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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)
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 ...
Risk spillover between Islamic and conventional banking sectors
To the best of our knowledge, this is the first study to examine the risk spillover between Islamic and conventional banks in Malaysia. Given that Malaysia is one of the most influential countries for Islamic finance, it ...
News-based Equity Market Uncertainty and Crude Oil Volatility
Previous studies indicate that the US equity market implied volatility index (VIX) impacts the crude oil market volatility. However, the VIX typically reflects macroeconomic fluctuations, little affected by social media ...
Commodity market risks and green investments : Evidence from India
Green investing has recently received considerable attention in India in light of the local government plans to significantly reduce the level of CO2 emissions through conducting and funding various types of eco-friendly ...