Search Results - subject:"Dynamic connectedness"

Managing systemic risk in energy and financial markets : evidence from five portfolio strategies based on connectedness

Bouzguenda, Mariem; Jarboui, Anis - In: International Journal of Energy Economics and Policy : IJEEP 16 (2026) 2, pp. 665-679

Persistent link: https://www.econbiz.de/10015620298

Dynamic connectiveness and time‑varying contagion risks amongst East African stock markets

Irangi, Arnold Gideon; Muzindutsi, Paul-Francois; … - In: Risks : open access journal 14 (2026) 3, pp. 1-20

), Rwanda Stock Exchange (RSE), and Uganda Securities Exchange (USE), this study examines volatility spillovers, dynamic … connectedness, and contagion through autoregressive moving average - generalised autoregressive conditional heteroscedasticity (ARMA …

Persistent link: https://www.econbiz.de/10015638963

The impact of digital finance on clean energy and green bonds through the dynamics of spillover

Urekeshova, Assem; Rakhmetulina, Zhibek; Dubina, Igor; … - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 2, pp. 441-452

Persistent link: https://www.econbiz.de/10014366085

Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-45

Persistent link: https://www.econbiz.de/10015371777

Does the tail of finance wag the dog of the real economy? : dynamic connectedness of the stock market and business confidence

Tita, Anthanasius Fomum; French, Joseph J.; Gurdgiev, … - In: International review of economics & finance : IREF 98 (2025), pp. 1-15

Persistent link: https://www.econbiz.de/10015330577

Dynamic connectedness of climate risks, oil shocks, and China’s energy futures market : time-frequency evidence from Quantile-on-Quantile regression

Ren, Ying-hua; Wang, Nairong; Zhu, Huiming - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10015337994

The dynamic connectedness between macroeconomic uncertainty and commodity volatility : evidence from China

Zou, Xiaopeng; Hu, Jiawei - In: Applied economics 57 (2025) 2, pp. 169-190

Persistent link: https://www.econbiz.de/10015191795

Is corn still king? : unravelling time-varying interactions among soft commodities

Sayed, Ayesha; Auret, C. - In: Eurasian economic review : a journal in applied … 15 (2025) 1, pp. 259-284

Persistent link: https://www.econbiz.de/10015457625

From fields to finance : dynamic connectedness and optimal portfolio strategies among agricultural commodities, oil, and stock markets

Tu, Xuan; Leatham, David J. - In: International Journal of Financial Studies : open … 13 (2025) 3, pp. 1-30

In this study, we investigate the return propagation mechanism, hedging effectiveness, and portfolio performance across several common agricultural commodities, crude oil, and S&P 500 index, ranging from July 2000 to June 2024 by using a time-varying parameter vector autoregression (TVP-VAR)...

Persistent link: https://www.econbiz.de/10015457788

Contagion effects in financial markets : influence of green finance and energy sectors during global crises

Khemakhem, Imen; Gallas, Salma; Aissi, Amen - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 5, pp. 26-36

Persistent link: https://www.econbiz.de/10015472257