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Research on jumps and volatility in China’s carbon market
This paper analyzes the jum** behavior and factors influencing volatility in China’s five carbon pilot markets. We confirm the presence of a...
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Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model
This paper contributes to the ongoing debate on the nature and characteristics of the volatility transmission channels of major crash events in...
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Cryptocurrency trading: a comprehensive survey
In recent years, the tendency of the number of financial institutions to include cryptocurrencies in their portfolios has accelerated....
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Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict
This paper investigates the interconnectedness patterns between agricultural commodities, crude oil, and ethanol, along with their determinants...
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The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries
This study analyzes oil price exposure of the oil–gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model...
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Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach
Because the U.S. is a major player in the international oil market, it is interesting to study whether aggregate and state-level economic conditions...
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Typology of Nonlinear Time Series Models
This paper attempts to provide a comprehensive review of nonlinear time series models, starting with the rationale for such models, their superiority...
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United States Oil Fund volatility prediction: the roles of leverage effect and jumps
We investigate United States Oil Fund volatility predictions using a mixed data sampling modeling framework. There are several vital findings. First,...
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Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality
This paper explores the asymmetric effect of COVID-19 pandemic news, as measured by the coronavirus indices (Panic, Hype, Fake News, Sentiment,...
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Exploring the driving forces of the Bitcoin currency exchange rate dynamics: an EGARCH approach
Bitcoin is a virtual currency scheme that is characterised by a decentralised network and cryptographic transfer verification. It has attracted much...
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Revisiting the Oil and Food Prices Dynamics: A Time Varying Approach
Given the cyclicality of energy and food commodity prices influenced by global macroeconomic uncertainties, there is a need to provide appropriate...
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How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models
This study examines the dynamic relationship among gold and USD exchange rates. Since one single time series model can suffer from structural (or...
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Industry return lead-lag relationships between the US and other major countries
In this study, we analyze the lead-lag relationships between the US industry index and those of six other major countries from January 1973 to May...
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Jump Detection and Noise Separation by a Singular Wavelet Method for Predictive Analytics of High-Frequency Data
High-frequency data is a big data in finance in which a large amount of intra-day transactions arriving irregularly in financial markets are...
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International equity markets interdependence: bigger shocks or contagion in the 21st century?
We investigate the nature of shocks across international equity markets and evaluate the shifts in their comovements at business-cycle frequency. By...
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On the Dynamic Linkages Among International Emerging Currencies
This study examines the interdependence of US dollar exchange rates expressed in five emerging currencies. Focusing on different phases of the global...
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Are there Swift Transitions in the Smooth Transition Regressions of the Exchange Rate Volatility of Dollarized Versus Non-Dollarized Economies?
The aim of this paper is to examine the nature of the transitions in the exchange rate volatility of dollarized and non-dollarized economies as a...
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“New” monetary policy instruments and exchange rate volatility
Turkish economy has been suffering from rises in financial flows since the last two decades that these flows have raised financial stability...
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Review of Related Literature
This section highlights the intricacy in the relationship between macro-economic variables and stock prices by making a survey of selected previous...
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GCC Financial Markets in the Wake of Recent Global Crisis
This paper provides pioneering risk assessment techniques that can be applied to investment portfolios in emerging financial markets, such as in the...