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Conditional Threshold Effects of Stock Market Volatility on Crude Oil Market Volatility

Motegi, Kaiji; Hamori, Shigeyuki - 2023

This paper analyzes conditional threshold effects of stock market volatility on crude oil market volatility. We use the conditional threshold autoregressive (CoTAR) model, a novel extension of TAR from a constant to time-varying threshold. The conditional threshold is specified as an empirical...

Persistent link: https://www.econbiz.de/10014353102

Risk spillover from international financial markets and China's macro-economy : a MIDAS-CoVaR-QR model

Yang, Lu; Cui, Xue; Yang, Lei; Hamori, Shigeyuki; Cai, … - In: International review of economics & finance : IREF 84 (2023), pp. 55-69

Persistent link: https://www.econbiz.de/10014342993

The response of oil-importing and oil-exporting countries' macroeconomic aggregates to crude oil price shocks : some international evidence

Shang, Jin; Hamori, Shigeyuki - In: Eurasian economic review : a journal in applied … 14 (2024) 4, pp. 933-980

Persistent link: https://www.econbiz.de/10015177239

Financial permeation as a role of microfinance : has microfinance actually been helpful to the poor?

Inoue, Takeshi; Hamori, Shigeyuki - 2011

Persistent link: https://www.econbiz.de/10009236848

An empirical analysis of real exchange rate movements in the euro

Hamori, Shigeyuki; Hamori, Naoko - In: Applied economics 43 (2011) 10/12, pp. 1187-1191

Persistent link: https://www.econbiz.de/10009239436

Financial permeation as a role of microfinance : has microfinance actually been a viable financial intermediary for helping the poor?

Inoue, Takeshi; Hamori, Shigeyuki - In: Applied financial economics 23 (2013) 19/21, pp. 1567-1578

Persistent link: https://www.econbiz.de/10010259351

EU accession, financial integration, and contagion effects : dynamic correlation analysis of CEEC-3 bond markets

Yang, Lu; Hamori, Shigeyuki - In: Transition studies review 20 (2013) 2, pp. 179-189

Persistent link: https://www.econbiz.de/10010192956

On the influence of oil price shocks on economic activity, inflation, and exchange rates

Yoshizaki, Yasunori; Hamori, Shigeyuki - In: International journal of financial research 4 (2013) 2, pp. 33-41

Persistent link: https://www.econbiz.de/10010205120

Causality-in-mean and causality-in-variance among electricity prices, crude oil prices, and yen-US dollar exchange rates in Japan

Nakajima, Tadahiro; Hamori, Shigeyuki - In: Research in international business and finance 26 (2012) 3, pp. 371-386

Persistent link: https://www.econbiz.de/10009615925

Dynamic linkages among cross-currency swap markets under stress

Tamakoshi, G.; Hamori, Shigeyuki - In: Applied economics letters 20 (2013) 4/6, pp. 404-409

Persistent link: https://www.econbiz.de/10009708692