Using DCC-MIDAS model, we estimate the time-varying long-run correlations between crude oil and the major asset classes; then the structural changes in these correlations are determined with various methodologies. We reveal a strong positive (negative) secular trend toward higher correlation...

Although it is essential for investors who want to comply with their religious obligations, cross-sectoral interaction in Islamic equity markets is an untouched subject in finance literature. Accordingly, this paper aims to investigate the interactions between the ten major sectors of Islamic...

This article proposes a novel framework to construct a financial fragility index (FIX) of an emerging country from five main variables by combining the methods of principal component analysis and dynamic conditional correlations. The main contribution of the FIX is the time-varying weighting...

Using dynamic conditional correlations and networks, we bring a novel framework to define the integration and segmentation of emerging countries. The individual EMBI+ spreads of 13 emerging countries from 01/2003 to 12/2013 are used to compare their interaction structure before (phase 1) and...

This paper applies cDCC model to compare the dynamic correlations between oil prices and exchange rates of G20 members. The significant shifts in the correlations are then endogenously detected. For each pair of oil price-exchange rate, empirical evidence confirms of a strengthening negative...

This paper investigates the role of oil prices in explaining the dynamics of selected emerging countries exchange rates. Using daily data series, the study concludes that a rise in oil price is leading to a significant appreciation in emerging economies currencies against the US dollar. In our...

This paper focuses on developments in the European Economic and Monetary Union sovereign debt markets in the past decade. The ?rst part analyzes the integration and segmentation structure of the bond markets of the Economic and Monetary Union before and after the sovereign debt crisis, by...

This study aims to investigate the presence of long-range dependence in energy futures markets. Using a daily dataset covering from 1990 to 2013 (which includes crucial events for energy markets such as invasion of Iraq and global financial crisis of 2008), we estimate time-varying generalized...

We focus on the developments in the EMU sovereign debt markets in the last decade. First, we show the integration structure of the EMU bond markets before and after the sovereign debt crisis. Accordingly, a fair integration is observed between EMU bond markets during the pre-crisis period....

We analyze the dynamic comovement of commodity futures returns within each category (energy, precious metals, industrial metals, and agriculture) from 1997 to 2013 under the eects of the nancialization of commodity markets. Our findings from the dynamic equicorrelation GARCH model of ? show...