Aineistot 31-40 / 49
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 ...
Assessing the risk of the European Union carbon allowance market : structural breaks and forecasting performance
Purpose - The purpose of this paper is to examine the impact of structural breaks on the conditional variance of carbon emission allowance prices. Design/methodology/approach - The authors employ the symmetric GARCH model, ...
Forecasting the volatility of biofuel feedstock prices : the US evidence
Given that, nowadays, 40% of the US corn crop is used for biofuel production, there is a growing concern that the rise in biofuel production might lead to an increase in food prices. However, it is also obvious that ...
Crude oil prices and clean energy stock indices : Lagged and asymmetric effects with quantile regression
(ElsevierWorld Renewable Energy Network (WREN), 2021-01-01)
Unlike previous studies examining the association between crude oil and renewable energy stock prices under average conditions, we employ a quantile-based regression approach offering a more comprehensive dependence structure ...
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 ...
Cointegration and nonlinear causality among ethanol-related prices : evidence from Brazil
The objective of this study was to investigate the causal relationships among crude oil, ethanol and sugar prices in the context of Brazil. In doing so, we consider the application of ARDL bound tests to examine whether ...
Oil and non-energy commodity markets : an empirical analysis of volatility spillovers and hedging effectiveness
(Cogent OA, an imprint of Taylor & Francis, 2017-05-05)
Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present ...
Crude oil volatility and the biodiesel feedstock market in Malaysia during the 2014 oil price decline and the COVID-19 outbreak
Although the global crude oil market plays a significant role in pricing edible oils, the association between energy price uncertainty and the Malaysian palm oil industry remains understudied. Given that palm oil is widely ...
Do uncertainties affect biofuel prices?
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 ...
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 ...