Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Jose Areola Hernandez"'
In this paper, we investigate the nonlinear dependence dynamics among eight cryptocurrencies (Monero, Bitcoin, Dash, Litecoin, Stellar, XRP, Ethereum, and Nem) by applying time-varying copulas. We also examine the upside and downside spillovers betwe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cb44b3d3936e9604cf2b4b24ce0d0db4
https://hdl.handle.net/10400.1/18961
https://hdl.handle.net/10400.1/18961
Publikováno v:
The Quarterly Review of Economics and Finance. 80:195-209
We examine the nonlinear dependence dynamics and downside and upside risk spillovers between oil prices and world food prices captured by a world food price index and its subcategories of dairy, cereals, vegetable oil, and sugar. We draw our empirica
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::759b41eb0b19ef30658a8240bd188e56
https://doi.org/10.1016/j.qref.2021.01.019
https://doi.org/10.1016/j.qref.2021.01.019
Publikováno v:
The Quarterly Review of Economics and Finance. 80:577-589
This study examines the Granger causal flow from implied oil volatility to US high-yield and investment-grade corporate bonds. The results show that the Granger causality differs over investment time horizons, with evidence of a more lasting effect f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e08edbc6322e87656a8985804886f96b
https://doi.org/10.1016/j.qref.2021.04.012
https://doi.org/10.1016/j.qref.2021.04.012
Publikováno v:
Physica A: Statistical Mechanics and its Applications
Physica A: Statistical Mechanics and its Applications, Elsevier, 2020, 551, pp.124094. ⟨10.1016/j.physa.2019.124094⟩
Physica A: Statistical Mechanics and its Applications, Elsevier, 2020, 551, pp.124094. ⟨10.1016/j.physa.2019.124094⟩
International audience; This study investigates whether the US and Brazilian ethanol markets are globalized or regionalized (i.e., whether they are interdependent or independent) using weekly frequency data from July 2006 to December 2017. The empiri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::85fcf20b6ba1dd2f8f6bde21847b510b
https://hal-rennes-sb.archives-ouvertes.fr/hal-02898233
https://hal-rennes-sb.archives-ouvertes.fr/hal-02898233
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
Publikováno v:
International Review of Financial Analysis. 56:167-180
This study investigates the efficiency of conventional and Islamic stock markets and their diversification potential by using multifractal de-trended fluctuation analysis (MF-DFA), wavelet squared coherence (WTC) and wavelet Value-at-Risk (VaR). Evid
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4d0c346ba1acb0a4855c639dea2c54fe
https://doi.org/10.1016/j.irfa.2018.01.008
https://doi.org/10.1016/j.irfa.2018.01.008
Autor:
Jose Areola Hernandez, Muhammad Zakaria, Khamis Hamed Al-Yahyaee, Mobeen Ur Rehman, Syed Jawad Hussain Shahzad
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 492:2136-2153
This paper applies a bivariate cross-quantilogram approach to examine the spillover network structure in the stock markets of 58 countries according to bearish, normal and bullish market scenarios. Our aim is to identify the strongest interdependenci
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5692a1f1dde0801d9ebc472f6eaf75a9
https://doi.org/10.1016/j.physa.2017.11.132
https://doi.org/10.1016/j.physa.2017.11.132
Publikováno v:
Biomass and Bioenergy. 148:106006
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 quantile causality methods an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::377d7a6122a6014c00e7141440cb2119
https://doi.org/10.1016/j.biombioe.2021.106006
https://doi.org/10.1016/j.biombioe.2021.106006
Publikováno v:
Physica A: Statistical Mechanics and its Applications
Physica A: Statistical Mechanics and its Applications, Elsevier, 2018, 506, pp.433-450. 〈10.1016/j.physa.2018.04.016〉
Physica A: Statistical Mechanics and its Applications, Elsevier, 2018, 506, pp.433-450. 〈10.1016/j.physa.2018.04.016〉
We investigate the dynamics of efficiency and long memory, and the impact of trading volume on the efficiency of returns and volatilities of four major traded currencies, namely, the EUR, GBP, CHF and JPY. We do so by implementing full sample and rol
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::203d0550beb97867b12d3e15495088f3
https://hal-esc-rennes.archives-ouvertes.fr/hal-01813245
https://hal-esc-rennes.archives-ouvertes.fr/hal-01813245
Autor:
Gazi Salah Uddin, Gideon Boako, Jose Areola Hernandez, Syed Jawad Hussain Shahzad, Brian M. Lucey
Publikováno v:
Resources Policy. 64:101509
We examine the spillover characteristics of returns and volatilities of precious metals: gold, silver, platinum and palladium. We find evidence of homogenous and time varying asymmetric spillovers between the returns and volatilities of the precious
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7f9d50eb0806de1465dc0d9bb757edc6
https://doi.org/10.1016/j.resourpol.2019.101509
https://doi.org/10.1016/j.resourpol.2019.101509