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Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach

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Cited by:

  1. Dai, Xingyu & Dai, Peng-Fei & Wang, Qunwei & Ouyang, Zhi-Yi, 2023. "The impact of energy-exporting countries’ EPUs on China’s energy futures investors: Risk preference, investment position and investment horizon," Research in International Business and Finance, Elsevier, vol. 64(C).
  2. Wu, Tao & An, Feng & Gao, Xiangyun & Wang, Ze, 2023. "Hidden causality between oil prices and exchange rates," Resources Policy, Elsevier, vol. 82(C).
  3. Ouyang, Zisheng & Zhou, Xuewei & Wang, Gang-jin & Liu, Shuwen & Lu, Min, 2024. "Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 909-928.
  4. 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).
  5. Xingyu Dai & Dongna Zhang & Chi Keung Marco Lau & Qunwei Wang, 2023. "Multiobjective portfolio optimization: Forecasting and evaluation under investment horizon heterogeneity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2167-2196, December.
  6. Zhang, Dongna & Dai, Xingyu & Wang, Qunwei & Lau, Chi Keung Marco, 2023. "Impacts of weather conditions on the US commodity markets systemic interdependence across multi-timescales," Energy Economics, Elsevier, vol. 123(C).
  7. Zhao, Yi & Dai, Xingyu & Zhang, Dongna & Wang, Qunwei & Cao, Yaru, 2023. "Do weather conditions drive China's carbon-coal-electricity markets systemic risk? A multi-timescale analysis," Finance Research Letters, Elsevier, vol. 51(C).
  8. 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).
  9. 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.
  10. 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.
  11. Wen, Fenghua & Liu, Zhen & Dai, Zhifeng & He, Shaoyi & Liu, Wenhua, 2022. "Multi-scale risk contagion among international oil market, Chinese commodity market and Chinese stock market: A MODWT-Vine quantile regression approach," Energy Economics, Elsevier, vol. 109(C).
  12. Wei Kuang, 2022. "Oil tail-risk forecasts: from financial crisis to COVID-19," Risk Management, Palgrave Macmillan, vol. 24(4), pages 420-460, December.
  13. Bin Mo & Juan Meng & Guannan Wang, 2023. "Risk Dependence and Risk Spillovers Effect from Crude Oil on the Chinese Stock Market and Gold Market: Implications on Portfolio Management," Energies, MDPI, vol. 16(5), pages 1-17, February.
  14. Esparcia, Carlos & Jareño, Francisco & Umar, Zaghum, 2022. "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  15. Meng, Bin & Chen, Shuiyang & Haralambides, Hercules & Kuang, Haibo & Fan, Lidong, 2023. "Information spillovers between carbon emissions trading prices and shipping markets: A time-frequency analysis," Energy Economics, Elsevier, vol. 120(C).
  16. 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).
  17. 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.
  18. Li, Sufang & Xu, Qiufan & Lv, Yixue & Yuan, Di, 2022. "Public attention, oil and gold markets during the COVID-19: Evidence from time-frequency analysis," Resources Policy, Elsevier, vol. 78(C).
  19. Luo, Changqing & Liu, Lan & Wang, Da, 2021. "Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  20. Yang, Cai & Wang, Xinyi & Gao, Wang, 2022. "Is Bitcoin a better hedging and safe-haven investment than traditional assets against currencies? Evidence from the time-frequency domain approach," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  21. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2020. "Spillovers and co-movements between precious metals and energy markets: Implications on portfolio management," Resources Policy, Elsevier, vol. 69(C).
  22. Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Gong, Jue & Li, Zhao-Chen & Zhu, You, 2024. "Who dominate the information flowing between innovative and traditional financial assets? A multiscale entropy-based approach," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 329-358.
  23. Dai, Xingyu & Xiao, Ling & Wang, Qunwei & Dhesi, Gurjeet, 2021. "Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS," Energy Policy, Elsevier, vol. 156(C).
  24. 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).
  25. Mohsin, Muhammad & Jamaani, Fouad, 2023. "Green finance and the socio-politico-economic factors’ impact on the future oil prices: Evidence from machine learning," Resources Policy, Elsevier, vol. 85(PA).
  26. Yan, Juan & Haroon, Muhammad, 2023. "Financing efficiency in natural resource markets mobilizing private and public capital for a green recovery," Resources Policy, Elsevier, vol. 85(PB).
  27. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
  28. Guliyev, Hasraddin & Mustafayev, Eldayag, 2022. "Predicting the changes in the WTI crude oil price dynamics using machine learning models," Resources Policy, Elsevier, vol. 77(C).
  29. Xian Xi & Xiangyun Gao & Xiaotian Sun & Huiling Zheng & Congcong Wu, 2024. "Dynamic analysis and application of network structure control in risk conduction in the industrial chain," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-13, December.
  30. 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).
  31. Kamal, Elham & Bouri, Elie, 2023. "Dependence structure among rare earth and financial markets: A multiscale-vine copula approach," Resources Policy, Elsevier, vol. 83(C).
  32. Zhang, Zitao & Qin, Yun, 2022. "Study on the nonlinear interactions among the international oil price, the RMB exchange rate and China's gold price," Resources Policy, Elsevier, vol. 77(C).
  33. Syuhada, Khreshna & Suprijanto, Djoko & Hakim, Arief, 2022. "Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach," Finance Research Letters, Elsevier, vol. 46(PB).
  34. Zhongzheng, Wang, 2023. "Extreme risk transmission mechanism between oil, green bonds and new energy vehicles," Innovation and Green Development, Elsevier, vol. 2(3).
  35. 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).
  36. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions," Research in International Business and Finance, Elsevier, vol. 65(C).
  37. Cheng, Sheng & Han, Lingyu & Cao, Yan & Jiang, Qisheng & Liang, Ruibin, 2022. "Gold-oil dynamic relationship and the asymmetric role of geopolitical risks: Evidence from Bayesian pdBEKK-GARCH with regime switching," Resources Policy, Elsevier, vol. 78(C).
  38. Xizhao Wang & Mingzhe Pu & Shengxuan Sun & Yu Zhong, 2024. "Study of Volatility Spillover from Crude Oil Futures to Grain Futures Across Multiple Cycles Based on the EEMD-BEKK-GARCH Model," Agriculture, MDPI, vol. 15(1), pages 1-21, December.
  39. Dai, Xingyu & Li, Matthew C. & Xiao, Ling & Wang, Qunwei, 2022. "COVID-19 and China commodity price jump behavior: An information spillover and wavelet coherency analysis," Resources Policy, Elsevier, vol. 79(C).
  40. Liu, Zixin & Hu, Jun & Zhang, Shuguang & He, Zhipeng, 2024. "Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  41. Zhang, Xiaoming & Zhang, Tong & Lee, Chien-Chiang, 2022. "The path of financial risk spillover in the stock market based on the R-vine-Copula model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  42. Man, Yuanyuan & Zhang, Sunpei & He, Yongda, 2024. "Dynamic risk spillover and hedging efficacy of China’s carbon-energy-finance markets: Economic policy uncertainty and investor sentiment non-linear causal effects," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1397-1416.
  43. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Shao, Xuefeng & Le, TN-Lan & Gyamfi, Matthew Ntow, 2023. "Financial technology stocks, green financial assets, and energy markets: A quantile causality and dependence analysis," Energy Economics, Elsevier, vol. 118(C).
  44. Huang, Yumeng & Dai, Xingyu & Wang, Qunwei & Zhou, Dequn, 2021. "A hybrid model for carbon price forecastingusing GARCH and long short-term memory network," Applied Energy, Elsevier, vol. 285(C).
  45. Anwer, Zaheer & Khan, Ashraf & Kabir Hassan, M. & Rashid, Mamunur, 2022. "Does the regional proximity lead to exchange rate spillover?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  46. Li, Zheng-Zheng & Li, Yameng & Huang, Chia-Yun & Peculea, Adelina Dumitrescu, 2023. "Volatility spillover across Chinese carbon markets: Evidence from quantile connectedness method," Energy Economics, Elsevier, vol. 119(C).
  47. 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).
  48. Gong, Xu & Jin, Yujing & Liu, Tangyong, 2023. "Analyzing pure contagion between crude oil and agricultural futures markets," Energy, Elsevier, vol. 269(C).
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