Shockwaves across borders: Did the 2023 banking crisis reshape global banking sector linkages?

Finance research letters, Год журнала: 2025, Номер unknown, С. 107571 - 107571

Опубликована: Май 1, 2025

Язык: Английский

---

Geopolitical risks and oil market fear: Country-specific spillover effects

Research in International Business and Finance, Год журнала: 2025, Номер unknown, С. 102985 - 102985

Опубликована: Май 1, 2025

Язык: Английский

---

Navigating Median and Extreme Volatility in Stock Markets: Implications for Portfolio Strategies

International Review of Economics & Finance, Год журнала: 2024, Номер 95, С. 103507 - 103507

Опубликована: Авг. 16, 2024

This study explores the interdependencies among developed stock markets using LASSO technique with quantile regression within a network analysis framework. Traditional forecasting methods often fail during volatile market conditions, necessitating innovative approaches that blend interconnectedness and factor modeling. By employing regression, which examines financial assets across various distribution quantiles, this addresses tail risk, critical aspect of behavior crises. The framework provides insights into relationships between markets, highlighting how variables interact complex system. assesses behaviors at different levels, considering clustering coefficients to analyze cycles, middlemen, ins, outs. Additionally, it impact several factors on interconnectedness, offering interplay individual stocks broader conditions. Key findings demonstrate incorporating models enhances accuracy informs better decision-making, leading portfolios can withstand extreme conditions provide superior risk-adjusted returns.

Язык: Английский

---

Introducing a novel fragility index for assessing financial stability amid asset bubble episodes

The North American Journal of Economics and Finance, Год журнала: 2024, Номер unknown, С. 102291 - 102291

Опубликована: Сен. 1, 2024

Язык: Английский

---

From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?

Опубликована: Янв. 1, 2024

Язык: Английский

---

Impact of carbon market prices on oil market fear across quantiles

Applied Economics Letters, Год журнала: 2024, Номер unknown, С. 1 - 7

Опубликована: Июль 30, 2024

This paper uses quantile regression to investigate how carbon market prices affect oil fear. Our results show a significant and strong negative effect of changes in on fear at high quantiles. Notably, this is driven by the decrease rather than increase prices. We also observe that COVID-19 pandemic enhances impact decreased

Язык: Английский

---