Results 51 to 60 of about 6,666 (205)
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
, 2012 In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the application of wavelet tools to commodity market data.
Barunik, Jozef, Vacha, Lukas
core +1 more source
Agricultural Economics, Volume 57, Issue 1, January 2026.ABSTRACT Recent global shocks have triggered sharp spikes in international food and fertilizer prices, raising concerns about their domestic impacts. This study examines the extent to which international price levels and volatility are transmitted to domestic food and fertilizer markets in seven Central American countries.
Manuel A. Hernandez +5 more
wiley +1 more source
Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH [PDF]
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal ...
Chang, C-L. +2 more
core +4 more sources
MEASURING SYSTEMIC RISK OF CHINA'S LISTED BANKS [PDF]
Financial Studies, 2021 After the financial crisis in 2008, the world became more aware of the importance of the systemic risk. Within China’s financial system, commercial banks have a dominant position.
Ping ZHANG +3 more
doaj
Financial technology and ESG market: A wavelet-DCC GARCH approach
Research in International Business and Financeتبحث هذه الورقة في الحركة المشتركة بين أسواق التكنولوجيا المالية والحوكمة البيئية والاجتماعية والحوكمة من منظور مجال التكرار الزمني. نحن نستخدم نهجًا اقترحه فاشا وبارونيك (2012) ونشمل تحليل تماسك الموجات الصغيرة والارتباط الشرطي الديناميكي من نموذج GARCH متعدد المتغيرات (DCC GARCH). نجد علاقة إيجابية كبيرة ثنائية الاتجاه بين مؤشرات FinTech و ESG.
Babak Naysary, Keshab Shrestha
openaire +2 more sources
Bilevel Network Modeling and Risk Transmission in Heterogeneous Financial Data
Complexity, Volume 2026, Issue 1, 2026.This study constructs a bilevel network model based on heterogeneous financial data to explore the complex network characteristics and risk transmission mechanisms in the stock market. Using the trading data and textual sentiment data of Shanghai Stock Exchange (SSE) 50 constituent stocks over the past 5 years, a daily return network model and a ...
Suhang Wang +3 more
wiley +1 more source
"Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies" [PDF]
This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system.
Mark A. Thompson +3 more
core +6 more sources
Model Averaging in Risk Management with an Application to Futures Markets [PDF]
, 2008 This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management ...
Pesaran, M. Hashem +2 more
core +4 more sources
International Studies of Economics, Volume 20, Issue 4, Page 390-409, December 2025.ABSTRACT This study examines the impact of climate policy uncertainty (CPU) on world energy stock returns. Evidence shows that a rise in CPU causes stocks to plummet in individual countries, regions, and the world energy stock markets. The negative effects are also exhibited in climate induced risks, the covariance between a change in CPU and equity ...
Thomas C. Chiang
wiley +1 more source