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Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes
(Elsevier, 2020-07-01)
- article
This paper analyzes the cross-quantile dependence and causality between non-ferrous metals and clean energy indices by employing data from November 2003 to May 2019. Specifically, we utilize the time-varying copulas to ...
Does Corn Market Uncertainty Impact the US Ethanol Prices?
(Wiley Open Access, 2018-05-23)
- article
The growing interest in biofuel as a green energy source has intensified the linkages between corn and ethanol markets, especially in the United States that represents the largest producing and exporting country for ethanol ...
Brexit uncertainty and volatility persistence in tourism demand
(RoutledgeTaylor & Francis, 2020-09-24)
- article
Tourism has emerged as one of the leading components of aggregate economic growth in most developed economies, especially in the UK, where it is predicted to grow at an annual rate of 3.8% through 2025. Because tourism ...
On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?
(Elsevier, 2020-09-01)
- article
The main aim of this paper is to investigate the volatility determinants of crude oil and foreign exchange markets and jump spillover between them. We consider currencies of two major oil-importing countries (India and ...
Dependence structure between the international crude oil market and the European markets of biodiesel and rapeseed oil
(Elsevier, 2022-08-10)
- article
Being an environmentally friendly fuel obtained from rapeseed oil, biodiesel is used extensively in Europe. However, the dependence structure between global crude oil prices and the European prices of biodiesel and rapeseed ...
Can clean energy stock price rule oil price? New evidences from a regime-switching model at first and second moments
(Elsevier, 2021-01-15)
- article
The study evaluates nonlinear price transmission mechanisms between clean energy stock and crude oil price in levels, mean, and error variances. We propose a novel way of combining a two-regime threshold vector error ...
Comparing the Risk Spillover from Oil and Gas to Investment Grade and High-yield Bonds through Optimal Copulas
(International Association for Energy Economics, 2022-02-01)
- article
This paper compares the tail dependence and risk spillovers from the oil and gas to high-yield (HY) and investment grade (IG) bond markets. We use time-varying optimal copula framework to examine the dependence and further ...
Do uncertainties affect biofuel prices?
(Elsevier, 2021-05-01)
- article
We investigate the impact of geopolitical risk, U.S. economic policy uncertainty, financial stress, and market volatility on prices of U.S. and Brazilian ethanol and Malaysian palm oil. We use quantile autoregressive and ...
Impact of crude oil volatility jumps on sustainable investments : Evidence from India
(John Wiley & Sons, 2023-06-22)
- article
This study examines the impact of crude oil volatility jumps on the realized volatility (RV) of green and dirty stocks in India. In doing so, we first estimate the time-varying jumps in oil market implied volatility index ...
Climate risk and sustainable investing : New evidence from Chinese renewable energy firms
(Routledge, 2023-12-26)
- bookPart
While numerous empirical papers have investigated the volatility dynamics of Chinese clean energy equity markets, this is among the first studies to assess the impact of climate uncertainty on the risk levels of such assets. ...