Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Axel Hedström"'
Autor:
Axel Hedström
Publikováno v:
Linköping Studies in Arts and Sciences ISBN: 9789180750646
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6d6525dee5c393ff11cb4eb8dd6f7ecd
https://doi.org/10.3384/9789180750653
https://doi.org/10.3384/9789180750653
Publikováno v:
Computational Economics. 58:1289-1299
First published online: October 2020 This paper is the first tofullycharacterize the relationship among cross-market Bitcoin prices to provide a complete picture ofdirectional predictabilityof Bitcoin traded in various currencies across five develope
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a6a9aeeac96cd0c2f936ebff7040ccae
https://doi.org/10.1007/s10614-020-10058-6
https://doi.org/10.1007/s10614-020-10058-6
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c001fdbc3c80877027a25de3e75c8bd6
https://doi.org/10.2139/ssrn.4113778
https://doi.org/10.2139/ssrn.4113778
This paper examines the quantile dependence between energy commodities (oil, coal, and natural gas) and the real housing returns of the nine US census divisions for the period 1991-2019. In contrast to the literature on the association between oil an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::22b1e5dcd593c46ecbb81a3a9a7d7b99
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-183786
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-183786
Publikováno v:
Energy Economics. 80:743-759
We study the cross-quantile dependence of renewable energy (RE) stock returns on aggregate stock returns, changes in oil and gold prices, and exchange rates. Applying a recently developed cross-quantilogram approach, we provide two novel findings. Fi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ec40e68f78042622319cf097279945b7
https://doi.org/10.1016/j.eneco.2019.02.014
https://doi.org/10.1016/j.eneco.2019.02.014
Publikováno v:
Emerging Markets Finance and Trade. 56:1377-1401
We find that 10 emerging stock markets have high risk of contagion on the regional level but lower spillover with respect to the global markets, implying a potential for diversification benefits between emerging and global markets. Regional market in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d61ea97b8903d5895034d835489ff77f
https://doi.org/10.1080/1540496x.2018.1562895
https://doi.org/10.1080/1540496x.2018.1562895
In this study, we examine the quantile dependence between Islamic and non-Islamic equity returns using the cross-quantilogram approach. We find that Islamic and non-Islamic equity markets are predominantly independent of each other when both markets
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7089956d1a8053ebf275ba4cca43fc11
https://hdl.handle.net/11541.2/147709
https://hdl.handle.net/11541.2/147709
Publikováno v:
Resources Policy. 58:77-89
This paper examines the impact of oil shocks on precious metal returns using structural vector autoregression (SVAR) model proposed by Kilian and Park (2009). We capture variability in the effects through rolling window impulse response functions and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::441f2cc82ac407579d138b4146a70af8
https://doi.org/10.1016/j.resourpol.2018.03.014
https://doi.org/10.1016/j.resourpol.2018.03.014
Publikováno v:
International Review of Financial Analysis. 59:179-211
Available online: 09 August 2018 This paper examines the cross-quantile dependence between developed and emerging market stock returns and investigates its time-varying characteristics, using recursive sample estimations. The results based on cross-q
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3506d629dfc814fe98ce1d7050b26cb8
https://doi.org/10.1016/j.irfa.2018.08.005
https://doi.org/10.1016/j.irfa.2018.08.005
Publikováno v:
Energy Economics
Energy Economics, Elsevier, 2018, 71, pp.35-46. ⟨10.1016/j.eneco.2018.01.035⟩
Energy Economics, Elsevier, 2018, 71, pp.35-46. ⟨10.1016/j.eneco.2018.01.035⟩
International audience; In a first step, we model the multivariate tail dependence structure and spillover effects across energy commodities such as crude oil, natural gas, ethanol, heating oil, coal and gasoline using canonical vine (C-vine) copula
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f363a666880e079587f58bb03326a8f7
https://doi.org/10.1016/j.eneco.2018.01.035
https://doi.org/10.1016/j.eneco.2018.01.035