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The impact of economic policy uncertainties on the volatility of European carbon market

Dai, Peng-Fei; Xiong, Xiong; Toan Luu Duc Huynh; Wang, … - In: Journal of commodity markets 26 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013453831

How does climate policy uncertainty affect financial markets? : evidence from Europe

Tedeschi, Marco; Foglia, Matteo; Bouri, Elie; Dai, Peng-Fei - In: Economics letters 234 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015065789

A global economic policy uncertainty index from principal component analysis

Dai, Peng-Fei; Xiong, Xiong; Zhou, Wei-Xing - In: Finance research letters 40 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012819228

Cryptocurrencies and Financial Stability : Evidencing Crash Transmission to Equity Markets

Dai, Peng-Fei; Goodell, John W.; Huynh, Toan Luu Duc; … - 2022

Applying a GARCH-S analysis to a daily dataset of eight cryptocurrencies, along with seven equity market indices for advanced countries, and seven equity market indices for emerging economies, for June 2018–June 2021, we find that cryptocurrencies have higher probability of crash risk than...

Persistent link: https://www.econbiz.de/10013308809

The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots

Zhou, Wei-Xing; Dai, Yun-Shi; Duong, Kiet Tuan; Dai, … - In: Journal of economic behavior & organization 217 (2024), pp. 91-111

Persistent link: https://www.econbiz.de/10014552743

ESG rating disagreement and idiosyncratic return volatility : evidence from China

Liu, Xiangqiang; Yang, Qingqing; Wei, Kai; Dai, Peng-Fei - In: Research in international business and finance 70 (2024) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015055854

The tail risk safe haven property of China's energy futures against US market implied volatility

Dai, Xingyu; Dai, Peng-Fei; Wang, Qunwei; Ouyang, Zhi-Yi - In: Journal of management science and engineering 9 (2024) 2, pp. 271-291

This paper analyses the tail risk contagion of US market implied volatility (USIV) on China's energy futures (CEF) markets, exploring how to utilize operations in the CEF to achieve a safe haven. Leveraging CEF characteristics to simultaneously take both long-/short-positions and engage in...

Persistent link: https://www.econbiz.de/10014632205

Uncovering the Sino-US dynamic risk spillovers effects : evidence from agricultural futures markets

Zhu, Han-Yu; Dai, Peng-Fei; Zhou, Wei-Xing - In: The journal of futures markets 44 (2024) 12, pp. 1888-1910

Persistent link: https://www.econbiz.de/10015110748

Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets

Dai, Yun-Shi; Dai, Peng-Fei; Zhou, Wei-Xing - In: Journal of international financial markets, … 88 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014482970