Extreme quantile spillovers and connectedness between oil and Chinese sector markets: A portfolio hedging analysis
Tài liệu tham khảo
Akhtaruzzaman, 2021, Is gold a hedge or a safe-haven asset in the COVID–19 crisis?, Economic Modelling, 102, 10.1016/j.econmod.2021.105588
Akhtaruzzaman, 2022, Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis, Finance Research Letters, 47, 10.1016/j.frl.2022.102787
Akhtaruzzaman, 2021, Financial contagion during COVID–19 crisis, Finance Research Letters, 38, 10.1016/j.frl.2020.101604
Albulescu, 2018, Extreme co-movements and dependencies among major international exchange rates: A copula approach, The Quarterly Review of Economics and Finance, 69, 56, 10.1016/j.qref.2018.03.007
Ali, 2022, The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters, Economic Analysis and Policy, 73, 345, 10.1016/j.eap.2021.11.009
Ando, 2022, Quantile connectedness: Modelling tail behaviour in the topology of financial networks, Management Science, 68, 2377, 10.1287/mnsc.2021.3984
Ang, 2002, International asset allocation with regime shifts, Review of Financial Studies, 15, 1137, 10.1093/rfs/15.4.1137
Arouri, 2012, On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness, Energy Economics, 34, 611, 10.1016/j.eneco.2011.08.009
Arouri, 2011, Return and volatility transmission between world oil prices and stock markets of the GCC countries, Economic Modelling, 28, 1815, 10.1016/j.econmod.2011.03.012
Basher, 2016, Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH, Energy Economics, 54, 235, 10.1016/j.eneco.2015.11.022
Bassett, 1978, Asymptotic theory of least absolute error regression, Journal of the American Statistical Association, 73, 618, 10.1080/01621459.1978.10480065
Belhassine, 2021, Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis, Energy Economics, 102, 10.1016/j.eneco.2021.105513
Boubaker, 2014, Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework, The North American Journal of Economics and Finance, 29, 322, 10.1016/j.najef.2014.06.004
Cicchiello, 2022, Credit spreads in the European green bond market: A daily analysis of the COVID-19 pandemic impact, Journal of International Financial Management & Accounting, 33, 383, 10.1111/jifm.12150
Dai, 2022, Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment, Energy Economics, 114, 10.1016/j.eneco.2022.106226
Diebold, 2012, Better to give than to receive: Predictive directional measurement of volatility spillovers, International Journal of Forecasting, 28, 57, 10.1016/j.ijforecast.2011.02.006
Diebold, 2014, On the network topology of variance decompositions: Measuring the connectedness of financial firms, Journal of Econometrics, 182, 119, 10.1016/j.jeconom.2014.04.012
Du, 2011, Speculation and volatility spillover in the crude oil and agricultural commodity markets: A bayesian analysis, Energy Economics, 33, 497, 10.1016/j.eneco.2010.12.015
El Khoury, 2023, Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence. Forthcoming, Journal of International Financial Management & Accounting, 10.1111/jifm.12179
Furno, 2018, Vol. 216
Gharib, 2021, Impact of COVID-19 pandemic on crude oil prices: Evidence from econophysics approach, Resources Policy, 74, 10.1016/j.resourpol.2021.102392
Gjerde, 1999, Causal relations among stock returns and macroeconomic variables in a small, open economy, Journal of International Financial Markets, Institutions and Money, 9, 61, 10.1016/S1042-4431(98)00036-5
Hamao, 1988, An empirical examination of the arbitrage pricing theory: Using Japanese data, Japan and the World Economy, 1, 45, 10.1016/0922-1425(88)90005-9
Jiang, 2020, Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis, Energy Economics, 90, 10.1016/j.eneco.2020.104835
Ji, 2020, China's liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach, Economic Modelling, 93, 187, 10.1016/j.econmod.2020.07.022
Jones, 1996, Oil and the stock markets, The Journal of Finance, 51, 463, 10.1111/j.1540-6261.1996.tb02691.x
Kayalar, 2017, The impact of crude oil prices on financial market indicators: Copula approach, Energy Economics, 61, 162, 10.1016/j.eneco.2016.11.016
Kim, 2013, Reassessing the link between the Japanese yen and emerging Asian currencies, Journal of International Money and Finance, 33, 306, 10.1016/j.jimonfin.2012.11.021
Kočenda, 2019, Exchange rate comovements, hedging and volatility spillovers on new EU forex markets, Journal of International Financial Markets, Institutions and Money, 58, 42, 10.1016/j.intfin.2018.09.009
Koenker, 2005, Inequality constrained quantile regression, Sankhya: The Indian Journal of Statistics, 67, 418
Koop, 1996, Impulse response analysis in nonlinear multivariate models, Journal of Econometrics, 74, 119, 10.1016/0304-4076(95)01753-4
Kroner, 1998, Modeling asymmetric comovements of asset returns, Review of Financial Studies, 11, 817, 10.1093/rfs/11.4.817
Kroner, 1993, Time-varying distributions and dynamic hedging with foreign currency futures, Journal of Financial and Quantitative Analysis, 28, 535, 10.2307/2331164
Ku, 2007, On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios, Applied Economics Letters, 7, 503, 10.1080/13504850500447331
Kumar, 2012, Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis, Energy Economics, 34, 215, 10.1016/j.eneco.2011.03.002
Lin, 2014, Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness, Energy Economics, 42, 172, 10.1016/j.eneco.2013.12.017
Liu, 2021, Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach, Resources Policy, 74, 10.1016/j.resourpol.2021.102381
Liu, 2019, Examining the interdependence between the exchange rates of China and ASEAN countries: A canonical vine copula approach, Sustainability, 11, 5487, 10.3390/su11195487
Londono, 2019, Bad bad contagion, Journal of Banking & Finance, 108, 10.1016/j.jbankfin.2019.105652
Malik, 2009, Volatility transmission between oil prices and equity sector returns, International Review of Financial Analysis, 18, 95, 10.1016/j.irfa.2009.03.003
McAleer, 2009, Structure and asymptotic theory for multivariate asymmetric conditional volatility, Economic Review, 28, 422, 10.1080/07474930802467217
Meng, 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, 48, 131, 10.1016/j.najef.2019.01.009
Mensi, 2013, Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold, Economic Modelling, 32, 15, 10.1016/j.econmod.2013.01.023
Mensi, 2014, Do global factors impact BRICS stock markets? A quantile regression approach, Emerging Markets Review, 19, 1, 10.1016/j.ememar.2014.04.002
Mensi, 2023, Quantile spillovers and connectedness analysis between oil and African stock markets, Economic Analysis and Policy, 78, 60, 10.1016/j.eap.2023.02.002
Pandey, 2018, Dynamic currency linkages and its determinants: An empirical study for East Asian economic community region, Emerging Markets Finance and Trade, 54, 1538, 10.1080/1540496X.2017.1380621
Pesaran, 1998, Generalized impulse response analysis in linear multivariate models, Economics Letters, 58, 17, 10.1016/S0165-1765(97)00214-0
Sharif, 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, 70, 10.1016/j.irfa.2020.101496
Syllignakis, 2011, Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets, International Review of Economics & Finance, 20, 717, 10.1016/j.iref.2011.01.006
Wu, 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, 53, 10.1016/j.najef.2020.101194
Zhu, 2021, Relationships and portfolios between oil and Chinese stock sectors: A study based on wavelet denoising-higher moments perspective, Energy, 217, 10.1016/j.energy.2020.119416