The study examines the uncertainty connectedness between oil and a bouquet of commodities. We construct a news-based index that measures commodity-specific uncertainty at a weekly frequency from January 2000 to May 2021. We examine the uncertainty network between oil and commodities using the...

Using Toda-Yamamoto Granger causality approach, we study causality between energy consumption (EC) and economic growth (GDP) in Pakistan for the period 1972-2015. The study extended the basic production function having labor and capital as the mainstream variables by adding major energy sources...

Russia has become more integrated and dependent on global developments over the last decades, despite being ruled by an increasingly autocratic regime. How does Russian media cover the associated economic and policy challenges? To answer, we use the economic policy uncertainty indexes as proxies...

The cointegrated-based pair trading crucially depends on two key parameters: the length of the formation period and the divergence signal (or opening trigger), which are generally arbitrarily or statistically determined in the literature. In this article, we perform a sensitivity analysis of the...

The ``REtrieval from MIxed Sampling'' (REMIS) approach based on blocking developed in Anderson et al. (2016) is concerned with retrieving an underlying high frequency model from mixed frequency observations. In this paper we investigate parameter-identifiability in the Johansen (1995) vector...

One of the major concerns in todays’ world of economic finance, especially investments in asset classes like stocks and bonds, is whether the returns on these asset classes are linear or non-linear. To test the linearity behaviour, this paper employs the Granger causality test (Granger, 1969)...

We propose a bounds testing procedure (BTP) with a battery of tests for the existence of a non-degenerate co-integrating relationship in levels, for long panels. It is a natural extension to panel data of the respective approach in time series as described by Pesaran, Shin and Smith (2001) and...