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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

Regime specific spillover across cryptocurrencies and the role of COVID-19

Shahzad, Syed Jawad Hussain; Bouri, Elie; Kang, Sang Hoon; … - In: Financial innovation : FIN 7 (2021), pp. 1-24

The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous...

Persistent link: https://www.econbiz.de/10012418495

Spillovers and portfolio optimization of precious metals and global/regional equity markets

Hernandez, Jose Arreola; Kang, Sang Hoon; Yoon, Seong-min - In: Applied economics 54 (2022) 20, pp. 2320-2342

Persistent link: https://www.econbiz.de/10012875943

Nonlinear spillover and portfolio allocation characteristics of energy equity sectors : evidence from the United States and Canada

Hernandez, Jose Arreola; Kang, Sang Hoon; Yoon, Seong-min - In: Review of international economics 30 (2022) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10012815802

Impact of food price volatility on the US restaurant sector

Uddin, Mohammed Gazi Salah; Hernandez, Jose Arreola; … - In: Applied economics 52 (2020) 39, pp. 4250-4262

Persistent link: https://www.econbiz.de/10012259027

Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs

Kang, Sang Hoon; Hernandez, Jose Arreola; Sadorsky, Perry A. - In: Energy economics 99 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012939407

Value-at-risk analysis for Asian emerging markets : asymmetry and fat tails in returns innovation

Kang, Sang Hoon; Yoon, Seong-min - In: The Korean economic review 50 (2009) 2, pp. 387-411

Persistent link: https://www.econbiz.de/10003926834

Sudden changes and persistence in volatility of Korean equity sector returns

Kang, Sang Hoon; Yoon, Seong-min - In: The Korean economic review 26 (2010) 2, pp. 431-451

Persistent link: https://www.econbiz.de/10009152033

Revisited return and volatility spillover effect in Korea

Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 14 (2013) 1, pp. 121-145

Persistent link: https://www.econbiz.de/10010227761

Index futures trading and asymmetric volatility : evidence from Asian stock markets

Kang, Sang Hoon; Yoon, Seong-min - In: The journal of the Korean economy 8 (2007) 2, pp. 273-293

Persistent link: https://www.econbiz.de/10009772044