Dynamic tail risk connectedness among green REITs, sustainability products, and fossil energy assets under external shocks
Finance research letters,
Journal Year:
2025,
Volume and Issue:
unknown, P. 106864 - 106864
Published: Jan. 1, 2025
Language: Английский
Greening the energy industry: An efficiency analysis of China's listed new energy companies and its market spillovers
Energy Economics,
Journal Year:
2025,
Volume and Issue:
unknown, P. 108414 - 108414
Published: March 1, 2025
Language: Английский
Green Bond Market Stability and Russia Ukraine Conflict: The Role of Green Inclusive Finance
Research in International Business and Finance,
Journal Year:
2024,
Volume and Issue:
unknown, P. 102734 - 102734
Published: Dec. 1, 2024
Language: Английский
Effects of Sanction Announcements on the Prices of Various Crude Oils in the Shadow of Russia-Ukraine Conflict
László Kökény,
No information about this author
Hunor Kelemen,
No information about this author
Olivér Hortay
No information about this author
et al.
Published: Jan. 1, 2025
Language: Английский
Exploring currency interdependence in West Africa: a time-varying parameter vector autoregression analysis
The Journal of Risk Finance,
Journal Year:
2025,
Volume and Issue:
unknown
Published: Jan. 29, 2025
Purpose
Considering
the
impact
of
significant
economic
and
political
events,
this
study
investigates
return
spillovers
connectedness
among
eight
West
African
currencies
from
March
31,
2010,
to
28,
2024.
It
aims
enhance
understanding
interdependencies
within
foreign
exchange
market,
providing
insights
into
region’s
risk
management
diversification
opportunities.
Design/methodology/approach
Using
time-varying
parameter
vector
autoregression
(TVP-VAR)
method,
analyzes
daily
rate
returns
capture
dynamic
spillover
effects
selected
currencies.
This
approach
identifies
key
transmitters
receivers
shocks,
reflecting
evolving
interactions
over
time.
Findings
The
results
show
that
Sierra
Leonean
Leone,
Cape
Verdean
Escudo,
CFA
Franc
are
net
shocks.
At
same
time,
Ghana
Cedi,
Nigerian
Naira,
Gambian
Dalasi,
Guinean
Franc,
Liberian
Dollar
receivers,
with
Dalasi
being
most
affected.
These
findings
suggest
relatively
low
regional
connectedness,
offering
favorable
Originality/value
provides
a
comprehensive
analysis
interconnectedness
currencies,
contributing
limited
literature
on
region.
have
practical
implications
for
investors
policymakers
in
managing
risks
designing
interventions
stabilize
market.
Language: Английский
Analysis of Self-Similarity in Short and Long Movements of Crude Oil Prices by Combination of Stationary Wavelet Transform and Range-Scale Analysis: Effects of the COVID-19 Pandemic and Russia-Ukraine War
Fractal and Fractional,
Journal Year:
2025,
Volume and Issue:
9(3), P. 176 - 176
Published: March 14, 2025
This
paper
examines
the
self-similarity
(long
memory)
in
prices
of
crude
oil
markets,
namely
Brent
and
West
Texas
Instruments
(WTI),
by
means
fractals.
Specifically,
price
series
are
decomposed
stationary
wavelet
transform
(SWT)
to
obtain
their
short
long
oscillations.
Then,
Hurst
exponent
is
estimated
from
each
resulting
oscillation
rescaled
analysis
(R/S)
represent
hidden
fractals
original
series.
The
performed
during
three
periods:
calm
period
(before
COVID-19
pandemic),
pandemic,
Russia-Ukraine
war.
In
summary,
WTI
exhibited
significant
increases
persistence
movements
pandemic
addition,
they
showed
a
increase
anti-persistence
decrease
It
concluded
that
both
war
significantly
affected
memory
prices.
Language: Английский
Wavelet Entropy for Efficiency Assessment of Price, Return, and Volatility of Brent and WTI During Extreme Events
Commodities,
Journal Year:
2025,
Volume and Issue:
4(2), P. 4 - 4
Published: March 21, 2025
This
study
analyzes
the
market
efficiency
of
crude
oil
markets,
namely
Brent
and
West
Texas
Intermediate
(WTI),
during
three
different
periods:
pre-COVID-19,
COVID-19
pandemic,
ongoing
Russia–Ukraine
military
conflict.
To
evaluate
wavelet
entropy
is
computed
from
price,
return,
volatility
series.
Our
empirical
results
show
that
WTI
prices
are
predictable
conflict,
but
difficult
to
predict
same
period.
The
were
pandemic.
Returns
in
more
conflict
than
they
Finally,
carried
information
pandemic
compared
Also,
series
for
These
findings
offer
insightful
investors,
traders,
policy
makers
relation
energy
under
various
extreme
conditions.
Language: Английский
Connectedness for natural gas and Asian stock markets: time-frequency and cross-quantile approaches
Luxi Sun,
No information about this author
Chenlu L Wu,
No information about this author
Xin Cui
No information about this author
et al.
Applied Economics,
Journal Year:
2024,
Volume and Issue:
unknown, P. 1 - 19
Published: Nov. 14, 2024
This
study
examines
the
interrelationship
between
12
major
Asian
stock
markets
and
natural
gas
market
using
data
from
4
January
2010,
to
31
December
2023.
We
employ
three
primary
methodologies:
Maximal
Overlap
Discrete
Wavelet
Transform
(MODWT),
Cross-Quantilogram
(CQ),
TVP-VAR
model
investigate
connectedness
spillover
effects
these
markets.
Our
findings
indicate
that
volatility
of
imparts
positive
predictability
markets,
though
specific
extent
impact
varies
across
time
scales
quantile
levels.
Furthermore,
results
analysis
reveal
significant
spillovers
within
network
in
short
term,
with
acting
as
a
risk
receiver.
Specifically,
occur
Hong
Kong
Stock
Exchange,
Taiwan
South
Korea
Shanghai
Singapore
while
other
remain
net
receivers.
Language: Английский