 120(C).
    21. Aimer, Najmi & Lusta, Abdulmula, 2022. "Asymmetric effects of oil shocks on economic policy uncertainty," Energy, Elsevier, vol. 241(C).
    22. Ioannis Dokas & Georgios Oikonomou & Minas Panagiotidis & Eleftherios Spyromitros, 2023. "Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review," Energies, MDPI, vol. 16(3), pages 1-35, February.
    23. Qin, Meng & Su, Chi-Wei & Hao, Lin-Na & Tao, Ran, 2020. "The stability of U.S. economic policy: Does it really matter for oil price?," Energy, Elsevier, vol. 198(C).
    24. Cagli, Efe Caglar & Mandaci, Pinar Evrim, 2023. "Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets," Emerging Markets Review, Elsevier, vol. 55(C).
    25. Liu, Wenwen & Chen, Xue, 2022. "Natural resources commodity prices volatility and economic uncertainty: Evaluating the role of oil and gas rents in COVID-19," Resources Policy, Elsevier, vol. 76(C).
    26. Bales, Stephan & Burghartz, Kaspar & Burghof, Hans-Peter & Hitz, Lukas, 2023. "Does the source of uncertainty matter? The impact of financial, newspaper and Twitter-based measures on U.S. banks," Research in International Business and Finance, Elsevier, vol. 65(C).
    27. Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
    28. Huang, Jianbai & Dong, Xuesong & Zhang, Hongwei & Liu, Jia & Gao, Wang, 2022. "Dynamic and frequency-domain spillover among within and cross-country policy uncertainty, crude oil and gold market: Evidence from US and China," Resources Policy, Elsevier, vol. 78(C).
    29. Nonejad, Nima, 2023. "Modeling the out-of-sample predictive relationship between equity premium, returns on the price of crude oil and economic policy uncertainty using multivariate time-varying dimension models," Energy Economics, Elsevier, vol. 126(C).
    30. Dogan, Eyup & Majeed, Muhammad Tariq & Luni, Tania, 2021. "Analyzing the impacts of geopolitical risk and economic uncertainty on natural resources rents," Resources Policy, Elsevier, vol. 72(C).
    31. Gong, Mengqi & You, Zhe & Wang, Longle & Ruan, Dapeng, 2024. "Research of the non-linear dynamic relationship between global economic policy uncertainty and crude oil prices," Journal of Asian Economics, Elsevier, vol. 90(C).
    32. Zhou, Yuqin & Liu, Zhenhua & Wu, Shan, 2022. "The global economic policy uncertainty spillover analysis: In the background of COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 61(C).
    33. Le, Thai-Ha & Le, Anh Tu & Le, Ha-Chi, 2021. "The historic oil price fluctuation during the Covid-19 pandemic: What are the causes?," Research in International Business and Finance, Elsevier, vol. 58(C).
    34. Zhao, Jing, 2022. "Exploring the influence of the main factors on the crude oil price volatility: An analysis based on GARCH-MIDAS model with Lasso approach," Resources Policy, Elsevier, vol. 79(C).
    35. Xiao, Jihong & Wang, Yudong, 2021. "Investor attention and oil market volatility: Does economic policy uncertainty matter?," Energy Economics, Elsevier, vol. 97(C).
    36. T.-H. Le & Sabri Boubaker & M.T. Bui & D. Park, 2023. "On the Volatility of WTI Crude Oil Prices: A Time-Varying Approach with Stochastic Volatility," Post-Print hal-04433059, HAL.
    37. Liang, Ruibin & Cheng, Sheng & Cao, Yan & Li, Xinran, 2024. "Multi-scale impacts of oil shocks on travel and leisure stocks: A MODWT-Bayesian TVP model with shrinkage approach," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
    38. Ganepola, Chanaka N. & Shubita, Moade & Lee, Lillian, 2023. "The electric shock: Causes and consequences of electricity prices in the United Kingdom," Energy Economics, Elsevier, vol. 126(C).
    39. Hou, Deshuai & Chan, Kam C. & Dong, Manru & Yao, Qiuge, 2022. "The impact of economic policy uncertainty on a firm’s green behavior: Evidence from China," Research in International Business and Finance, Elsevier, vol. 59(C).
    40. Wangfang Xu & Wenjia Rao & Longbao Wei & Qianqian Wang, 2023. "A Normalized Global Economic Policy Uncertainty Index from Unsupervised Machine Learning," Mathematics, MDPI, vol. 11(15), pages 1-10, July.
    41. Yang, Lu & Hamori, Shigeyuki, 2023. "Modeling the global sovereign credit network under climate change," International Review of Financial Analysis, Elsevier, vol. 87(C).
    42. Cui, Jinxin & Goh, Mark & Li, Binlin & Zou, Huiwen, 2021. "Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives," Energy, Elsevier, vol. 216(C).
    43. Zhou, Wei & Chen, Yan & Chen, Jin, 2022. "Risk spread in multiple energy markets: Extreme volatility spillover network analysis before and during the COVID-19 pandemic," Energy, Elsevier, vol. 256(C).
    44. Danish, & Ulucak, Recep & Baloch, Muhammad Awais, 2023. "An empirical approach to the nexus between natural resources and environmental pollution: Do economic policy and environmental-related technologies make any difference?," Resources Policy, Elsevier, vol. 81(C).
    45. Fasanya, Ismail O. & Adekoya, Oluwasegun B. & Adetokunbo, Abiodun M., 2021. "On the connection between oil and global foreign exchange markets: The role of economic policy uncertainty," Resources Policy, Elsevier, vol. 72(C).
    46. Corbet, Shaen & Goodell, John W. & Günay, Samet, 2020. "Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19," Energy Economics, Elsevier, vol. 92(C).
    47. He, Huizi & Sun, Mei & Gao, Cuixia & Li, Xiuming, 2021. "Detecting lag linkage effect between economic policy uncertainty and crude oil price: A multi-scale perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
    48. Saud Asaad Al‐Thaqeb & Barrak Ghanim Algharabali & Khaled Tareq Alabdulghafour, 2022. "The pandemic and economic policy uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2784-2794, July.
    49. Rasool Dehghanzadeh Shahabad & Mehmet Balcilar, 2022. "Modelling the Dynamic Interaction between Economic Policy Uncertainty and Commodity Prices in India: The Dynamic Autoregressive Distributed Lag Approach," Mathematics, MDPI, vol. 10(10), pages 1-21, May.
    50. Xin Yang & Shan Chen & Hong Liu & Xiaoguang Yang & Chuangxia Huang, 2023. "Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1201-1213, April.
    51. Dou, Yue & Li, Yiying & Dong, Kangyin & Ren, Xiaohang, 2022. "Dynamic linkages between economic policy uncertainty and the carbon futures market: Does Covid-19 pandemic matter?," Resources Policy, Elsevier, vol. 75(C).
    52. Mokni, Khaled & Hammoudeh, Shawkat & Ajmi, Ahdi Noomen & Youssef, Manel, 2020. "Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?," Resources Policy, Elsevier, vol. 69(C).
    53. Qin, Yun & Chen, Jinyu & Dong, Xuesong, 2021. "Oil prices, policy uncertainty and travel and leisure stocks in China," Energy Economics, Elsevier, vol. 96(C).
    54. Bales, Stephan, 2022. "Sovereign and bank dependence in the eurozone: A multi-scale approach using wavelet-network analysis," International Review of Financial Analysis, Elsevier, vol. 83(C).
    55. Yang, Lu, 2023. "Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk," Resources Policy, Elsevier, vol. 82(C).
    56. Yanhong Feng & Dilong Xu & Pierre Failler & Tinghui Li, 2020. "Research on the Time-Varying Impact of Economic Policy Uncertainty on Crude Oil Price Fluctuation," Sustainability, MDPI, vol. 12(16), pages 1-24, August.
    57. Atri, Hanen & Kouki, Saoussen & Gallali, Mohamed imen, 2021. "The impact of COVID-19 news, panic and media coverage on the oil and gold prices: An ARDL approach," Resources Policy, Elsevier, vol. 72(C).
    58. Jiang, Qisheng & Cheng, Sheng, 2021. "How the fiscal and monetary policy uncertainty of China respond to global oil price volatility: A multi-regime-on-scale approach," Resources Policy, Elsevier, vol. 72(C).
    59. Umar, Zaghum & Aharon, David Y. & Esparcia, Carlos & AlWahedi, Wafa, 2022. "Spillovers between sovereign yield curve components and oil price shocks," Energy Economics, Elsevier, vol. 109(C).
    60. Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).
    61. Kais Tissaoui & Taha Zaghdoudi & Abdelaziz Hakimi & Mariem Nsaibi, 2023. "Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 663-687, August.
    62. Nong, Huifu & Liu, Hongxiao, 2023. "Measuring the frequency and quantile connectedness between policy categories and global oil price," Resources Policy, Elsevier, vol. 83(C).
    63. Cao, Yan & Cheng, Sheng & Li, Xinran, 2023. "How economic policy uncertainty affects asymmetric spillovers in food and oil prices: Evidence from wavelet analysis," Resources Policy, Elsevier, vol. 86(PB).
    64. Zhu, Huiming & Chen, Weiyan & Hau, Liya & Chen, Qitong, 2021. "Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets: Evidence from rolling window analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    65. A. Usha Ruby & J. George Chellin Chandran & B. N. Chaithanya & T. J. Swasthika Jain & Renuka Patil, 2024. "Effective Crude Oil Prediction Using CHS-EMD Decomposition and PS-RNN Model," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 1295-1314, August.
    66. Lien, Donald & Zhang, Jiewen & Yu, Xiaojian, 2022. "Effects of economic policy uncertainty: A regime switching connectedness approach," Economic Modelling, Elsevier, vol. 113(C).
    67. Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2022. "The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system," Energy Economics, Elsevier, vol. 114(C).
    68. Chen, Jinyu & Huang, Yuxin & Ren, Xiaohang & Qu, Jingxiao, 2022. "Time-varying spillovers between trade policy uncertainty and precious metal markets: Evidence from China-US trade conflict," Resources Policy, Elsevier, vol. 76(C).
    69. Kais Tissaoui & Taha Zaghdoudi & Abdelaziz Hakimi & Ousama Ben-Salha & Lamia Ben Amor, 2022. "Does Uncertainty Forecast Crude Oil Volatility before and during the COVID-19 Outbreak? Fresh Evidence Using Machine Learning Models," Energies, MDPI, vol. 15(15), pages 1-20, August.
    70. Bai, Lan & Zhang, Xuhui & Liu, Yuntong & Wang, Qian, 2019. "Economic risk contagion among major economies: New evidence from EPU spillover analysis in time and frequency domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    71. Jieqiong Wang & Shichao Hu & Ziyi Zhang, 2023. "Does Environmental Regulation Promote Eco-Innovation Performance of Manufacturing Firms?—Empirical Evidence from China," Energies, MDPI, vol. 16(6), pages 1-18, March.
    72. Sheng Cheng & Wei Liu & Qisheng Jiang & Yan Cao, 2023. "Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1593-1616, April.
    73. Zhou, Mei-Jing & Huang, Jian-Bai & Chen, Jin-Yu, 2022. "Time and frequency spillovers between political risk and the stock returns of China's rare earths," Resources Policy, Elsevier, vol. 75(C).
    74. Saad Balhasan & Mohammed Alnahhal & Brian Towler & Bashir Salah & Mohammed Ruzayqat & Mosab I. Tabash, 2022. "Robust Exploration and Production Sharing Agreements Using the Taguchi Method," Energies, MDPI, vol. 15(15), pages 1-19, July.

  16. Kung-Cheng Ho & Jason Z. Ma & Lu Yang & Lisi Shi, 2019. "Do anticorruption efforts affect banking system stability?," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 28(3), pages 277-298, April.

    Cited by:

    1. Rui, Linlin & Sun, Wenyan & Xu, Fangyuan, 2024. "The impact of bank credit corruption on firms' carbon emission reduction innovations: Empirical evidence from China," Finance Research Letters, Elsevier, vol. 60(C).
    2. Kung-Cheng Ho & Hung-Yi Huang & Shengnan Liu, 2022. "Information disclosure ratings and managerial short-termism: An empirical investigation of the Chinese stock market," International Entrepreneurship and Management Journal, Springer, vol. 18(1), pages 349-381, March.
    3. Asteriou, Dimitrios & Pilbeam, Keith & Tomuleasa, Iuliana, 2021. "The impact of corruption, economic freedom, regulation and transparency on bank profitability and bank stability: Evidence from the Eurozone area," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 150-177.
    4. Le, Anh-Tuan & Tran, Thao Phuong & Mishra, Anil V., 2023. "Climate risk and bank stability: International evidence," Journal of Multinational Financial Management, Elsevier, vol. 70.
    5. Ho, Kung-Cheng & Lee, Shih-Cheng & Chen, Jiun-Lin, 2022. "Book-to-market equity and asset correlations—An international study," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 258-274.

  17. Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2018. "What determines the long-term correlation between oil prices and exchange rates?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 140-152.

    Cited by:

    1. Chen, Qiang & Gong, Yuting, 2019. "The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 102-121.
    2. Szafranek, Karol & Szafrański, Grzegorz & Leszczyńska-Paczesna, Agnieszka, 2024. "Inflation returns. Revisiting the role of external and domestic shocks with Bayesian structural VAR," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 789-810.
    3. Jin Guo & Tetsuji Tanaka, 2020. "The Effectiveness of Self-Sufficiency Policy: International Price Transmissions in Beef Markets," Sustainability, MDPI, vol. 12(15), pages 1-23, July.
    4. Lu Yang & Lei Yang & Kung-Cheng Ho & Shigeyuki Hamori, 2019. "Determinants of the Long-Term Correlation between Crude Oil and Stock Markets," Energies, MDPI, vol. 12(21), pages 1-15, October.
    5. Antonio J., Garzón & Luis A., Hierro, 2022. "Inflation, oil prices and exchange rates. The Euro’s dampening effect," Journal of Policy Modeling, Elsevier, vol. 44(1), pages 130-146.
    6. Radmila Krkošková, 2020. "Relationship Between the Brent Oil Price and the US Dollar Exchange Rate," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(2), pages 187-206.
    7. Guo, Ranran & Ye, Wuyi, 2021. "A model of dynamic tail dependence between crude oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    8. Raluca Maran, 2023. "Do Sovereign Catastrophe Bonds Improve Fiscal Resilience? An Application of Synthetic Control Method to Mexico," Economics of Disasters and Climate Change, Springer, vol. 7(3), pages 431-455, November.
    9. He, Kaijian & Tso, Geoffrey K.F. & Zou, Yingchao & Liu, Jia, 2018. "Crude oil risk forecasting: New evidence from multiscale analysis approach," Energy Economics, Elsevier, vol. 76(C), pages 574-583.
    10. Umar Tijjani Babuga & Niaz Ahmad Mohd Naseem, 2022. "Oil Price Change and Economic Growth: Evidence from Net Sub-Saharan Africa Oil Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 369-378, March.
    11. Aganin, Artem & Peresetsky, Anatoly, 2018. "Volatility of ruble exchange rate: Oil and sanctions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 52, pages 5-21.
    12. Hong Eun Moon & Si Won Choi & Yoon Hee Ha, 2024. "Prioritizing factors for the sustainable growth of Vietnam's solar photovoltaic power market," Energy & Environment, , vol. 35(4), pages 2151-2177, June.
    13. Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
    14. Vincenzo Candila & Denis Maximov & Alexey Mikhaylov & Nikita Moiseev & Tomonobu Senjyu & Nicole Tryndina, 2021. "On the Relationship between Oil and Exchange Rates of Oil-Exporting and Oil-Importing Countries: From the Great Recession Period to the COVID-19 Era," Energies, MDPI, vol. 14(23), pages 1-18, December.
    15. Wang, Kai-Hua & Su, Chi-Wei & Xiao, Yidong & Liu, Lu, 2022. "Is the oil price a barometer of China's automobile market? From a wavelet-based quantile-on-quantile regression perspective," Energy, Elsevier, vol. 240(C).
    16. Qifa Xu & Junqing Zuo & Cuixia Jiang & Yaoyao He, 2021. "A large constrained time‐varying portfolio selection model with DCC‐MIDAS: Evidence from Chinese stock market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3417-3435, July.
    17. Köse, Nezir & Ünal, Emre, 2021. "The effects of the oil price and oil price volatility on inflation in Turkey," Energy, Elsevier, vol. 226(C).
    18. Chowdhury, Kushal Banik & Garg, Bhavesh, 2022. "Has COVID-19 intensified the oil price–exchange rate nexus?," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 280-298.
    19. Jiang, Cuixia & Ding, Xiaoyi & Xu, Qifa & Tong, Yongbo, 2020. "A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    20. Jungho Baek, 2023. "A Note on the Asymmetry of Oil Price Shocks," Commodities, MDPI, vol. 2(1), pages 1-2, March.
    21. Husaini, Dzul Hadzwan & Lean, Hooi Hooi, 2021. "Asymmetric impact of oil price and exchange rate on disaggregation price inflation," Resources Policy, Elsevier, vol. 73(C).
    22. Liu, Min & Lee, Chien-Chiang, 2022. "Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS," Resources Policy, Elsevier, vol. 76(C).

  18. Lu Yang & Shigeyuki Hamori, 2018. "Modeling The Dynamics Of International Agricultural Commodity Prices: A Comparison Of Garch And Stochastic Volatility Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-20, September.

    Cited by:

    1. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
    2. Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh & BenSaïda, Ahmed & Hernandez, Jose Arreola & Kang, Sang Hoon, 2023. "Dependence and risk management of portfolios of metals and agricultural commodity futures," Resources Policy, Elsevier, vol. 82(C).
    3. Xie He & Xiao-Jing Cai & Shigeyuki Hamori, 2018. "Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility," JRFM, MDPI, vol. 11(4), pages 1-16, December.
    4. Yuki Toyoshima & Shigeyuki Hamori, 2018. "Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets," Energies, MDPI, vol. 11(11), pages 1-18, October.
    5. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in international dairy commodity markets," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 65(3), pages 704-728, July.

  19. Lu Yang & Jason Z. Ma & Shigeyuki Hamori, 2018. "Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach," Sustainability, MDPI, vol. 10(2), pages 1-23, January.

    Cited by:

    1. Yuhao Liu & Petar M. Djurić & Young Shin Kim & Svetlozar T. Rachev & James Glimm, 2021. "Systemic Risk Modeling with Lévy Copulas," JRFM, MDPI, vol. 14(6), pages 1-20, June.
    2. Seok-Kyun Hur & Chune Young Chung & Chang Liu, 2018. "Is Liquidity Risk Priced? Theory and Evidence," Sustainability, MDPI, vol. 10(6), pages 1-13, May.
    3. Cevik, Emrah Ismail & Caliskan Terzioglu, Hande & Kilic, Yunus & Bugan, Mehmet Fatih & Dibooglu, Sel, 2024. "Interconnectedness and systemic risk: Evidence from global stock markets," Research in International Business and Finance, Elsevier, vol. 69(C).
    4. Andrzej Paczoski & Solomon T. Abebe & Giuseppe T. Cirella, 2019. "Debt and Deficit Growth Rate Reporting for Post-Communist European Union Member States," Social Sciences, MDPI, vol. 8(6), pages 1-17, June.
    5. Guoxiang Xu & Wangfeng Gao, 2019. "Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects," Sustainability, MDPI, vol. 11(5), pages 1-20, March.
    6. Zhang, Xiaoming & Zhang, Xinsong & Lee, Chien-Chiang & Zhao, Yue, 2023. "Measurement and prediction of systemic risk in China’s banking industry," Research in International Business and Finance, Elsevier, vol. 64(C).
    7. Jianxu Liu & Quanrui Song & Yang Qi & Sanzidur Rahman & Songsak Sriboonchitta, 2020. "Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions," Sustainability, MDPI, vol. 12(10), pages 1-15, May.
    8. Yunsong Xu & Hanying Qi & Jiaqi Li & Ning Ding, 2021. "The Risk Spillover Effects of the Real Estate Industry on the Financial Industry: A GARCH-Time-Varying-Copula-CoVaR Approach on China," SAGE Open, , vol. 11(4), pages 21582440211, December.

  20. Jason Zhe Ma & Kung-Cheng Ho & Lu Yang & Chien-Chi Chu, 2018. "Market Sentiment and Investor Overreaction: Evidence from New York Listed Asian Country Exchange Traded Funds," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(11), pages 2455-2471, September.

    Cited by:

    1. John Murugesu & Chandra Sakaran, 2019. "The Interaction of Market Risk and Idiosyncratic Risk on Equity Mutual Fund Returns," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(6), pages 1-14, October.
    2. Peng, Kang-Lin & Wu, Chih-Hung & Lin, Pearl M.C. & Kou, IokTeng Esther, 2023. "Investor sentiment in the tourism stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    3. Narayan, Paresh Kumar & Narayan, Seema, 2021. "Do opinion polls on government preference influence stock returns?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    4. Ho, Kung-Cheng & Yang, Lu & Luo, Sijia, 2022. "Information disclosure ratings and continuing overreaction: Evidence from the Chinese capital market," Journal of Business Research, Elsevier, vol. 140(C), pages 638-656.
    5. Yue’e Long & Wunhong Su & Yufan Tan, 2023. "Does a Share Name Change Have an Impact on the Pricing Efficiency of the Share?," SAGE Open, , vol. 13(4), pages 21582440231, December.

  21. Yang, Lu & Tian, Shuairu & Yang, Wei & Xu, Mingli & Hamori, Shigeyuki, 2018. "Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 116-137.

    Cited by:

    1. Zheng, Yanting & Luan, Xin & Lu, Xin & Liu, Jiaming, 2023. "A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
    2. Mo, Xuan & Su, Zhi & Yin, Libo, 2019. "Can the skewness of oil returns affect stock returns? Evidence from China’s A-Share markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    3. Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "COVID-19 and stock returns: Evidence from the Markov switching dependence approach," Research in International Business and Finance, Elsevier, vol. 64(C).
    4. Muhammad Azmat Hayat & Huma Ghulam & Maryam Batool & Muhammad Zahid Naeem & Abdullah Ejaz & Cristi Spulbar & Ramona Birau, 2021. "Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach," JRFM, MDPI, vol. 14(6), pages 1-22, June.
    5. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Alomari, Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis," Resources Policy, Elsevier, vol. 79(C).
    6. Zhu, Huiming & Meng, Liang & Ge, Yajing & Hau, Liya, 2020. "Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    7. Miao, Xiaoyu & Wang, Qunwei & Dai, Xingyu, 2022. "Is oil-gas price decoupling happening in China? A multi-scale quantile-on-quantile approach," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 450-470.
    8. Chen, Bin-xia & Sun, Yan-lin, 2022. "The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    9. Abhibasu Sen & Karabi Dutta Chaudhury, 2019. "On the Co-movement of Crude, Gold Prices and Stock Index in Indian Market," Papers 1904.05317, arXiv.org.
    10. Kim Hiang Liow, 2022. "Exploring a Three-Factor Dependence Structure of Conditional Volatilities: Some Quantile Regression Evidence from Real Estate Investment Trusts," JRFM, MDPI, vol. 15(6), pages 1-13, May.
    11. Khaliq Ul Rehman & Ghulam Ghouse, 2024. "Examining Inflation Expectations within Asian Economies: Application of Wavelet Quantile Analysis towards Assessing Monetary Policy Credibility," Journal of Economic Impact, Science Impact Publishers, vol. 6(1), pages 70-80.
    12. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
    13. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    14. Dong, Xiyong & Li, Changhong & Yoon, Seong-Min, 2020. "Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    15. Zhu, Huiming & Yu, Dongwei & Hau, Liya & Wu, Hao & Ye, Fangyu, 2022. "Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    16. Tian, Shuairu & Gao, Xiang & Cai, Xiaojing, 2023. "The interactive CNY-CNH relationship: A wavelet analysis," Journal of International Money and Finance, Elsevier, vol. 133(C).
    17. Lei Ruan, 2018. "Research on Sustainable Development of the Stock Market Based on VIX Index," Sustainability, MDPI, vol. 10(11), pages 1-12, November.
    18. Hau, Liya & Zhu, Huiming & Yu, Yang & Yu, Dongwei, 2022. "Time-frequency coherence and quantile causality between trade policy uncertainty and rare earth prices: Evidence from China and the US," Resources Policy, Elsevier, vol. 75(C).
    19. Boubaker, Heni & Larbi, Ons Ben, 2022. "Dynamic dependence and hedging strategies in BRICS stock markets with oil during crises," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 263-279.

  22. Yang, Lu & Yang, Lei & Hamori, Shigeyuki, 2018. "Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 19-34.

    Cited by:

    1. Bajaj, Vimmy & Kumar, Pawan & Singh, Vipul Kumar, 2023. "Systemwide directional connectedness from Crude Oil to sovereign credit risk," Journal of Commodity Markets, Elsevier, vol. 30(C).
    2. Yang, Lu, 2019. "Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective," Energy Economics, Elsevier, vol. 80(C), pages 219-233.
    3. Sevillano, María Caridad & Jareño, Francisco & López, Raquel & Esparcia, Carlos, 2024. "Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition," Energy Economics, Elsevier, vol. 131(C).
    4. Özer Depren & Mustafa Tevfik Kartal & Serpil Kılıç Depren, 2021. "Recent innovation in benchmark rates (BMR): evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-20, December.
    5. Mustafa Tevfik KARTAL, 2022. "The Role of Macroeconomic and Market Indicators in Explaining Sovereign Credit Default Swaps (CDS) Spread Changes: Evidence from Türkiye," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 145-164, April.
    6. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
    7. de Oliveira, Erick Meira & Cunha, Felipe Arias Fogliano de Souza & Palazzi, Rafael Baptista & Klotzle, Marcelo Cabus & Maçaira, Paula Medina, 2020. "On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework," International Review of Financial Analysis, Elsevier, vol. 70(C).
    8. Feng, Qianqian & Sun, Xiaolei & Liu, Chang & Li, Jianping, 2021. "Spillovers between sovereign CDS and exchange rate markets: The role of market fear," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    9. Yang, Lu & Hamori, Shigeyuki, 2023. "Modeling the global sovereign credit network under climate change," International Review of Financial Analysis, Elsevier, vol. 87(C).
    10. Chen, Wang & Ho, Kung-Cheng & Yang, Lu, 2020. "Network structures and idiosyncratic contagion in the European sovereign credit default swap market," International Review of Financial Analysis, Elsevier, vol. 72(C).
    11. Ceylan Nesrin & Münyas Turgay, 2021. "An Empirical Investigation on the Relationship Between the Eurozone Zew Index and the Eurozone Stock Markets," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 31(4), pages 1-17, December.
    12. Yao, Yinhong & Li, Jingyu & Chen, Wei, 2024. "Multiscale extreme risk spillovers among the Chinese mainland, Hong Kong, and London stock markets: Comparing the impacts of three Stock Connect programs," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1217-1233.
    13. Yang, Lu, 2023. "Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk," Resources Policy, Elsevier, vol. 82(C).
    14. Depren, Özer & Kartal, Mustafa Tevfik & Kılıç Depren, Serpil, 2021. "Changes of gold prices in COVID-19 pandemic: Daily evidence from Turkey's monetary policy measures with selected determinants," Technological Forecasting and Social Change, Elsevier, vol. 170(C).
    15. Li, Haiping & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country," Finance Research Letters, Elsevier, vol. 32(C).
    16. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    17. ERER, Deniz, 2022. "The Asymmetrical Impact Of Policy Responses On Volatility Of Sovereign Default Swaps," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 26(3), pages 35-54, September.
    18. Lei Ruan, 2018. "Research on Sustainable Development of the Stock Market Based on VIX Index," Sustainability, MDPI, vol. 10(11), pages 1-12, November.
    19. Ahmed R. M. Alsayed, 2023. "Turkish Stock Market from Pandemic to Russian Invasion, Evidence from Developed Machine Learning Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1107-1123, October.
    20. Imran Yousaf & Shoaib Ali & Muhammad Naveed & Ifraz Adeel, 2021. "Risk and Return Transmissions From Crude Oil to Latin American Stock Markets During the Crisis: Portfolio Implications," SAGE Open, , vol. 11(2), pages 21582440211, April.
    21. Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    22. Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    23. Prayer M. Rikhotso & Beatrice D. Simo-Kengne, 2022. "Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries," JRFM, MDPI, vol. 15(3), pages 1-22, February.

  23. Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2017. "Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 536-547.

    Cited by:

    1. Volker Seiler, 2024. "The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain," Post-Print hal-04549980, HAL.
    2. Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2018. "Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy," CESifo Working Paper Series 7279, CESifo.
    3. Benzid, Lamia & Bakari, Sayef, 2021. "Modeling the Asymmetric Relationship between the Covid-19 and the U.S Dollar Exchange Rate: an Empirical Analysis via the NARDL Approach," MPRA Paper 105566, University Library of Munich, Germany.
    4. Mbarki, Imen & Khan, Muhammad Arif & Karim, Sitara & Paltrinieri, Andrea & Lucey, Brian M., 2023. "Unveiling commodities-financial markets intersections from a bibliometric perspective," Resources Policy, Elsevier, vol. 83(C).
    5. Su, Zhi & Lu, Man & Yin, Libo, 2018. "Oil prices and news-based uncertainty: Novel evidence," Energy Economics, Elsevier, vol. 72(C), pages 331-340.
    6. Vukovic, Darko B. & Lapshina, Kseniya A. & Maiti, Moinak, 2021. "Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    7. Bruna, Karel & Van Tran, Quang, 2023. "Asymmetric effects of oil price shocks on EUR/USD exchange rate and structural shock decomposition in a BVAR model with sign restriction," Energy Economics, Elsevier, vol. 128(C).
    8. Wu, Kai & Zhu, Jingran & Xu, Mingli & Yang, Lu, 2020. "Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    9. Jingran Zhu & Qinghua Song & Dalia Streimikiene, 2020. "Multi-Time Scale Spillover Effect of International Oil Price Fluctuation on China’s Stock Markets," Energies, MDPI, vol. 13(18), pages 1-29, September.
    10. Yildirim, Zekeriya & Arifli, Arif, 2021. "Oil price shocks, exchange rate and macroeconomic fluctuations in a small oil-exporting economy," Energy, Elsevier, vol. 219(C).
    11. Kumar, Suresh & Choudhary, Sangita & Singh, Gurcharan & Singhal, Shelly, 2021. "Crude oil, gold, natural gas, exchange rate and indian stock market: Evidence from the asymmetric nonlinear ARDL model," Resources Policy, Elsevier, vol. 73(C).
    12. Yang, Lu & Hamori, Shigeyuki, 2021. "Systemic risk and economic policy uncertainty: International evidence from the crude oil market," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 142-158.
    13. Ji, Qiang & Liu, Bing-Yue & Nguyen, Duc Khuong & Fan, Ying, 2019. "Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates," MPRA Paper 101387, University Library of Munich, Germany, revised Jan 2020.
    14. Salisu, Afees A. & Adekunle, Wasiu & Alimi, Wasiu A. & Emmanuel, Zachariah, 2019. "Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries," Resources Policy, Elsevier, vol. 62(C), pages 33-56.
    15. Muhammad Azmat Hayat & Huma Ghulam & Maryam Batool & Muhammad Zahid Naeem & Abdullah Ejaz & Cristi Spulbar & Ramona Birau, 2021. "Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach," JRFM, MDPI, vol. 14(6), pages 1-22, June.
    16. Shang, Jin & Hamori, Shigeyuki, 2021. "Do crude oil prices and the sentiment index influence foreign exchange rates differently in oil-importing and oil-exporting countries? A dynamic connectedness analysis," Resources Policy, Elsevier, vol. 74(C).
    17. Lin, Boqiang & Bai, Rui, 2021. "Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective," Research in International Business and Finance, Elsevier, vol. 56(C).
    18. Yue Liu & Pierre Failler & Jiaying Peng & Yuhang Zheng, 2020. "Time-Varying Relationship between Crude Oil Price and Exchange Rate in the Context of Structural Breaks," Energies, MDPI, vol. 13(9), pages 1-17, May.
    19. Ding, Qian & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility," Energy Economics, Elsevier, vol. 102(C).
    20. Xu, Yang & Han, Liyan & Wan, Li & Yin, Libo, 2019. "Dynamic link between oil prices and exchange rates: A non-linear approach," Energy Economics, Elsevier, vol. 84(C).
    21. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
    22. Gao Wenxin & Wen Jun & Zakaria Muhammad & Mahmood Hamid, 2022. "Nonlinear and Asymmetric Impact of Oil Prices on Exchange Rates: Evidence from South Asia," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 16(1), pages 243-256, January.
    23. Huang, Shupei & An, Haizhong & Wen, Shaobo & An, Feng, 2017. "Revisiting driving factors of oil price shocks across time scales," Energy, Elsevier, vol. 139(C), pages 617-629.
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    25. Boying Li & Chun-Ping Chang & Yin Chu & Bo Sui, 2020. "Oil prices and geopolitical risks: What implications are offered via multi-domain investigations?," Energy & Environment, , vol. 31(3), pages 492-516, May.
    26. Rabeh Khalfaoui & Suleman Sarwar & Aviral Kumar Tiwari, 2019. "Analysing volatility spillover between the oil market and the stock market in oil-importing and oil-exporting countries: Implications on portfolio management," Post-Print hal-03797589, HAL.
    27. Chen, Qitong & Zhu, Huiming & Yu, Dongwei & Hau, Liya, 2022. "How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    28. Chen, Yufeng & Msofe, Zulkifr Abdallah & Wang, Chuwen, 2024. "Asymmetric dynamic spillover and time-frequency connectedness in the oil-stock nexus under COVID-19 shock: Evidence from African oil importers and exporters," Resources Policy, Elsevier, vol. 90(C).
    29. Albulescu, Claudiu Tiberiu & Demirer, Riza & Raheem, Ibrahim D. & Tiwari, Aviral Kumar, 2019. "Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies," Energy Economics, Elsevier, vol. 83(C), pages 375-388.
    30. Theocharis, Dimitrios & Rodrigues, Vasco Sanchez & Pettit, Stephen & Haider, Jane, 2019. "Feasibility of the Northern Sea Route: The role of distance, fuel prices, ice breaking fees and ship size for the product tanker market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 129(C), pages 111-135.
    31. Sohag, Kazi & Hassan, M. Kabir & Kalina, Irina & Mariev, Oleg, 2023. "The relative response of Russian National Wealth Fund to oil demand, supply and risk shocks," Energy Economics, Elsevier, vol. 123(C).
    32. Guo, Ranran & Ye, Wuyi, 2021. "A model of dynamic tail dependence between crude oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    33. Jungho Baek, 2021. "The role of crude oil prices in the movement of the Indonesian rupiah: a quantile ARDL approach," Economic Change and Restructuring, Springer, vol. 54(4), pages 975-994, November.
    34. Rashid Abdul & Jehan Zainab & Tahira Maria & Javed Amir, 2024. "Do Exchange Rates Respond Asymmetrically to Crude Oil Market Shocks? Insights from BRICS and Pakistan," Zagreb International Review of Economics and Business, Sciendo, vol. 27(1), pages 31-62.
    35. Jiang, Yong & Ren, Yi-Shuai & Narayan, Seema & Ma, Chao-Qun & Yang, Xiao-Guang, 2022. "Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    36. Zhu, Huiming & Meng, Liang & Ge, Yajing & Hau, Liya, 2020. "Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    37. Han, Mengjiao & Fan, Qingju & Ling, Guang, 2022. "Multiscale online-horizontal-visibility-graph correlation analysis of financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    38. Karim, Muhammad Mahmudul & Kawsar, Najmul Haque & Ariff, Mohamed & Masih, Mansur, 2022. "Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? Wavelet-based granger-causality, asymmetric quantile regression and NARDL approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    39. Choi, Sun-Yong, 2020. "Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 37(C).
    40. Tong, Yuan & Wan, Ning & Dai, Xingyu & Bi, Xiaoyi & Wang, Qunwei, 2022. "China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?," Energy Economics, Elsevier, vol. 109(C).
    41. Hong Thai Le & Marta Disegna, 2018. "Responses of macroeconomy and stock markets to structural oil price shocks: New evidence from Asian oil refinery," BAFES Working Papers BAFES25, Department of Accounting, Finance & Economic, Bournemouth University.
    42. Wen, Danyan & Liu, Li & Ma, Chaoqun & Wang, Yudong, 2020. "Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries," Energy, Elsevier, vol. 212(C).
    43. Youshu Li & Junjie Guo, 2022. "The asymmetric impacts of oil price and shocks on inflation in BRICS: a multiple threshold nonlinear ARDL model," Applied Economics, Taylor & Francis Journals, vol. 54(12), pages 1377-1395, March.
    44. Qiang Ji & Syed Jawad Hussain Shahzad & Elie Bouri & Muhammad Tahir Suleman, 2020. "Dynamic structural impacts of oil shocks on exchange rates: lessons to learn," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-19, December.
    45. Firouzi, Shahrokh & Wang, Xiangning, 2019. "A comparative study of exchange rates and order flow based on wavelet transform coherence and cross wavelet transform," Economic Modelling, Elsevier, vol. 82(C), pages 42-56.
    46. Sangram Keshari Jena & Aviral Kumar Tiwari & Shawkat Hammoudeh & Muhammad Shahbaz, 2020. "Dynamics of FII flows and stock market returns in a major developing country: How does economic uncertainty matter?," The World Economy, Wiley Blackwell, vol. 43(8), pages 2263-2284, August.
    47. Suyi Kim & So-Yeun Kim & Kyungmee Choi, 2020. "Effect of Oil Prices on Exchange Rate Movements in Korea and Japan Using Markov Regime-Switching Models," Energies, MDPI, vol. 13(17), pages 1-16, August.
    48. Theocharis, Dimitrios & Rodrigues, Vasco Sanchez & Pettit, Stephen & Haider, Jane, 2021. "Feasibility of the Northern Sea Route for seasonal transit navigation: The role of ship speed on ice and alternative fuel types for the oil product tanker market," Transportation Research Part A: Policy and Practice, Elsevier, vol. 151(C), pages 259-283.
    49. Afees A. Salisu & Wasiu Adekunle & Zachariah Emmanuel & Wasiu A. Alimi, 2018. "Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries," Working Papers 055, Centre for Econometric and Allied Research, University of Ibadan.
    50. Sohag, Kazi & Kalina, Irina & Samargandi, Nahla, 2024. "Oil market cyclical shocks and fiscal stance in OPEC+," Energy, Elsevier, vol. 296(C).
    51. Kumar, Pawan & Singh, Vipul Kumar, 2022. "Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective," Energy Economics, Elsevier, vol. 116(C).
    52. Parul Bhatia, 2021. "Sustainability Of Exchange Rates And Crude Oil Prices Connection With Covid-19: An Investigation For Brics," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 19-29, October.
    53. Suyi Kim & So-Yeun Kim & Kyungmee Choi, 2019. "Analyzing Oil Price Shocks and Exchange Rates Movements in Korea using Markov Regime-Switching Models," Energies, MDPI, vol. 12(23), pages 1-16, December.
    54. Zankawah, Mutawakil M. & Stewart, Chris, 2019. "Measuring volatility spill-over effects of crude oil prices on Ghana’s exchange rate and stock market between 1991 and 2015," Economics Discussion Papers 2019-1, School of Economics, Kingston University London.
    55. Bhuiyan, Rubaiyat Ahsan & Rahman, Maya Puspa & Saiti, Buerhan & Ghani, Gairuzazmi Bin Mat, 2019. "Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 675-687.
    56. Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
    57. Kyophilavong, Phouphet & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar, 2023. "Cross-spectral coherence and co-movement between WTI oil price and exchange rate of Thai Baht," Resources Policy, Elsevier, vol. 80(C).
    58. Belhassine, Olfa & Karamti, Chiraz, 2021. "Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis," Energy Economics, Elsevier, vol. 102(C).
    59. Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Bachmeier, Lance, 2019. "Modelling systemic risk and dependence structure between the prices of crude oil and exchange rates in BRICS economies: Evidence using quantile coherency and NGCoVaR approaches," Energy Economics, Elsevier, vol. 81(C), pages 1011-1028.
    60. Yousfi, Mohamed & Ben Zaied, Younes & Ben Cheikh, Nidhaleddine & Ben Lahouel, Béchir & Bouzgarrou, Houssem, 2021. "Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves," Technological Forecasting and Social Change, Elsevier, vol. 167(C).
    61. Baek, Jungho, 2023. "Supply and demand shocks in the global oil market: How much do they matter for exchange rates in OPEC members?," Resources Policy, Elsevier, vol. 81(C).
    62. Mohammad Sahabuddin & Md. Aminul Islam & Mosab I. Tabash & Suhaib Anagreh & Rozina Akter & Md. Mizanur Rahman, 2022. "Co-Movement, Portfolio Diversification, Investors’ Behavior and Psychology: Evidence from Developed and Emerging Countries’ Stock Markets," JRFM, MDPI, vol. 15(8), pages 1-15, July.
    63. Aviral Kumar Tiwari & Ibrahim D. Raheem & Seref Bozoklu & Shawkat Hammoudeh, 2022. "The Oil Price‐Macroeconomic fundamentals nexus for emerging market economies: Evidence from a wavelet analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1569-1590, January.
    64. Mensi, Walid & Shafiullah, Muhammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Asymmetric spillovers and connectedness between crude oil and currency markets using high-frequency data," Resources Policy, Elsevier, vol. 77(C).
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    66. Bouzgarrou, Houssam & Ftiti, Zied & Louhichi, Waël & Yousfi, Mohamed, 2023. "What can we learn about the market reaction to macroeconomic surprise? Evidence from the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 64(C).
    67. Ding, Shusheng & Zheng, Dandan & Cui, Tianxiang & Du, Min, 2023. "The oil price-inflation nexus: The exchange rate pass- through effect," Energy Economics, Elsevier, vol. 125(C).
    68. Wang, Fang & Han, Guosheng, 2023. "Coupling correlation adaptive detrended analysis for multiple nonstationary series," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
    69. Xiao Jing Cai & Zheng Fang & Youngho Chang & Shuairu Tian & Shigeyuki Hamori, 2020. "Co-movements in commodity markets and implications in diversification benefits," Empirical Economics, Springer, vol. 58(2), pages 393-425, February.
    70. Abuzayed, Bana & Al-Fayoumi, Nedal, 2021. "Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
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    72. Fan He & Xuansen He, 2019. "A Continuous Differentiable Wavelet Shrinkage Function for Economic Data Denoising," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 729-761, August.
    73. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    74. Sun, Qingru & An, Haizhong & Gao, Xiangyun & Guo, Sui & Wang, Ze & Liu, Siyao & Wen, Shaobo, 2019. "Effects of crude oil shocks on the PPI system based on variance decomposition network analysis," Energy, Elsevier, vol. 189(C).
    75. Managi, Shunsuke & Yousfi, Mohamed & Ben Zaied, Younes & Ben Mabrouk, Nejah & Ben Lahouel, Béchir, 2022. "Oil price, US stock market and the US business conditions in the era of COVID-19 pandemic outbreak," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 129-139.
    76. Zhang, Xiang & Baek, Jungho, 2022. "The role of oil price shocks on exchange rates for the selected Asian countries: Asymmetric evidence from nonlinear ARDL and generalized IRFs approaches," Energy Economics, Elsevier, vol. 112(C).
    77. Chowdhury, Kushal Banik & Garg, Bhavesh, 2022. "Has COVID-19 intensified the oil price–exchange rate nexus?," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 280-298.
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    79. Choi, Sun-Yong, 2022. "Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries," Finance Research Letters, Elsevier, vol. 46(PB).
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    81. Jiang, Yonghong & Lao, Jiashun & Mo, Bin & Nie, He, 2018. "Dynamic linkages among global oil market, agricultural raw material markets and metal markets: An application of wavelet and copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 265-279.
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    83. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    84. Albulescu, Claudiu Tiberiu & Ajmi, Ahdi Noomen, 2021. "Oil price and US dollar exchange rate: Change detection of bi-directional causal impact," Energy Economics, Elsevier, vol. 100(C).
    85. Haykir, Ozkan & Yagli, Ibrahim & Aktekin Gok, Emine Dilara & Budak, Hilal, 2022. "Oil price explosivity and stock return: Do sector and firm size matter?," Resources Policy, Elsevier, vol. 78(C).
    86. Sohag, Kazi & Kalina, Irina & Elsayed, Ahmed H., 2023. "Financial stress in Russia: Exploring the impact of oil market shocks," Resources Policy, Elsevier, vol. 86(PB).
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    94. Changyu Liu & Muhammad Abubakr Naeem & Mobeen Ur Rehman & Saqib Farid & Syed Jawad Hussain Shahzad, 2020. "Oil as Hedge, Safe-Haven, and Diversifier for Conventional Currencies," Energies, MDPI, vol. 13(17), pages 1-19, August.
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    96. Xu, Lei. & Hamori, Shigeyuki & Kinkyo, Takuji, 2021. "Continuous wavelet analysis of Chinese renminbi: Co-movement and lead-lag relationship between onshore and offshore exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    97. Zhao, Lu-Tao & Zheng, Zhi-Yi & Wei, Yi-Ming, 2023. "Forecasting oil inventory changes with Google trends: A hybrid wavelet decomposer and ARDL-SVR ensemble model," Energy Economics, Elsevier, vol. 120(C).

  24. Lu Yang & Shigeyuki Hamori, 2016. "Hot Money and Business Cycle Volatility: Evidence from Selected ASEAN Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(2), pages 351-363, February.

    Cited by:

    1. Zhang, Yihao & Chen, Fang & Huang, Jian & Shenoy, Catherine, 2019. "Hot money flows and production uncertainty: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    2. Qureshi, Fiza & Kutan, Ali M. & Ismail, Izlin & Gee, Chan Sok, 2017. "Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 176-192.
    3. Mohamed Ibrahim Nor & Tajul Ariffin Masron & Tariq Tawfeeq Yousif Alabdullah, 2020. "Macroeconomic Fundamentals and the Exchange Rate Volatility: Empirical Evidence From Somalia," SAGE Open, , vol. 10(1), pages 21582440198, January.
    4. Yıldırım-Karaman, Secil, 2017. "Uncertainty shocks, central bank characteristics and business cycles," Economic Systems, Elsevier, vol. 41(3), pages 379-388.

  25. Yang, Lu & Cai, Xiao Jing & Zhang, Huimin & Hamori, Shigeyuki, 2016. "Interdependence of foreign exchange markets: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 55(C), pages 6-14.

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    1. Singh, Jitendra & Ahmad, Wasim & Mishra, Anil, 2019. "Coherence, connectedness and dynamic hedging effectiveness between emerging markets equities and commodity index funds," Resources Policy, Elsevier, vol. 61(C), pages 441-460.
    2. Hathroubi, Salem & Aloui, Chaker, 2022. "Oil price dynamics and fiscal policy cyclicality in Saudi Arabia: New evidence from partial and multiple wavelet coherences," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 149-160.
    3. Zhicheng Liang & Junwei Wang & Kin Keung Lai, 2020. "Dependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 169-193, February.
    4. Yang, Lu & Tian, Shuairu & Yang, Wei & Xu, Mingli & Hamori, Shigeyuki, 2018. "Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 116-137.
    5. Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
    6. Umar, Zaghum & Gubareva, Mariya, 2020. "A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    7. Bejaoui, Azza & Frikha, Wajdi & Jeribi, Ahmed & Bariviera, Aurelio F., 2023. "Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
    8. Gong, Yuting & Ma, Chao & Chen, Qiang, 2022. "Exchange rate dependence and economic fundamentals: A Copula-MIDAS approach," Journal of International Money and Finance, Elsevier, vol. 123(C).
    9. Maneejuk, Paravee & Kaewtathip, Nuttaphong & Jaipong, Peemmawat & Yamaka, Woraphon, 2022. "The transition of the global financial markets' connectedness during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    10. Aktham Maghyereh & Basel Awartani & Abul Hassan, 2018. "Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management," Journal of Asset Management, Palgrave Macmillan, vol. 19(6), pages 394-412, October.
    11. Ngo Thai Hung, 2020. "Identifying the Dynamic Connectedness between Propane and Oil Prices: Evidence from Wavelet Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 315-326.
    12. Cai, Xiao Jing & Tian, Shuairu & Yuan, Nannan & Hamori, Shigeyuki, 2017. "Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 206-223.
    13. Concepción González-Concepción & María Candelaria Gil-Fariña & Celina Pestano-Gabino, 2018. "Wavelet power spectrum and cross-coherency of Spanish economic variables," Empirical Economics, Springer, vol. 55(2), pages 855-882, September.
    14. Salah Uddin, Gazi & Lucey, Brian & Rahman, Md Lutfur & Stenvall, David, 2024. "Quantile coherency across bonds, commodities, currencies, and equities," Journal of Commodity Markets, Elsevier, vol. 33(C).
    15. Tong, Yuan & Wan, Ning & Dai, Xingyu & Bi, Xiaoyi & Wang, Qunwei, 2022. "China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?," Energy Economics, Elsevier, vol. 109(C).
    16. Pattnaik, Debidutta & Kumar, Satish & Burton, Bruce & Lim, Weng Marc, 2022. "Economic Modelling at thirty-five: A retrospective bibliometric survey," Economic Modelling, Elsevier, vol. 107(C).
    17. Sangram Keshari Jena & Aviral Kumar Tiwari & Shawkat Hammoudeh & Muhammad Shahbaz, 2020. "Dynamics of FII flows and stock market returns in a major developing country: How does economic uncertainty matter?," The World Economy, Wiley Blackwell, vol. 43(8), pages 2263-2284, August.
    18. Mpoha, Salifya & Bonga-Bonga, Lumengo, 2021. "Spillover effects from China and the US to global emerging markets: a dynamic analysis," MPRA Paper 109349, University Library of Munich, Germany.
    19. Xiuwen Chen, 2023. "Are the shocks of EPU, VIX, and GPR indexes on the oil-stock nexus alike? A time-frequency analysis," Applied Economics, Taylor & Francis Journals, vol. 55(48), pages 5637-5652, October.
    20. Saba Qureshi & Muhammad Aftab, 2023. "Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis," Global Business Review, International Management Institute, vol. 24(6), pages 1180-1204, December.
    21. Muhammad Abubakr Naeem & Saqib Farid & Fiza Qureshi & Farhad Taghizadeh‐Hesary, 2023. "Global factors and the transmission between United States and emerging stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3488-3510, October.
    22. Ngo Thai Hung, 2021. "Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model," Global Business Review, International Management Institute, vol. 22(1), pages 36-56, February.
    23. Yoshito Funashima, 2018. "Macroeconomic policy coordination between Japanese central and local governments," Empirical Economics, Springer, vol. 54(4), pages 1631-1651, June.
    24. Bonga-Bonga, Lumengo & Mpoha, Salifya, 2024. "Spillover effects from China and the United States to Key Regional Emerging Markets: A dynamic analysis," International Review of Financial Analysis, Elsevier, vol. 91(C).
    25. Funashima, Yoshito, 2016. "Governmentally amplified output volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 469-478.
    26. Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020. "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    27. Alexandru Chiriluș & Adrian Costea, 2023. "The Effect of FDI on Environmental Degradation in Romania: Testing the Pollution Haven Hypothesis," Sustainability, MDPI, vol. 15(13), pages 1-16, July.
    28. Syed Jawad Hussain Shahzad & Jose Arreola‐Hernandez & Md Lutfur Rahman & Gazi Salah Uddin & Muhammad Yahya, 2021. "Asymmetric interdependence between currency markets' volatilities across frequencies and time scales," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2436-2457, April.
    29. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    30. Azza Bejaoui & Wajdi Frikha & Ahmed Jeribi, 2023. "On the dynamic connectedness between the G7 stock market indices and different asset classes: Fresh insights from the COVID-19 pandemic and Russia–Ukraine war," SN Business & Economics, Springer, vol. 3(11), pages 1-21, November.
    31. Nekhili, Ramzi & Ziadat, Salem Adel & Mensi, Walid, 2023. "Frequency interdependence and portfolio management between gold, oil and sustainability stock markets," International Economics, Elsevier, vol. 176(C).
    32. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    33. Socaciu, Erzsébet-Mirjám & Nagy, Bálint-Zsolt & Benedek, Botond, 2023. "No place like home: Home bias and flight-to-quality in Group of Seven countries," Economic Modelling, Elsevier, vol. 129(C).
    34. Wang, Haiying & Yuan, Ying & Li, Yiou & Wang, Xunhong, 2021. "Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory," Economic Modelling, Elsevier, vol. 94(C), pages 401-414.
    35. Bhattacherjee, Purba & Mishra, Sibanjan & Kang, Sang Hoon, 2023. "Does market sentiment and global uncertainties influence ESG-oil nexus? A time-frequency analysis," Resources Policy, Elsevier, vol. 86(PA).
    36. Xingxing He & Korhan K. Gokmenoglu & Dervis Kirikkaleli & Syed Kumail Abbas Rizvi, 2023. "Co‐movement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1994-2005, April.
    37. Meng, Xiangcai & Huang, Chia-Hsing, 2019. "The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 131-148.
    38. Devendra Kumar Jain & Naqeeb Ur-Rehman & Omonjon Ganiev & Kapil Arora, 2023. "Currencies of greater interest for central Asian economies: an analysis of exchange market pressure amid global and regional interdependence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-18, December.
    39. Neha Seth & Monica Sighania, 2017. "Financial market contagion: selective review of reviews," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(4), pages 391-408, November.

  26. Yuanyuan Shen & Lu Yang, 2015. "Does Capital Account Liberalization Affect the Financial Stability: Evidence from China," Journal of Reviews on Global Economics, Lifescience Global, vol. 4, pages 152-158.

    Cited by:

    1. Shivangi JAISWAL & Dr. N. KUBENDRAN, 2021. "Capital account liberalisation in India: Volatility of capital flows and selective policy issues," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(626), S), pages 201-218, Spring.

  27. Yang, Lu & Hamori, Shigeyuki, 2015. "Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 124-138.

    Cited by:

    1. Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016. "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 118-139.
    2. Chaker Aloui & Rania Jammazi & Hela Ben Hamida, 2018. "Multivariate Co-movement Between Islamic Stock and Bond Markets Among the GCC: A Wavelet-Based View," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 603-626, August.
    3. Vukovic, Darko B. & Lapshina, Kseniya A. & Maiti, Moinak, 2021. "Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    4. Yang, Lu & Tian, Shuairu & Yang, Wei & Xu, Mingli & Hamori, Shigeyuki, 2018. "Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 116-137.
    5. Stoupos, Nikolaos & Kiohos, Apostolos, 2022. "Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    6. Jammazi, Rania & Tiwari, Aviral Kr. & Ferrer, Román & Moya, Pablo, 2015. "Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 74-93.
    7. Karkowska, Renata & Urjasz, Szczepan, 2021. "Connectedness structures of sovereign bond markets in Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 74(C).
    8. Yang, Lu & Yang, Lei & Hamori, Shigeyuki, 2018. "Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 19-34.
    9. Zhu, Huiming & Meng, Liang & Ge, Yajing & Hau, Liya, 2020. "Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    10. Funashima Yoshito, 2021. "Time–Frequency Regression," Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 21-32, January.
    11. Bhuiyan, Rubaiyat Ahsan & Rahman, Maya Puspa & Saiti, Buerhan & Ghani, Gairuzazmi Bin Mat, 2019. "Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 675-687.
    12. Lu Yang & Jason Z. Ma & Shigeyuki Hamori, 2018. "Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach," Sustainability, MDPI, vol. 10(2), pages 1-23, January.
    13. Xiao Jing Cai & Zheng Fang & Youngho Chang & Shuairu Tian & Shigeyuki Hamori, 2020. "Co-movements in commodity markets and implications in diversification benefits," Empirical Economics, Springer, vol. 58(2), pages 393-425, February.
    14. Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020. "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    15. Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
    16. Shabeer Khan & Niaz Ahmed Bhutto & Uzair Abdullah Khan & Mohd Ziaur Rehman & Wadi B. Alonazi & Abdullah Ludeen, 2022. "Ṣukūk or Bond, Which Is More Sustainable during COVID-19? Global Evidence from the Wavelet Coherence Model," Sustainability, MDPI, vol. 14(17), pages 1-20, August.
    17. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    18. Meng, Xiangcai & Huang, Chia-Hsing, 2019. "The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 131-148.

  28. Yang, Lu & Cai, Xiao Jing & Li, Mengling & Hamori, Shigeyuki, 2015. "Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas," Economic Modelling, Elsevier, vol. 51(C), pages 308-314.

    Cited by:

    1. Mensah, Jones Odei & Alagidede, Paul, 2017. "How are Africa's emerging stock markets related to advanced markets? Evidence from copulas," Economic Modelling, Elsevier, vol. 60(C), pages 1-10.
    2. Sehgal, Sanjay & Pandey, Piyush & Diesting, Florent, 2017. "Examining dynamic currency linkages amongst South Asian economies: An empirical study," Research in International Business and Finance, Elsevier, vol. 42(C), pages 173-190.
    3. Phong Nguyen & Wei-han Liu, 2017. "Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 43-76, March.
    4. Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2017. "Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study," Working Papers hal-01885142, HAL.
    5. Nguyen, Cuong & Bhatti, M. Ishaq & Komorníková, Magda & Komorník, Jozef, 2016. "Gold price and stock markets nexus under mixed-copulas," Economic Modelling, Elsevier, vol. 58(C), pages 283-292.
    6. Zhu, Xiaoqian & Wei, Lu & Li, Jianping, 2021. "A two-stage general approach to aggregate multiple bank risks," Finance Research Letters, Elsevier, vol. 40(C).
    7. A. Ford Ramsey & Barry K. Goodwin, 2019. "Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program," JRFM, MDPI, vol. 12(2), pages 1-21, April.
    8. Bellenzier, Lucia & Vitting Andersen, Jørgen & Rotundo, Giulia, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Economic Modelling, Elsevier, vol. 59(C), pages 224-236.
    9. Labidi, Chiaz & Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Bekiros, Stelios, 2018. "Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 179-211.
    10. Yang, Lu & Yang, Lei & Hamori, Shigeyuki, 2018. "Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 19-34.
    11. Salah Uddin, Gazi & Lucey, Brian & Rahman, Md Lutfur & Stenvall, David, 2024. "Quantile coherency across bonds, commodities, currencies, and equities," Journal of Commodity Markets, Elsevier, vol. 33(C).
    12. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    13. Lin, Saiyan & Chen, Rongda & Lv, Zhihong & Zhou, Tianqing & Jin, Chenglu, 2019. "Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    14. Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022. "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, vol. 114(C).
    15. Prince Osei Mensah & Anokye M. Adam, 2020. "Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana," Risks, MDPI, vol. 8(2), pages 1-20, June.
    16. Nguyen, Cuong & Ishaq Bhatti, M. & Henry, Darren, 2017. "Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 480(C), pages 10-21.
    17. Benlagha, Noureddine, 2020. "Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade," Research in International Business and Finance, Elsevier, vol. 54(C).
    18. Mokni, Khaled & Mansouri, Faysal, 2017. "Conditional dependence between international stock markets: A long memory GARCH-copula model approach," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 116-131.
    19. Yunsong Xu & Hanying Qi & Jiaqi Li & Ning Ding, 2021. "The Risk Spillover Effects of the Real Estate Industry on the Financial Industry: A GARCH-Time-Varying-Copula-CoVaR Approach on China," SAGE Open, , vol. 11(4), pages 21582440211, December.
    20. Jiang, Kunliang & Ye, Wuyi, 2022. "Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?," Economic Modelling, Elsevier, vol. 117(C).
    21. Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2018. "Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 389-425, June.
    22. Charfeddine, Lanouar & Al Refai, Hisham, 2019. "Political tensions, stock market dependence and volatility spillover: Evidence from the recent intra-GCC crises," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    23. Lei, Lei & Peng, Yijie & Fu, Michael C. & Hu, Jian-Qiang, 2023. "Copula sensitivity analysis for portfolio credit derivatives," European Journal of Operational Research, Elsevier, vol. 308(1), pages 455-466.
    24. Mo, Guoli & Zhang, Weiguo & Tan, Chunzhi & Liu, Xing, 2022. "Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    25. Abakah, Emmanuel Joel Aikins & Addo, Emmanuel & Gil-Alana, Luis A. & Tiwari, Aviral Kumar, 2021. "Re-examination of international bond market dependence: Evidence from a pair copula approach," International Review of Financial Analysis, Elsevier, vol. 74(C).

  29. Yang, Lu & Hamori, Shigeyuki, 2014. "Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 145-155.

    Cited by:

    1. Solikin M. Juhro & Bernard N. Iyke & Paresh K. Narayan, 2020. "Interdependence Between Monetary Policy And Asset Prices In Asean-5 Countries," Working Papers WP/01/2020, Bank Indonesia.
    2. Bosupeng, Mpho, 2015. "The Impossible Trinity and Financial Markets – An Examination of Inflation Volatility Spillovers," MPRA Paper 77923, University Library of Munich, Germany, revised 2015.
    3. Suwanprasert, Wisarut, 2023. "Consequences of Thailand’s 2006 military coup: Evidence from the synthetic control method," European Journal of Political Economy, Elsevier, vol. 80(C).
    4. Sophio Togonidze & Evzen Kocenda, 2020. "Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: Analysis by Region and Resource Profile," Working Papers IES 2020/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2020.
    5. Chandra Utama & Insukindro & Ardyanto Fitrady, 2022. "Fiscal And Monetary Policy Interactions In Indonesia During Periods Of Economic Turmoil In The Us: 2001q1-2014q4," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 25(1), pages 97-116, June.
    6. Ahmad Maulin Naufa & Mamduh M. Hanafi & I Wayan Nuka Lantara, 2021. "Foreign Ownership, Stock Performance-Risk, And Macroeconomic Factors In Asean Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 24(1), pages 151-168, March.
    7. Benson, Karen & Faff, Robert & Smith, Tom, 2015. "Injecting liquidity into liquidity research," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 533-540.
    8. , & Hwa, Yen Siew & Chua, Soo Y. & Hooi, Lean Hooi, 2015. "Do Indian Economic Activities Impact ASEAN-5 Stock Markets?," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 49(2), pages 61-76.
    9. Sun, Xinxin & Lu, Xinsheng & Yue, Gongzheng & Li, Jianfeng, 2017. "Cross-correlations between the US monetary policy, US dollar index and crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 326-344.

  30. Yang, Lu & Hamori, Shigeyuki, 2014. "Dependence structure between CEEC-3 and German government securities markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 109-125.

    Cited by:

    1. Yang, Lu, 2019. "Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective," Energy Economics, Elsevier, vol. 80(C), pages 219-233.
    2. Karkowska, Renata & Urjasz, Szczepan, 2021. "Connectedness structures of sovereign bond markets in Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 74(C).
    3. Yang, Lu & Yang, Lei & Ho, Kung-Cheng & Hamori, Shigeyuki, 2020. "Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach," Journal of Asian Economics, Elsevier, vol. 68(C).
    4. Yang, Lu & Yang, Lei & Hamori, Shigeyuki, 2018. "Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 19-34.
    5. Wenming Shi & Kevin X. Li & Zhongzhi Yang & Ganggang Wang, 2017. "Time-varying copula models in the shipping derivatives market," Empirical Economics, Springer, vol. 53(3), pages 1039-1058, November.
    6. Jalan, Akanksha & Matkovskyy, Roman & Yarovaya, Larisa, 2021. "“Shiny” crypto assets: A systemic look at gold-backed cryptocurrencies during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 78(C).
    7. Wohlmann, Monika, 2015. "Finanzmarktintegration in Mittelosteuropa: Eine empirische Analyse der integrativen Wirkung des Euro," Arbeitspapiere der FOM 55, FOM Hochschule für Oekonomie & Management.
    8. Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers 2013/14, Czech National Bank.
    9. Lu Yang & Jason Z. Ma & Shigeyuki Hamori, 2018. "Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach," Sustainability, MDPI, vol. 10(2), pages 1-23, January.
    10. Guizhou Liu & Shigeyuki Hamori, 2020. "Can One Reinforce Investments in Renewable Energy Stock Indices with the ESG Index?," Energies, MDPI, vol. 13(5), pages 1-19, March.
    11. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "The conditional dependence structure of insurance sector credit default swap indices," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 122-132.
    12. Huang, MeiChi & Wu, Chih-Chiang & Liu, Shih-Min & Wu, Chang-Che, 2016. "Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 54-71.
    13. Yang, Lu & Hamori, Shigeyuki, 2015. "Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 124-138.

  31. Lu Yang & Shigeyuki Hamori, 2013. "EU Accession, Financial Integration, and Contagion Effects: Dynamic Correlation Analysis of CEEC-3 Bond Markets," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 20(2), pages 179-189, October.

    Cited by:

    1. Wei Zhou, 2017. "Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 207-230, August.
    2. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 105-113.
    3. Iwasaki, Ichiro, 2018. "International Presence of the Japanese Study of Russian and East European Economies," RRC Working Paper Series 74, Russian Research Center, Institute of Economic Research, Hitotsubashi University.
    4. Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers 2013/14, Czech National Bank.
    5. Lu Yang & Jason Z. Ma & Shigeyuki Hamori, 2018. "Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach," Sustainability, MDPI, vol. 10(2), pages 1-23, January.
    6. Yang, Lu & Hamori, Shigeyuki, 2014. "Dependence structure between CEEC-3 and German government securities markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 109-125.
    7. Yang, Lu & Hamori, Shigeyuki, 2015. "Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 124-138.

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