A critique of the inappropriate interpretation of the quantile connectedness approach by

Energy Economics, Journal Year: 2025, Volume and Issue: unknown, P. 108291 - 108291

Published: Feb. 1, 2025

Language: Английский

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Spillovers across the crude oil and major currencies exchange rates using dynamic-quantile-frequency analysis

International Review of Economics & Finance, Journal Year: 2025, Volume and Issue: unknown, P. 104065 - 104065

Published: March 1, 2025

Language: Английский

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Higher-order moments spillovers among energy, carbon and tourism markets: Time- and frequency-domain evidence

PLoS ONE, Journal Year: 2024, Volume and Issue: 19(11), P. e0313002 - e0313002

Published: Nov. 14, 2024

This paper uses the GJRSK model to estimate high-order moments of energy (oil, natural gas, and coal), carbon market, tourism stocks. Then, it utilizes a novel TVP-VAR time-frequency connectedness approach examine higher-order spillovers among them. The results show strong three markets. market is emitter volatility, skewness kurtosis spillovers; stock receiver; transmitter. From time-domain perspective, markets are time-varying, especially during extreme periods, where market’s spillover effects on stocks significantly enhanced, indicating that bear greater risk at leptokurtosis fat-tail moment. frequency-domain long-term asymmetric oil, more pronounced than short-term. Moreover, COVID-19 pandemic exacerbated higher-moment market. Meanwhile, Russia-Ukraine conflict led transmission within These findings have significant implications for cross-industry investors green finance management.

Language: Английский

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Multi-scale Dynamic Correlation Between Climate Shock and China's Stock Market: Evidence Based on High Frequency Data

Computational Economics, Journal Year: 2024, Volume and Issue: unknown

Published: Nov. 21, 2024

Language: Английский

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