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Quantile dependence of oil price movements and stock returns

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  1. Ben Salem, Leila & Nouira, Ridha & Jeguirim, Khaled & Rault, Christophe, 2022. "The determinants of crude oil prices: Evidence from ARDL and nonlinear ARDL approaches," Resources Policy, Elsevier, vol. 79(C).
  2. Hanif, Waqas & Arreola Hernandez, Jose & Kang, Sang Hoon & Boako, Gideon & Yoon, Seong-Min, 2024. "Interdependence and spillovers between big oil companies and regional and global energy equity markets," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 451-469.
  3. 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.
  4. Reboredo, Juan C. & Ugolini, Andrea, 2018. "The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach," Energy Economics, Elsevier, vol. 76(C), pages 136-152.
  5. Yu, Honghai & Du, Donglei & Fang, Libing & Yan, Panpan, 2018. "Risk contribution of crude oil to industry stock returns," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 179-199.
  6. Nidhaleddine Ben Cheikh & Sami Ben Naceur & Mr. Oussama Kanaan & Christophe Rault, 2018. "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," IMF Working Papers 2018/098, International Monetary Fund.
  7. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.
  8. Luis Fernando Melo-Velandia & José Vicente Romero & Mahicol Stiben Ramírez-González, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Borradores de Economia 1231, Banco de la Republica de Colombia.
  9. Ferreiro Javier Ojea, 2019. "Structural change in the link between oil and the European stock market: implications for risk management," Dependence Modeling, De Gruyter, vol. 7(1), pages 53-125, January.
  10. Antonakakis, Nikolaos & Gupta, Rangan & Kollias, Christos & Papadamou, Stephanos, 2017. "Geopolitical risks and the oil-stock nexus over 1899–2016," Finance Research Letters, Elsevier, vol. 23(C), pages 165-173.
  11. Mabanga, Chris & Bonga-Bonga, Lumengo, 2020. "The effects of oil prices on equity market returns in BRICS grouping: A quantile-on-quantile approach," MPRA Paper 101403, University Library of Munich, Germany.
  12. Wang, Ningli & You, Wanhai, 2023. "New insights into the role of global factors in BRICS stock markets: A quantile cointegration approach," Economic Systems, Elsevier, vol. 47(2).
  13. Sun, Xiaolei & Liu, Chang & Wang, Jun & Li, Jianping, 2020. "Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
  14. Syed jawad hussain Shahzad & Saba Ameer & Muhammad Shahbaz, 2016. "Disaggregating the correlation under bearish and bullish markets: A Quantile-quantile approach," Economics Bulletin, AccessEcon, vol. 36(4), pages 2465-2473.
  15. Hadhri, Sinda, 2021. "The nexus, downside risk and asset allocation between oil and Islamic stock markets: A cross-country analysis," Energy Economics, Elsevier, vol. 101(C).
  16. Garcia-Jorcano, Laura & Benito, Sonia, 2020. "Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying," Research in International Business and Finance, Elsevier, vol. 54(C).
  17. Mensi, Walid & Hkiri, Besma & Al-Yahyaee, Khamis H. & Kang, Sang Hoon, 2018. "Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 74-102.
  18. Ramzi Benkraiem & Thi hong van Hoang & Amine Lahiani & Anthony Miloudi, 2018. "Crude oil and equity markets in major European countries: New evidence," Economics Bulletin, AccessEcon, vol. 38(4), pages 2094-2110.
  19. Umar, Zaghum & Abrar, Afsheen & Hadhri, Sinda & Sokolova, Tatiana, 2023. "The connectedness of oil shocks, green bonds, sukuks and conventional bonds," Energy Economics, Elsevier, vol. 119(C).
  20. 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).
  21. Nasir, Muhammad Ali, 2021. "Zero Lower Bound and negative interest rates: Choices for monetary policy in the UK," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 200-229.
  22. Hanif, Waqas & Hadhri, Sinda & El Khoury, Rim, 2024. "Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers," Journal of Commodity Markets, Elsevier, vol. 34(C).
  23. Pal, Debdatta & Mitra, Subrata K., 2019. "Oil price and automobile stock return co-movement: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 76(C), pages 172-181.
  24. Das, Debojyoti & Kannadhasan, M., 2020. "The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 563-581.
  25. Babak Fazelabdolabadi, 2019. "Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-20, December.
  26. Zhou, Wei-Xing & Dai, Yun-Shi & Duong, Kiet Tuan & Dai, Peng-Fei, 2024. "The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots," Journal of Economic Behavior & Organization, Elsevier, vol. 217(C), pages 91-111.
  27. Zhang, Hao & Cai, Guixin & Yang, Dongxiao, 2020. "The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspective," Energy, Elsevier, vol. 196(C).
  28. Yonghong Jiang & Gengyu Tian & Bin Mo, 2020. "Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-26, December.
  29. Ben Cheikh, Nidhaleddine & Ben Naceur, Sami & Kanaan, Oussama & Rault, Christophe, 2021. "Investigating the asymmetric impact of oil prices on GCC stock markets," Economic Modelling, Elsevier, vol. 102(C).
  30. Ojea Ferreiro, Javier, 2020. "Disentangling the role of the exchange rate in oil-related scenarios for the European stock market," Energy Economics, Elsevier, vol. 89(C).
  31. Zolfaghari, Mehdi & Ghoddusi, Hamed & Faghihian, Fatemeh, 2020. "Volatility spillovers for energy prices: A diagonal BEKK approach," Energy Economics, Elsevier, vol. 92(C).
  32. Hou, Yang & Li, Steven & Wen, Fenghua, 2019. "Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach," Energy Economics, Elsevier, vol. 83(C), pages 119-143.
  33. Ho, Anson T.Y. & Huynh, Kim P. & Jacho-Chávez, David T., 2019. "Using nonparametric copulas to measure crude oil price co-movements," Energy Economics, Elsevier, vol. 82(C), pages 211-223.
  34. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2019. "Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis," Energy Economics, Elsevier, vol. 80(C), pages 950-969.
  35. Vidal-Llana, Xenxo & Uribe, Jorge M. & Guillén, Montserrat, 2023. "European stock market volatility connectedness: The role of country and sector membership," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  36. Chuliá, Helena & Muñoz-Mendoza, Jorge A. & Uribe, Jorge M., 2023. "Energy firms in emerging markets: Systemic risk and diversification opportunities," Emerging Markets Review, Elsevier, vol. 56(C).
  37. Kim, Jong-Min & Tabacu, Lucia & Jung, Hojin, 2020. "A quantile-copula approach to dependence between financial assets," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  38. Westerlund, Joakim & Sharma, Susan Sunila, 2019. "Panel evidence on the ability of oil returns to predict stock returns in the G7 area," Energy Economics, Elsevier, vol. 77(C), pages 3-12.
  39. Huang, Jionghao & Li, Ziruo & Xia, Xiaohua, 2021. "Network diffusion of international oil volatility risk in China's stock market: Quantile interconnectedness modelling and shock decomposition analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1-39.
  40. Madhusudan Karmakar & Samit Paul, 2023. "Downside Risk and Portfolio Optimization of Energy Stocks: A Study on the Extreme Value Theory and the Vine Copula Approach," The Energy Journal, , vol. 44(2), pages 139-180, March.
  41. Ren, Xiaohang & Lu, Zudi & Cheng, Cheng & Shi, Yukun & Shen, Jian, 2019. "On dynamic linkages of the state natural gas markets in the USA: Evidence from an empirical spatio-temporal network quantile analysis," Energy Economics, Elsevier, vol. 80(C), pages 234-252.
  42. Kakade, Kshitij & Jain, Ishan & Mishra, Aswini Kumar, 2022. "Value-at-Risk forecasting: A hybrid ensemble learning GARCH-LSTM based approach," Resources Policy, Elsevier, vol. 78(C).
  43. Liu, Jianing & Man, Yuanyuan & Dong, Xiuliang, 2023. "Tail dependence and risk spillover effects between China's carbon market and energy markets," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 553-567.
  44. Dai, Zhifeng & Tang, Rui & Zhang, Xinhua, 2023. "Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets," Energy Economics, Elsevier, vol. 120(C).
  45. Debojyoti Das & M Kannadhasan & Malay Bhattacharyya, 2020. "Oil price shocks and emerging stock markets revisited," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 17(6), pages 1583-1614, December.
  46. Hanif, Waqas & Areola Hernandez, Jose & Troster, Victor & Kang, Sang Hoon & Yoon, Seong-Min, 2022. "Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
  47. Naeem, Muhammad Abubakr & Pham, Linh & Senthilkumar, Arunachalam & Karim, Sitara, 2022. "Oil shocks and BRIC markets: Evidence from extreme quantile approach," Energy Economics, Elsevier, vol. 108(C).
  48. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Tran, Vuong Thao, 2018. "Can economic policy uncertainty predict stock returns? Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 134-150.
  49. Huang, Shupei & An, Haizhong & Gao, Xiangyun & Wen, Shaobo & Jia, Xiaoliang, 2016. "The global interdependence among oil-equity nexuses," Energy, Elsevier, vol. 107(C), pages 259-271.
  50. Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022. "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, vol. 114(C).
  51. Hussain Shahzad, Syed Jawad & Raza, Naveed & Shahbaz, Muhammad & Ali, Azwadi, 2017. "Dependence of stock markets with gold and bonds under bullish and bearish market states," Resources Policy, Elsevier, vol. 52(C), pages 308-319.
  52. Mensi, Walid & Naeem, Muhammad Abubakr & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Dynamic and frequency spillovers between green bonds, oil and G7 stock markets: Implications for risk management," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 331-344.
  53. František Čech & Jozef Baruník, 2019. "Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1167-1189, September.
  54. Li, Xiafei & Wei, Yu, 2018. "The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method," Energy Economics, Elsevier, vol. 74(C), pages 565-581.
  55. Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad & Balli, Faruk & Shahzad, Syed Jawad Hussain, 2020. "Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
  56. Claudiu T Albulescu & Michel Mina & Cornel Oros, 2021. "Oil-US Stock Market Nexus: Some insights about the New Coronavirus Crisis," Economics Bulletin, AccessEcon, vol. 41(2), pages 588-593.
  57. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2019. "Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets," Energy Policy, Elsevier, vol. 134(C).
  58. Mensi, Walid & Hammoudeh, Shawkat & Vinh Vo, Xuan & Hoon Kang, Sang, 2021. "Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  59. Mishra, Shekhar & Sharif, Arshian & Khuntia, Sashikanta & Meo, Muhammad Saeed & Rehman Khan, Syed Abdul, 2019. "Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach," Resources Policy, Elsevier, vol. 62(C), pages 292-304.
  60. Shi, Wenming & Gong, Yuting & Yin, Jingbo & Nguyen, Son & Liu, Qian, 2022. "Determinants of dynamic dependence between the crude oil and tanker freight markets: A mixed-frequency data sampling copula model," Energy, Elsevier, vol. 254(PB).
  61. Bouri, Elie & Lien, Donald & Roubaud, David & Shahzad, Syed Jawad Hussain, 2018. "Directional predictability of implied volatility: From crude oil to developed and emerging stock markets," Finance Research Letters, Elsevier, vol. 27(C), pages 65-79.
  62. Adewuyi, Adeolu O. & Awodumi, Olabanji B. & Abodunde, Temitope T., 2019. "Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria," Resources Policy, Elsevier, vol. 61(C), pages 348-362.
  63. Sunil K. Mohanty & Stein Frydenberg & Petter Osmundsen & Sjur Westgaard & Christian Skjøld, 2023. "Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 715-746, February.
  64. Zhao, Jing & Cui, Luansong & Liu, Weiguo & Zhang, Qiwen, 2023. "Extreme risk spillover effects of international oil prices on the Chinese stock market: A GARCH-EVT-Copula-CoVaR approach," Resources Policy, Elsevier, vol. 86(PB).
  65. Mensi, Walid & Reboredo, Juan C. & Ugolini, Andrea, 2021. "Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 73(C).
  66. 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.
  67. Abid, Ilyes & Benlemlih, Mohammed & El Ouadghiri, Imane & Peillex, Jonathan & Urom, Christian, 2023. "Fossil fuel divestment and energy prices: Implications for economic agents," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 1-16.
  68. Mohammad Enamul Hoque & Soo-Wah Low & Mohd Azlan Shah Zaidi, 2020. "The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?," Energies, MDPI, vol. 13(15), pages 1-22, July.
  69. Huiming Zhu & Xianfang Su & Yawei Guo & Yinghua Ren, 2016. "The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective," Sustainability, MDPI, vol. 8(8), pages 1-19, August.
  70. Smyth, Russell & Narayan, Paresh Kumar, 2018. "What do we know about oil prices and stock returns?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 148-156.
  71. Chen, Chun-Da & Cheng, Chiao-Ming & Demirer, Rıza, 2017. "Oil and stock market momentum," Energy Economics, Elsevier, vol. 68(C), pages 151-159.
  72. Silvapulle, Param & Smyth, Russell & Zhang, Xibin & Fenech, Jean-Pierre, 2017. "Nonparametric panel data model for crude oil and stock market prices in net oil importing countries," Energy Economics, Elsevier, vol. 67(C), pages 255-267.
  73. Melike E. Bildirici & Memet Salman & Özgür Ömer Ersin, 2022. "Nonlinear Contagion and Causality Nexus between Oil, Gold, VIX Investor Sentiment, Exchange Rate and Stock Market Returns: The MS-GARCH Copula Causality Method," Mathematics, MDPI, vol. 10(21), pages 1-16, October.
  74. Dai, Yun-Shi & Dai, Peng-Fei & Zhou, Wei-Xing, 2023. "Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  75. 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.
  76. Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.
  77. Salisu, Afees A. & Isah, Kazeem O., 2017. "Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach," Economic Modelling, Elsevier, vol. 66(C), pages 258-271.
  78. 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).
  79. Shrestha, Keshab & Subramaniam, Ravichandran & Peranginangin, Yessy & Philip, Sheena Sara Suresh, 2018. "Quantile hedge ratio for energy markets," Energy Economics, Elsevier, vol. 71(C), pages 253-272.
  80. 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).
  81. Guhathakurta, Kousik & Dash, Saumya Ranjan & Maitra, Debasish, 2020. "Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications," Energy Economics, Elsevier, vol. 85(C).
  82. Ciner, Cetin, 2017. "Predicting white metal prices by a commodity sensitive exchange rate," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 309-315.
  83. You, Wanhai & Guo, Yawei & Zhu, Huiming & Tang, Yong, 2017. "Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression," Energy Economics, Elsevier, vol. 68(C), pages 1-18.
  84. Jin Zhang & Zhenqing Lin & Jinkai Li, 2024. "Analyzing the risk spillovers of international crude oil on China's corn and biofuel ethanol markets: A transition toward green economy and environmental sustainability," Energy & Environment, , vol. 35(3), pages 1216-1234, May.
  85. Rivera-Castro, Miguel A. & Ugolini, Andrea & Arismendi Zambrano, Juan, 2018. "Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network," Emerging Markets Review, Elsevier, vol. 35(C), pages 164-189.
  86. Xie, Qiwei & Liu, Ranran & Qian, Tao & Li, Jingyu, 2021. "Linkages between the international crude oil market and the Chinese stock market: A BEKK-GARCH-AFD approach," Energy Economics, Elsevier, vol. 102(C).
  87. Yang, Dong-Xiao & Wu, Bi-Bo & Tong, Jing-Yang, 2021. "Dynamics and causality of oil price shocks on commodities: Quantile-on-quantile and causality-in-quantiles methods," Resources Policy, Elsevier, vol. 74(C).
  88. Ahmad Monir Abdullah & Aini Aman, 2024. "Energy Prices and Their Impact on US Stock Indices: A Wavelet- based Quantile-on-Quantile Regression Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 216-234, May.
  89. 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).
  90. Juan C. Reboredo & Andrea Ugolini & Yifei Chen, 2019. "Interdependence Between Renewable-Energy and Low-Carbon Stock Prices," Energies, MDPI, vol. 12(23), pages 1-14, November.
  91. Peng, Cheng & Zhu, Huiming & Guo, Yawei & Chen, Xiuyun, 2018. "Risk spillover of international crude oil to China's firms: Evidence from granger causality across quantile," Energy Economics, Elsevier, vol. 72(C), pages 188-199.
  92. Chen, Xiangyu & Tongurai, Jittima, 2022. "Spillovers and interdependency across base metals: Evidence from China's futures and spot markets," Resources Policy, Elsevier, vol. 75(C).
  93. 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).
  94. 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).
  95. Beatriz de la Flor & Javier Ojea-Ferreiro & Eva Ferreira, 2022. "The Hedging Cost of Forgetting the Exchange Rate," Documentos de Trabajo del ICAE 2022-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  96. Sunil K. Mohanty & Roar Aadland & Sjur Westgaard & Stein Frydenberg & Hilde Lillienskiold & Cecilie Kristensen, 2021. "Modelling Stock Returns and Risk Management in the Shipping Industry," JRFM, MDPI, vol. 14(4), pages 1-25, April.
  97. Hau, Liya & Zhu, Huiming & Huang, Rui & Ma, Xiang, 2020. "Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression," Energy, Elsevier, vol. 213(C).
  98. Li, Houjian & Huang, Xinya & Guo, Lili, 2023. "Extreme risk dependence and time-varying spillover between crude oil, commodity market and inflation in China," Energy Economics, Elsevier, vol. 127(PB).
  99. Abdulsalam Abidemi Sikiru & Afees A. Salisu, 2023. "Hedging against risks associated with travel and tourism stocks during COVID‐19 pandemic: The role of gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1872-1882, April.
  100. Elisa Di Febo & Matteo Foglia & Eliana Angelini, 2021. "Tail Risk and Extreme Events: Connections between Oil and Clean Energy," Risks, MDPI, vol. 9(2), pages 1-13, February.
  101. 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).
  102. Yue-Jun Zhang & Shu-Hui Li, 2019. "The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach," Quantitative Finance, Taylor & Francis Journals, vol. 19(8), pages 1357-1371, August.
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