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A component model for dynamic correlations

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Cited by:

  1. Zhang, Yuan-Yuan & Zhang, Yue-Jun, 2022. "The impact of institutional analyst forecast divergence on crude oil market: Evidence from the mixed frequency models," International Review of Financial Analysis, Elsevier, vol. 84(C).
  2. Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020. "Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach," International Review of Financial Analysis, Elsevier, vol. 71(C).
  3. Fang, Libing & Bouri, Elie & Gupta, Rangan & Roubaud, David, 2019. "Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 29-36.
  4. Aslanidis, Nektarios & Martínez Ibáñez, Óscar, 2012. "Modelling world investment markets using threshold conditional correlation models," Working Papers 2072/203167, Universitat Rovira i Virgili, Department of Economics.
  5. Bauwens, Luc & Braione, Manuela & Storti, Giuseppe, 2017. "A dynamic component model for forecasting high-dimensional realized covariance matrices," Econometrics and Statistics, Elsevier, vol. 1(C), pages 40-61.
  6. 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.
  7. Guo, Yaoqi & Deng, Yiwen & Zhang, Hongwei, 2023. "How do composite and categorical economic policy uncertainties affect the long-term correlation between China's stock and conventional/green bond markets?," Finance Research Letters, Elsevier, vol. 57(C).
  8. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  9. Liu, Yang & Han, Liyan & Xu, Yang, 2021. "The impact of geopolitical uncertainty on energy volatility," International Review of Financial Analysis, Elsevier, vol. 75(C).
  10. 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.
  11. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 617-642.
  12. Hu, Zinan & Borjigin, Sumuya, 2024. "The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
  13. Christian Conrad & Karin Loch, 2015. "Anticipating Long‐Term Stock Market Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1090-1114, November.
  14. Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012. "Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach," The Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3711-3751.
  15. Skintzi, Vasiliki D., 2019. "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 20-28.
  16. Turhan, M. Ibrahim & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2014. "A view to the long-run dynamic relationship between crude oil and the major asset classes," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 286-299.
  17. Alketa Bejko & Belinda Xarba, 2021. "The Evaluation of the Drafting Process of Regional’s Development Strategies in Albania. the Research on Gjirokastra’s Region," European Journal of Interdisciplinary Studies Articles, Revistia Research and Publishing, vol. 1, September.
  18. Rita Pimentel & Morten Risstad & Sjur Westgaard, 2022. "Predicting interest rate distributions using PCA & quantile regression," Digital Finance, Springer, vol. 4(4), pages 291-311, December.
  19. Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2015. "Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 135-152.
  20. Tsiakas, Ilias & Zhang, Haibin, 2021. "Economic fundamentals and the long-run correlation between exchange rates and commodities," Global Finance Journal, Elsevier, vol. 49(C).
  21. 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.
  22. BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "Multiplicative Conditional Correlation Models for Realized Covariance Matrices," LIDAM Discussion Papers CORE 2016041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  23. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
  24. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Adesina, Oluwaseun A. & Alobaloke, Kafayat A. & Vo, Xuan Vinh, 2022. "Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses," Resources Policy, Elsevier, vol. 79(C).
  25. repec:eee:finlet:v:24:y:2018:i:c:p:56-63 is not listed on IDEAS
  26. Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
  27. Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023. "Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach," Working Papers 202308, University of Pretoria, Department of Economics.
  28. Das, Sonali & Demirer, Riza & Gupta, Rangan & Mangisa, Siphumlile, 2019. "The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 132-147.
  29. Nguyen, Hoang & Javed, Farrukh, 2023. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 272-292.
  30. Qifa Xu & Lu Chen & Cuixia Jiang & Yezheng Liu, 2022. "Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 407-421, April.
  31. Bachar Fakhry & Christian Richter, 2018. "Does the Federal Constitutional Court Ruling Mean the German Financial Market is Efficient?," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 4(2), pages 111-125.
  32. Perego, Erica R. & Vermeulen, Wessel N., 2016. "Macro-economic determinants of European stock and government bond correlations: A tale of two regions," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 214-232.
  33. Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng & Yin, Libo, 2017. "Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 130-142.
  34. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
  35. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  36. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2017. "Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation," CREATES Research Papers 2018-12, Department of Economics and Business Economics, Aarhus University.
  37. 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.
  38. 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).
  39. Christoffersen, Peter & Errunza, Vihang & Jacobs, Kris & Jin, Xisong, 2014. "Correlation dynamics and international diversification benefits," International Journal of Forecasting, Elsevier, vol. 30(3), pages 807-824.
  40. Salisu, Afees A. & Ogbonna, Ahamuefula E., 2022. "The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect," Global Finance Journal, Elsevier, vol. 54(C).
  41. Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2022. "Mixed‐frequency forecasting of crude oil volatility based on the information content of global economic conditions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 134-157, January.
  42. Audrino, Francesco, 2014. "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 43-60.
  43. BAUWENS, Luc & otranto, EDOARDO, 2013. "Modeling the dependence of conditional correlations on volatility," LIDAM Discussion Papers CORE 2013014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  44. Luc Bauwens & Manuela Braione & Giuseppe Storti, 2016. "Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices," Annals of Economics and Statistics, GENES, issue 123-124, pages 103-134.
  45. Connor, Gregory & Suurlaht, Anita, 2013. "Dynamic stock market covariances in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 353-370.
  46. Hossein Asgharian & Charlotte Christiansen & Rangan Gupta & Ai Jun Hou, 2016. "Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation," CREATES Research Papers 2016-29, Department of Economics and Business Economics, Aarhus University.
  47. Nguyen, Hoang & Virbickaitė, Audronė, 2023. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Energy Economics, Elsevier, vol. 124(C).
  48. Henryk Gurgul & Roland Mestel & Robert Syrek, 2017. "MIDAS models in banking sector – systemic risk comparison," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(2), pages 165-181.
  49. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," The Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
  50. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2012. "On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation," Working Papers 0525, University of Heidelberg, Department of Economics.
  51. Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
  52. 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).
  53. Qifa Xu & Liukai Wang & Cuixia Jiang & Fu Jia & Lujie Chen, 2022. "Tail dependence network of new energy vehicle industry in mainland China," Annals of Operations Research, Springer, vol. 315(1), pages 565-590, August.
  54. Mobarek, Asma & Muradoglu, Gulnur & Mollah, Sabur & Hou, Ai Jun, 2016. "Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods," Journal of Financial Stability, Elsevier, vol. 24(C), pages 1-11.
  55. Salisu, Afees A. & Gupta, Rangan & Bouri, Elie, 2023. "Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 303-314.
  56. Pan, Zhiyuan & Liu, Li, 2018. "Forecasting stock return volatility: A comparison between the roles of short-term and long-term leverage effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 168-180.
  57. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021. "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  58. Virk, Nader & Javed, Farrukh, 2017. "European equity market integration and joint relationship of conditional volatility and correlations," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 53-77.
  59. Zhang, Hongwei & Hong, Huojun & Ding, Shijie, 2023. "The role of climate policy uncertainty on the long-term correlation between crude oil and clean energy," Energy, Elsevier, vol. 284(C).
  60. Elie Bouri & Konstantinos Gkillas & Rangan Gupta, 2020. "Trade uncertainties and the hedging abilities of Bitcoin," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(3), September.
  61. Xiong, Youlin & Shen, Jun & Yoon, Seong-Min & Dong, Xiyong, 2024. "Macroeconomic determinants of the long-term correlation between stock and exchange rate markets in China: A DCC-MIDAS-X approach considering structural breaks," Finance Research Letters, Elsevier, vol. 61(C).
  62. 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.
  63. Xu, Nancy R., 2021. "Procyclicality of the comovement between dividend growth and consumption growth," Journal of Financial Economics, Elsevier, vol. 139(1), pages 288-312.
  64. Jiang, Cuixia & Li, Yuqian & Xu, Qifa & Liu, Yezheng, 2021. "Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 386-398.
  65. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
  66. Dark, Jonathan, 2024. "An adaptive long memory conditional correlation model," Journal of Empirical Finance, Elsevier, vol. 75(C).
  67. Afees A. Salisu & Wenting Liao & Rangan Gupta & Oguzhan Cepni, 2023. "Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model," Working Papers 202323, University of Pretoria, Department of Economics.
  68. Getachew, Yoseph Yilma, 2016. "Credit constraints, growth and inequality dynamics," Economic Modelling, Elsevier, vol. 54(C), pages 364-376.
  69. Afees A. Salisu & Rangan Gupta & Oguzhan Cepni & Petre Caraiani, 2024. "Oil shocks and state-level stock market volatility of the United States: a GARCH-MIDAS approach," Review of Quantitative Finance and Accounting, Springer, vol. 63(4), pages 1473-1510, November.
  70. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  71. Fang, Libing & Yu, Honghai & Huang, Yingbo, 2018. "The role of investor sentiment in the long-term correlation between U.S. stock and bond markets," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 127-139.
  72. Belcaid, Karim & El Ghini, Ahmed, 2019. "U.S., European, Chinese economic policy uncertainty and Moroccan stock market volatility," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
  73. Sakemoto, Ryuta, 2023. "The long-run risk premium in the intertemporal CAPM: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
  74. Andrea BUCCI, 2017. "Forecasting Realized Volatility A Review," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 8(2), pages 94-138.
  75. Salisu, Afees A. & Gupta, Rangan, 2021. "Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach," Global Finance Journal, Elsevier, vol. 48(C).
  76. Yunxu Wang & Chi-Wei Su & Yuchen Zhang & Oana-Ramona Lobonţ & Qin Meng, 2023. "Effectiveness of Principal-Component-Based Mixed-Frequency Error Correction Model in Predicting Gross Domestic Product," Mathematics, MDPI, vol. 11(19), pages 1-14, September.
  77. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
  78. Proietti, Tommaso, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper 57230, University Library of Munich, Germany.
  79. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
  80. Thomas C. Chiang & Lanjun Lao & Qingfeng Xue, 2016. "Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1003-1042, November.
  81. Yin, Libo & Zhou, Yimin, 2016. "What drives long-term oil market volatility? Fundamentals versus speculation," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-26.
  82. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Working Paper Research 119, National Bank of Belgium.
  83. BenMim, Imen & BenSaïda, Ahmed, 2019. "Financial contagion across major stock markets: A study during crisis episodes," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 187-201.
  84. Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023. "Policy uncertainty and stock market volatility revisited: The predictive role of signal quality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2307-2321, December.
  85. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  86. Dhaene, Geert & Wu, Jianbin, 2020. "Incorporating overnight and intraday returns into multivariate GARCH volatility models," Journal of Econometrics, Elsevier, vol. 217(2), pages 471-495.
  87. Gilles Truchis & Benjamin Keddad, 2016. "Long-Run Comovements in East Asian Stock Market Volatility," Open Economies Review, Springer, vol. 27(5), pages 969-986, November.
  88. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
  89. Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Sisa Shiba, 2024. "Energy Market Uncertainties and Gold Return Volatility: A GARCH-MIDAS Approach," Working Papers 202431, University of Pretoria, Department of Economics.
  90. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
  91. Ahmed BenSaïda & Houda Litimi, 2021. "Financial contagion across G10 stock markets: A study during major crises," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4798-4821, July.
  92. Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2020. "Forecasting Oil Volatility Using a GARCH-MIDAS Approach: The Role of Global Economic Conditions," Working Papers 202051, University of Pretoria, Department of Economics.
  93. Salisu, Afees A. & Demirer, Riza & Gupta, Rangan, 2022. "Financial turbulence, systemic risk and the predictability of stock market volatility," Global Finance Journal, Elsevier, vol. 52(C).
  94. Roxana Halbleib & Valerie Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Papers ECARES ECARES 2011-002, ULB -- Universite Libre de Bruxelles.
  95. Akyildirim, Erdinc & Corbet, Shaen & Nguyen, Duc Khuong & Sensoy, Ahmet, 2020. "Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework," International Review of Law and Economics, Elsevier, vol. 63(C).
  96. Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022. "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, vol. 114(C).
  97. Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013. "On loss functions and ranking forecasting performances of multivariate volatility models," Journal of Econometrics, Elsevier, vol. 173(1), pages 1-10.
  98. Wang, Qin & Li, Xianhua, 2024. "Copula-MIDAS-TRV model for risk spillover analysis − Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  99. Zian Wang & Xinshu Li, 2024. "On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futures," Papers 2409.08355, arXiv.org.
  100. Conrad, Christian & Stuermer, Karin, 2017. "On the economic determinants of optimal stock-bond portfolios: international evidence," Working Papers 0636, University of Heidelberg, Department of Economics.
  101. Salisu, Afees A. & Gupta, Rangan & Demirer, Riza, 2022. "Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model," Energy Economics, Elsevier, vol. 108(C).
  102. Ayinde, Taofeek O. & Olaniran, Abeeb O. & Abolade, Onomeabure C. & Ogbonna, Ahamuefula Ephraim, 2023. "Technology shocks - Gold market connection: Is the effect episodic to business cycle behaviour?," Resources Policy, Elsevier, vol. 84(C).
  103. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Gupta, Rangan & Ji, Qiang, 2024. "Energy market uncertainties and exchange rate volatility: A GARCH-MIDAS approach," Finance Research Letters, Elsevier, vol. 67(PB).
  104. Wang, Xiong & Li, Jingyao & Ren, Xiaohang, 2022. "Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond," International Review of Financial Analysis, Elsevier, vol. 83(C).
  105. Mengting Li & Qifa Xu & Cuixia Jiang & Yezheng Liu, 2024. "The role of long‐ and short‐run correlation networks in international portfolio selection," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3147-3176, July.
  106. 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.
  107. Karanasos, M. & Yfanti, S., 2021. "On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  108. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Gupta, Rangan & Bouri, Elie, 2024. "Energy-related uncertainty and international stock market volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 280-293.
  109. Stewart, Shamar L. & Isengildina Massa, Olga, 2024. "Food & Oil Price Volatility Dynamics: Insights from a TVP-SVAR-DCC-MIDAS Model," 2024 Annual Meeting, July 28-30, New Orleans, LA 343936, Agricultural and Applied Economics Association.
  110. Fang, Libing & Yu, Honghai & Li, Lei, 2017. "The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets," Economic Modelling, Elsevier, vol. 66(C), pages 139-145.
  111. Afees A. Salisu & Yinka S. Hammed & Ibrahim Ngananga Ouattara, 2023. "Climate Change, Technology Shocks and the US Equity Real Estate Investment Trusts (REITs)," Sustainability, MDPI, vol. 15(19), pages 1-22, October.
  112. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
  113. Ding, Hao & Ji, Qiang & Ma, Rufei & Zhai, Pengxiang, 2022. "High-carbon screening out: A DCC-MIDAS-climate policy risk method," Finance Research Letters, Elsevier, vol. 47(PA).
  114. Simona Moagăr-Poladian & Dorina Clichici & Cristian-Valeriu Stanciu, 2019. "The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe," Sustainability, MDPI, vol. 11(14), pages 1-22, July.
  115. 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).
  116. Niţoi, Mihai & Pochea, Maria Miruna, 2019. "What drives European Union stock market co-movements?," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 57-69.
  117. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Vo, Xuan Vinh, 2022. "Oil shocks and volatility of green investments: GARCH-MIDAS analyses," Resources Policy, Elsevier, vol. 78(C).
  118. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2015. "Effects of macroeconomic uncertainty on the stock and bond markets," Finance Research Letters, Elsevier, vol. 13(C), pages 10-16.
  119. Chen, Zhuoyi & Liu, Yuanyuan & Zhang, Hongwei, 2024. "Can geopolitical risks impact the long-run correlation between crude oil and clean energy markets? Evidence from a regime-switching analysis," Renewable Energy, Elsevier, vol. 229(C).
  120. Panos K. Pouliasis & Nikos C. Papapostolou, 2018. "Volatility and correlation timing: The role of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1407-1439, November.
  121. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Lasisi, Lukman & Olaniran, Abeeb, 2022. "Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
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