Using the GARCH model and quantile regression with dummy variables, we investigate the hedging and safe haven properties of carbon futures and clean energy stocks against the U.S. climate policy uncertainty (CPU). We discover that carbon futures and clean energy stocks have a weak hedge and a...

This paper investigates the nature of volatility spillovers between stock returns and hedge funds returns in twelve Asia Pacific countries in the 1997-2018 period. The sample period encompasses sub periods, 1997 Asia financial crisis, 2008 Global financial crisis and 2010 Eurozone crisis; these...

Two distinct and non-redundant understandings of volatility, as deviation from consistency, exist for a time-series: (1) exhibiting high standard deviation and, closer to the dictionary definition of the term, (2) appearing highly irregular and unpredictable. We find that Bitcoin is a prime...

We examine the high-frequency return and volatility of major cryptocurrencies and reveal that spillovers among them exist. Our analysis shows that return and volatility clustering structures are distinct among different cryptocurrencies, suggesting that return and volatility might have different...

Using the asymmetric Baba-Engle-Kraft-Kroner (BEKK)-GARCH model and the frequency spillover methodology by Baruník and Křehlík (2018), this paper examines spillovers and portfolio management between crude oil and US Islamic sector stocks. The results show significant time-varying spillovers...

This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of Southeast Asian Nations) stock indexes and five...

We investigate linkages between three different markets: renewable energy (represented by a range of renewable energy ETFs); traditional energy (represented by crude oil ETF); and common stocks (represented by the S&P 500 Index ETF). We use daily data from 2008 to 2021. The econometric framework...

This paper examines the connectedness between oil and stock markets using the WTI oil price and 10 S&P 500 price subindices data from 1989 to 2021. We present a novel approach for constructing a connectedness index based on a dynamic stochastic general equilibrium (DSGE) model with Bayesian...

This study investigates the lead–lag relationships of volatility among European stock markets. Using weakly realized variance measures, we examine volatility spillover dynamics between the UK and other major stock markets in Europe, thereby identifying a long-run leading role for the UK market...

Institutional investors have significantly increased exposure to commodity futures especially oil futures after 2004 in a process called commodity market financialization, raising questions about the risk-sharing and price-discovery functions of the market. We propose an ARMA-GARCH R-vine copula...