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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 dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices

Hanif, Waqas; Hernandez, Jose Arreola; Mensi, Walid; … - In: Energy economics 101 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013161674

Who leads the inflation cycle in Europe? : inflation cycle and spillover influence among Eurozone and non-Eurozone economies

Kang, Sang Hoon; Hernandez, Jose Arreola; Yoon, Seong-min - In: International economics : a journal published by CEPII … 160 (2019), pp. 56-71

Persistent link: https://www.econbiz.de/10012318865

Interdependence and portfolio optimisation of bank equity returns from developed and emerging Europe

Hernandez, Jose Arreola; Kang, Sang Hoon; Yoon, Seong-min - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 678-696

Persistent link: https://www.econbiz.de/10012814855

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

Interdependence and spillovers between big oil companies and regional and global energy equity markets

Hanif, Waqas; Hernandez, Jose Arreola; Kang, Sang Hoon; … - In: International review of economics & finance : IREF 92 (2024), pp. 451-469

Persistent link: https://www.econbiz.de/10014534922

Network interdependence and optimization of bank portfolios from developed and emerging Asia Pacific countries

Hernandez, Jose Arreola; Kang, Sang Hoon; McIver, Ron; … - In: Asia Pacific financial markets 28 (2021) 4, pp. 613-647

Persistent link: https://www.econbiz.de/10012697534