Applied Economics,
Год журнала:
2024,
Номер
unknown, С. 1 - 14
Опубликована: Июнь 18, 2024
This
study
identifies
the
regime
changes
and
investigates
extreme
risk
spillovers
of
China's
first
international
crude
oil
futures
(INECOFs).
The
novelty
this
is
that
a
non-linear
process
incorporated
to
examine
structural
breaks
INECOFs
capture
movements
risk.
To
facilitate
traders
global
financial
investors
hedge
against
risk,
between
market
are
investigated.
We
find
that:
(1)
two-regime
GJRGARCH-SGED
model
can
identify
generate
more
accurate
measures;
(2)
probability
in
tranquil
86.01%
agitated
13.99%;
(3)
plays
modest
role
spillover
network,
while
benchmark
an
important
role;
(4)
upside
receiver
downside
transmitter.
make
attempt
volatility
spillovers.
Energy RESEARCH LETTERS,
Год журнала:
2024,
Номер
5(Early View)
Опубликована: Янв. 13, 2024
We
pursue
two
noteworthy
effects
of
the
Russia-Ukraine
war
on
commodity
market
volatility.
First,
we
construct
a
index
while
modelling
Second,
explore
relationship
between
and
volatility
using
various
estimators.
find
consistent
patterns
in
models
selected
Our
results
show
that
triggered
Fluctuation and Noise Letters,
Год журнала:
2024,
Номер
23(03)
Опубликована: Март 20, 2024
The
interaction
between
new
energy
vehicle
(NEV)
stock
prices
and
the
crude
oil
market
is
crucial
for
resource
allocation
risk
management.
This
study
employs
Multifractal
detrended
cross-correlation
analysis
(MF-DCCA)
to
investigate
multifractal
characteristics
of
Tesla
price
(TSLA)
(Brent),
as
well
TSLA
other
NEV
stocks
(excluding
TSLA).
experimental
results
reveal
long-term
persistence
multiple
fractal
in
cross-correlations.
Additionally,
asymmetric
(MF-ADCCA)
demonstrates
asymmetry
during
upward
or
downward
trends
Brent,
Furthermore,
utilizing
transfer
entropy
(TE)
method,
we
assess
strength
direction
information
flows
Interestingly,
observe
bidirectional
transmission
stocks,
while
only
unidirectional
from
NIO
evident.
These
findings
provide
valuable
insights
allocation,
supply
chain
management
sustainable
development
strategies
decision-makers
market.
Applied Economics,
Год журнала:
2024,
Номер
unknown, С. 1 - 14
Опубликована: Июнь 18, 2024
This
study
identifies
the
regime
changes
and
investigates
extreme
risk
spillovers
of
China's
first
international
crude
oil
futures
(INECOFs).
The
novelty
this
is
that
a
non-linear
process
incorporated
to
examine
structural
breaks
INECOFs
capture
movements
risk.
To
facilitate
traders
global
financial
investors
hedge
against
risk,
between
market
are
investigated.
We
find
that:
(1)
two-regime
GJRGARCH-SGED
model
can
identify
generate
more
accurate
measures;
(2)
probability
in
tranquil
86.01%
agitated
13.99%;
(3)
plays
modest
role
spillover
network,
while
benchmark
an
important
role;
(4)
upside
receiver
downside
transmitter.
make
attempt
volatility
spillovers.
