Crude oil and natural gas are crucial to the Russian economy. Therefore, this study examined the interconnections between crude oil price, natural gas price, and Russian economic policy uncertainty (EPU) over the period 1994–2019 using multivar...
In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typic...
In this paper, we propose a new entropy-optimized bivariate empirical mode decomposition (BEMD)-based model for estimating portfolio value at risk (PVaR). It reveals and analyzes different components of the price fluctuation. These components are dec...
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatilit...
We estimate the risk spillover among European banks from equity log-return data via Conditional Value at Risk (CoVaR). The joint dynamic of returns is modeled with a spatial DCC-GARCH which allows the conditional variance of log-returns of each bank...
The extent of correlation or co-movement among the returns of developed and emerging stock markets remains pivotal for efficiently diversifying global portfolios. This correlation is prone to variation over time as a consequence of escalating economi...
A decade after the global financial crisis, the developments in stock market integration have increased the stability and liquidity of markets, and decreased the diversification benefits for investors. International trade is an important determinant...
The modeling and forecasting of dynamically varying covariances has received a great deal of attention in the literature. The two most widely used conditional covariances and correlations models are BEKK and the DCC. In this paper, we advance a new m...
This paper analyzes the effectiveness of some defensive assets inside global stock portfolios by applying a standard VaR approach to daily data from 2021 to 2024. The 5Y US note is by far the best hedging instrument for single-hedged portfolios, whil...
This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized su...
In the event that the COVID-19 pandemic spreads across various stock markets, this study may be deemed as one of the primary studies to evaluate cross-market interactions. The study examines the spread of contagious effects originating from developed...
Biopharmaceutical companies are critical in developing vaccines, treatments, and diagnostics for COVID-19. Thus, understanding the contagion effects of their stock market can have important economic implications, especially in the context of global f...
Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is t...
This paper attempts to understand the dynamic interrelationships and financial asset capabilities of Bitcoin by analysing several aspects of its volatility vis-a-vis other asset classes. This study aims to analyse the volatility dynamics of the retur...
Volatility and investor sentiment have been factors for the slow adoption rate of Bitcoin (BTC) that was first recognized in 2008 as a potential store of value, investment vehicle and a hedge alternative to gold during a recession. The purpose of thi...
The paper aims to analyze the contagion effect coming from the developed stock markets of the US and Germany to the emerging CEE stock markets of Romania, Czech Republic, Hungary, and Poland using daily data for the period April 2005–April 2021. The...
This paper contributes to the literature on safe haven assets, analyzing gold and the Swiss Franc’s defensive properties inside various global stocks portfolios. The analysis relies on monthly data extending over the last two decades. Drawing o...
By introducing net entropy into a stock network, this paper focuses on investigating the impact of network entropy on market returns and trading in the Chinese Growth Enterprise Market (GEM). In this paper, indices of Wu structure entropy (WSE) and S...
Due to environmental concerns, electric vehicles (EVs) are gaining traction over fossil fuel-based vehicles. For electronic devices, including vehicles, copper is the key material used for building. This situation draws attention to the impact of cop...
Infrastructure investment is essential for economic development for both developed and developing economies. We analyze the short-term return behavior and portfolio characteristics of the global, regional, and selected Asian countries’ infrastr...
The primary objective of this study is to examine the extent of financial integration between Latin American and US financial markets, particularly in light of recent efforts to foster integration through trade agreements. Spanning from 1 January 199...
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility exponential...
This study examined how the relationships among the fossil fuel, clean energy stock, gold, and Bitcoin markets have changed since the COVID-19 pandemic took place for hedging the price change risks in the fossil fuel markets. We applied the Bayesian...
This paper evaluates the influence of foreign or domestic stock market return and return of volatility shocks on dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The correlations be...