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1
Bayesian nonparametric panel Markov-switching GARCH models
Casarin, Roberto
;
Costantini, Mauro
;
Osuntuyi, Anthony
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 135-146
Persistent link: https://www.econbiz.de/10014449842
Saved in:
2
Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets
Luo, Jiawen
;
Marfatia, Hardik A.
;
Ji, Qiang
;
Klein, Tony
- In:
Energy economics
117
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014437127
Saved in:
3
Impact of economic policy uncertainty on the volatility of China's emission trading scheme pilots
Liu, Tao
;
Guan, Xinyue
;
Wei, Yigang
;
Xue, Shan
;
Xu, Liang
- In:
Energy economics
121
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014438458
Saved in:
4
Evaluation of Cost-at-Risk related to the procurement of resources in the ancillary services market : the case of the Italian electricity market
Lisi, Francesco
;
Grossi, Luigi
;
Quaglia, Federico
- In:
Energy economics
121
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014438462
Saved in:
5
Structural sources of oil market volatility and correlation dynamics
Harrison, Andre
;
Liu, Xiaochun
;
Stewart, Shamar L.
- In:
Energy economics
121
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014438691
Saved in:
6
Research on tail risk contagion in international energy markets : the quantile time-frequency volatility spillover perspective
Gong, Xiao-Li
;
Zhao, Min
;
Wu, Zhuo-Cheng
;
Jia, Kai-Wen
; …
- In:
Energy economics
121
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014438765
Saved in:
7
COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs
Naeem, Muhammad Abubakr
;
Sitara Karim
;
Yarovaya, Larisa
; …
- In:
Energy economics
122
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014440746
Saved in:
8
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility
Wu, Xinyu
;
Mei, Xueting
;
Yin, Xuebao
- In:
Journal of risk
25
(
2023
)
5
,
pp. 71-99
Persistent link: https://www.econbiz.de/10014370725
Saved in:
9
Intraday and overnight tail risks and return predictability in the crude oil market : Evidence from oil-related regular news and extreme shocks
Wang, Cheng
;
Bouri, Elie
;
Xu, Yahua
;
Zhang, Dingsheng
- In:
Energy economics
127
(
2023
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014489965
Saved in:
10
The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures
Li, Yan
;
Luu Duc Toan Huynh
;
Xu, Yongan
;
Liang, Hao
- In:
Energy economics
127
(
2023
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014490332
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11
Financial markets, energy shocks, and extreme volatility spillovers
Boubaker, Sabri
;
Sitara Karim
;
Naeem, Muhammad Abubakr
; …
- In:
Energy economics
126
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014487450
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12
Transformer-based forecasting for intraday trading in the Shanghai crude oil market : Analyzing open-high-low-close prices
Huang, Wenyang
;
Gao, Tianxiao
;
Hao, Yun
;
Wang, Xiuqing
- In:
Energy economics
127
(
2023
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014487500
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13
Unveiling the relationship between oil and green bonds : spillover dynamics and implications
Su, Yun Hsuan
;
Rizvi, Kumail Abbas
;
Umar, Muhammad
; …
- In:
Energy economics
127
(
2023
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10014487988
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14
On the volatility of WTI crude oil prices : a time-varying approach with stochastic volatility
Thai-Ha Le
;
Boubaker, Sabri
;
Manh Tien Bui
;
Park, Donghyun
- In:
Energy economics
117
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014436424
Saved in:
15
Decomposed oil price shocks and GCC stock market sector returns and volatility
Al-Fayoumi, Nedal
;
Bouri, Elie
;
Abuzayed, Bana
- In:
Energy economics
126
(
2023
),
pp. 1-33
Persistent link: https://www.econbiz.de/10014483404
Saved in:
16
INE oil futures volatility prediction : exchange rates or international oil futures volatility?
Lu, Xinjie
;
Ma, Feng
;
Li, Haibo
;
Wang, Jianqiong
- In:
Energy economics
126
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014483407
Saved in:
17
Asymmetric effects of oil price shocks on income inequality in ASEAN countries
Tan, Yan
;
Uprasen, Utai
- In:
Energy economics
126
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014483605
Saved in:
18
Jumps in the Chinese crude oil futures volatility forecasting : new evidence
Guo, Yangli
;
Li, Pan
;
Wu, Hanlin
- In:
Energy economics
126
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014483653
Saved in:
19
Time-varying asymmetric volatility spillovers among China’s carbon markets, new energy market and stock market under the shocks of major events
Wu, Xinyu
;
Jiang, Zhengting
- In:
Energy economics
126
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014483676
Saved in:
20
Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets
Okhrin, Yarema
;
Uddin, Mohammed Gazi Salah
;
Yahya, Muhammad
- In:
Energy economics
125
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014485235
Saved in:
21
Dynamic score-driven independent component analysis
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 298-308
Persistent link: https://www.econbiz.de/10014448140
Saved in:
22
Locally stationary multiplicative volatility modeling
Walsh, Christopher
;
Vogt, Michael
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 497-508
Persistent link: https://www.econbiz.de/10014448258
Saved in:
23
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
24
Does oil price uncertainty affect corporate innovation?
Amin, Md. Ruhul
;
Wang, Xinyu
;
Aktas, Elvan
- In:
Energy economics
118
(
2023
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014247717
Saved in:
25
Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil : evidence from a quantile-based analysis
Dai, Zhifeng
;
Zhang, Xiaotong
;
Yin, Zhujia
- In:
Energy economics
118
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014247843
Saved in:
26
Value-at-risk models : a systematic review of the literature
Shayya, Reem
;
Sorrosal Forradellas, Maria Teresa
; …
- In:
Journal of risk
25
(
2023
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014314618
Saved in:
27
Multi-perspective investor attention and oil futures volatility forecasting
Qu, Hui
;
Li, Guo
- In:
Energy economics
119
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014279697
Saved in:
28
Racial and ethnic disparities in unemployment and oil price uncertainty
Elder, John
;
Payne, James E.
- In:
Energy economics
119
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014280133
Saved in:
29
Volatility spillover across Chinese carbon markets : evidence from quantile connectedness method
Li, Zheng-Zheng
;
Li, Yameng
;
Huang, Chia-Yun
; …
- In:
Energy economics
119
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014280144
Saved in:
30
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
Saved in:
31
Economic policy uncertainty, jump dynamics, and oil price volatility
Liu, Feng
;
Shao, Shuai
;
Li, Xin
;
Pan, Na
;
Qi, Yu
- In:
Energy economics
120
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014284019
Saved in:
32
The beneficial role of green bonds as a new strategic asset class : dynamic dependencies, allocation and diversification before and during the pandemic era
Martiradonna, Monica
;
Romagnoli, Silvia
;
Santini, Amia
- In:
Energy economics
120
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014284561
Saved in:
33
The role of China's crude oil futures in world oil futures market and China's financial market
Sun, Chuanwang
;
Min, Jialin
;
Sun, Jiacheng
;
Gong, Xu
- In:
Energy economics
120
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014284634
Saved in:
34
The effect of oil implied volatility and geopolitical risk on GCC stock sectors under various market conditions
Bouri, Elie
;
Hammoud, Rami
;
Kassm, Christina Abou
- In:
Energy economics
120
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014284683
Saved in:
35
The US-China trade war and the volatility linkages between energy and agricultural commodities
Cheng, Natalie Fang Ling
;
Hasanov, Akram Shavkatovich
; …
- In:
Energy economics
120
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014284707
Saved in:
36
Attention to oil prices and its impact on the oil, gold and stock markets and their covariance
Fiszeder, Piotr
;
Fałdziński, Marcin
;
Molnár, Peter
- In:
Energy economics
120
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014285888
Saved in:
37
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
38
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
39
Do market conditions interfere with the transmission of uncertainty from oil market to stock market? : evidence from a modified quantile-on-quantile approach
Xie, Qichang
;
Tang, Guoqiang
- In:
Energy economics
114
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013477567
Saved in:
40
In search of time-varying jumps during the turmoil periods : evidence from crude oil futures markets
Dutta, Anupam
;
Soytaş, Uǧur
;
Das, Debojyoti
; …
- In:
Energy economics
114
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013477590
Saved in:
41
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
42
The asymmetric effects of oil price shocks on the U.S. stock market
Rahman, Sajjadur
- In:
Energy economics
105
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013201580
Saved in:
43
Oil price volatility predictability : new evidence from a scaled PCA approach
Guo, Yangli
;
He, Feng
;
Liang, Chao
;
Ma, Feng
- In:
Energy economics
105
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10013201946
Saved in:
44
Regime specific spillovers across US sectors and the role of oil price volatility
Hernandez, Jose Arreola
;
Shahzad, Syed Jawad Hussain
; …
- In:
Energy economics
107
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013202566
Saved in:
45
Extreme risk spillover of the oil, exchange rate to Chinese stock market : evidence from implied volatility indexes
Chen, Lin
;
Wen, Fenghua
;
Li, Wanyang
;
Yin, Hua
;
Zhao, Lili
- In:
Energy economics
107
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013202630
Saved in:
46
Forecasting crude oil volatility with uncertainty indicators : new evidence
Li, Xiafei
;
Liang, Chao
;
Chen, Zhonglu
;
Umar, Muhammad
- In:
Energy economics
108
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013203032
Saved in:
47
Time-varying dependence dynamics between international commodity prices and Australian industry stock returns : a perspective for portfolio diversification
Tiwari, Aviral Kumar
;
Abakah, Emmanuel Joel Aikins
; …
- In:
Energy economics
108
(
2022
),
pp. 1-30
Persistent link: https://www.econbiz.de/10013203257
Saved in:
48
Givers never lack : Nigerian oil & gas asymmetric network analyses
Okorie, David Iheke
;
Lin, Boqiang
- In:
Energy economics
108
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013203266
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49
A stochastic volatility model with a general leverage specification
Catania, Leopoldo
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 678-689
Persistent link: https://www.econbiz.de/10013534044
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50
Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Cavicchioli, Maddalena
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1772-1783
Persistent link: https://www.econbiz.de/10013540511
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