We examine the daily dependence and directional predictability between the returns of crude oil and the Crude Oil Volatility Index (OVX). Unlike previous studies, we apply a battery of quantile-based techniques, namely the quantile unit root test, th...
This paper investigates the heterogeneous dependence between global crude oil futures and China’s biofuel feedstock commodities under different market conditions. Quantile-on-quantile regression and the causality-in-quantiles test are employed...
In the context of the frequent occurrence of extreme events, measuring the tail dependence of financial time series is essential for maintaining the sustainable development of financial markets. In this paper, a multiscale quantile correlation coeffi...
In this study, the dependence between Bitcoin (BTC) and economic policy uncertainty (EPU) of USA and China is estimated by applying the latest methodology of quantile cross-spectral dependence. Daily data comprising a total of 1947 observations and c...
We propose a simple three-factor pricing model, consisting of a local stock market index, a global REIT market index, and a global stock market index, to examine the dependence structure of conditional volatilities in the real estate investment trust...
This paper discusses the estimation of parameters in the quantile regression model for dependent truncated data. To account for the dependence between the survival time and the truncated time, the Archimedean copula model is used to construct the ass...
Time-dependent reliability analysis (TRA) is essential for the life-cycle risk assessment of engineering systems. However, existing TRA methods often require extensive statistical data or computationally expensive surrogate models, which limit their...
Active fire observations with satellite instruments exhibit a well-documented increase of the detection threshold with increasing pixel footprint size, i.e., distance from the sub-satellite point. This results in a viewing angle-dependent, negative b...
This study examines how energy-security shocks shape macroeconomic resilience in import-dependent economies and which energy-management strategies remain robust under alternative shock conditions. Using a balanced panel of 18 mainly European energy-i...
Travel and tourism is an important economic activity in most countries around the world. In 2018, international tourist arrivals grew 5% to reach the 1.4 billion mark and at the same time export earnings generated by tourism have grown to USD 1.7 tri...
Unlike most previous studies examining the causal relationship and dependence between exchange rates and real estate prices, this study aims to investigate the causal relationship and dependence between these two variables in a boom-and-bust market s...
Supply chain disruptions have become a major source of macro-financial stress, yet their implications for green finance remain underexplored. This paper investigates the state-dependent connectedness between supply-side bottlenecks and the green fina...
This paper examines directional quantile dependence from green bonds, clean energy markets, and carbon markets to the return states of five literature-classified green cryptocurrencies. Using daily returns from 25 September 2019 to 23 May 2025, we es...
In this paper, we obtain the convergence rate for the high-dimensional sample quantiles with the
Real estate investment trusts (REITs) provide portfolio diversification and tax benefits, a stable stream of income, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence structures of RE...
We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and diversified shipping sector...
In this study, a C-vine copula-based quantile regression (CVQR) model is proposed for forecasting monthly streamflow. The CVQR model integrates techniques for vine copulas and quantile regression into a framework that can effectively establish relati...
Most previous articles estimate the effects of information communication technologies (ICTs) on economic growth average using national data without consideration of heterogeneity of ICT effects on cities across multiple economic development. The hete...
This paper investigates the relationship between renewable energy consumption, financial development and economic growth for 45 developing and developed countries between 1995 and 2023, focusing on the heterogeneous nature of this relationship. A uni...
Replacing fossil-fuel combustion with renewable electricity is widely expected to lengthen lives, yet the evidence comes mainly from countries early in the energy transition. This study asks whether renewable penetration remains associated with longe...
In high-inflation economies, stablecoins are increasingly becoming infrastructural channels through which households and firms access U.S.-dollar value outside traditional financial arrangements. We study Argentina as a fragmented USD access system c...
Environmental, social, and governance (ESG) factors are increasingly analysed to identify the risks and opportunities in contemporary economies. The banking sector influences the whole economy through the credit channel and balances its stability. Th...
Almost every year, a single global climate policy shock reaches every market, yet its financial footprint is uneven. The present paper examines whether a country’s own climate vulnerability intensifies the way climate policy uncertainty is tran...
Heightened geopolitical tensions, policy shocks, and energy-market turbulence have renewed concerns about price stability in advanced economies. This paper examines whether geopolitical risk (GPR), economic policy uncertainty (EPU), and energy-relate...
The opportunities in green investment have propelled the green bond market at a time when climate change has emerged as a critical issue. As more investors express a preference for environmentally responsible investments, the popularity of green bond...
Rising concerns over climate change have increased investors’ and policymakers’ interests in environmentally friendly investments, which have led to the rapid expansion of the green equity market recently. Previous studies have focused on...
Modeling the hydrologic responses to future changes of climate is important for improving adaptive water management. In the present application to the Zarrine River Basin (ZRB), with the major reach being the main inflow source of Lake Urmia (LU), fi...
Accurate forecasting of systemic risk is crucial for financial stability and regulatory oversight. Traditional parametric models often fail to capture the complex, nonlinear dependence structures in financial markets, particularly during periods of d...
Standard flood-frequency analysis methods rely on an assumption of stationarity, but because of growing understanding of climatic persistence and concern regarding the effects of climate change, the need for methods to detect and model nonstationary...
Used in many industrial applications, centrifugal pumps have optimal operating criteria specified at design. These criteria may not be precisely adhered to during operation which will ultimately reduce the life of the asset. Operators would therefore...
This paper examines how climate risk shapes the connectedness between fossil and clean energy markets. To do so, we use the quantile-on-quantile connectedness framework and extend it to the frequency domain to capture return and volatility spillovers...
This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to daily...
In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data o...
As countries accelerate their transition toward low-carbon economies, understanding the drivers of green finance is essential for shaping effective sustainability policies. This study investigates how FinTech development, digitalization, financial ac...
This study examines how climate policy uncertainty, financial development, and oil prices shape the United States energy transition, using monthly data from 2005 to 2026. Energy transition is measured by renewable energy consumption, while inflation...
Different from classical Bühlmann and Bühlmann Straub credibility models in which independence between different risks are assumed, this paper takes dependence between risks into consideration and extends the classical Bühlmann model b...
This study examines the role of investor sentiment in asset pricing within a frontier market, focusing on Vietnam. Using a comprehensive dataset covering the period 2015–2025 with 4018 observations, sentiment indices are constructed from both m...
From a novel quantile perspective, this paper employs nonparametric quantile causality and quantile connectedness to investigate distributional predictability and spillover effects among new energy, steam coal, and high-tech under normal and tail con...
This study examined how ESG has influenced credit growth across MENA countries/regions and investigated the extent to which bank size and Islamic banking influence this relationship. Using panel data from 42 listed banks across 10 MENA countries (367...
The BRICS economies have expanded rapidly while remaining large contributors to global carbon dioxide emissions, which motivates a closer look at the structural covariates of their carbon trajectories. The growth–emissions nexus is well documen...
This paper examines whether Bitcoin–Ethereum return divergence is associated with changes in cryptocurrency market connectedness across distributional states. Daily returns for twelve cryptocurrencies (2018–2026) are analyzed using TVP-VA...
In this paper, extreme precipitation spatial analog is examined as an alternative method to adapt extreme precipitation projections for use in urban hydrological studies. The idea for this method is that real climate records from some cities can serv...
Dependent Tail Value-at-Risk, abbreviated as DTVaR, is a copula-based extension of Tail Value-at-Risk (TVaR). This risk measure is an expectation of a target loss once the loss and its associated loss are above their respective quantiles but bounded...
The identification and estimation of trends in hydroclimatic time series remains an important task in applied climate research. The statistical challenge arises from the inherent nonlinearity, complex dependence structure, heterogeneity and resulting...
This article examines the environmental Kuznets curve for the member countries of the United States–Mexico–Canada Agreement (USMCA), using the ecological footprint as a measure of environmental degradation during 1980–2016. Panel da...
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Cardiovascular morbidity and mortality are influenced by meteorological conditions, such as temperature or snowfall. Relationships between cardiovascular health and meteorological conditions are usually studied based on specific meteorological events...
Quantile regression (QR) provides a flexible framework for characterizing conditional distributions and can offer useful insights for quantile estimation. In this paper, we provide intuition for the interpretation of QR by highlighting the approach t...
This study investigates how economic growth, financial integration, social integration, and knowledge management shape CO2 emissions in Saudi Arabia using quarterly data from 1995Q1 to 2024Q4. It applies kernel-regularized quantile regression to capt...
Wind power interval forecasting remains challenging due to the uncertainty and strong variability of wind generation. To capture temporal dependency and predictive uncertainty, this paper proposes a hybrid interval forecasting framework that integrat...
This study investigates the time-varying connectedness between economic freedom and key real-financial aggregates in Tunisia, including GDP, money supply, interest rate, exchange rate, inflation, labor force, and the stock market index, using a quant...
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