This paper examines quantile coherency in bonds, commodities, currencies, and equities usinga novel quantile coherency approach. While recent literature has explored single-frequencytail - and time-frequency dependence in asset returns, we provide fresh evidence on asset returndependence across...

This paper examines the tail dependence between energy and housing markets in the United States by using cross-quantilogram approach. Our main finding shows a housing returns are dependent on the oil returns in a large part of the return distribution, and that the housing returns are more likely...

During decades of market development, the individual financial markets of the member economies of the Association of Southeast Asian Nations (ASEAN) have been progressively incorporated into regional and international markets. The aim of this study is to explore and measure the strength and...

The aim of this paper is to analyze the connectedness between renewable energy (RE) sectors, the oil & gas sector and other assets using time-scale spillover approach. We find that the RE bioenergy firms are the most connected to oil & gas firms and oil prices. The bond market transmits...

Short-term electricity price forecasting has received considerable attention in recent years. Despite this increased interest, the literature lacks a concrete consensus on the most suitable forecasting approach. We conduct an extensive empirical analysis to evaluate the short-term price...