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Shigeyuki Hamori

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Shigeyuki Hamori & Minami Kawai & Takahiro Kume & Yuji Murakami & Chikara Watanabe, 2018. "Ensemble Learning or Deep Learning? Application to Default Risk Analysis," Discussion Papers 1802, Graduate School of Economics, Kobe University.

    Cited by:

    1. Yuchen Zhang & Shigeyuki Hamori, 2020. "The Predictability of the Exchange Rate When Combining Machine Learning and Fundamental Models," JRFM, MDPI, vol. 13(3), pages 1-16, March.
    2. Ryno du Plooy & Pierre J. Venter, 2021. "A Comparison of Artificial Neural Networks and Bootstrap Aggregating Ensembles in a Modern Financial Derivative Pricing Framework," JRFM, MDPI, vol. 14(6), pages 1-18, June.
    3. Cheng-Chien Lai & Wei-Hsin Huang & Betty Chia-Chen Chang & Lee-Ching Hwang, 2021. "Development of Machine Learning Models for Prediction of Smoking Cessation Outcome," IJERPH, MDPI, vol. 18(5), pages 1-10, March.
    4. Martin Leo & Suneel Sharma & K. Maddulety, 2019. "Machine Learning in Banking Risk Management: A Literature Review," Risks, MDPI, vol. 7(1), pages 1-22, March.
    5. Shigeyuki Hamori & Takahiro Kume, 2018. "Artificial Intelligence And Economic Growth," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 256-278, December.
    6. Selçuk BAYRACI & Orkun SUSUZ, 2019. "A Deep Neural Network (DNN) based classification model in application to loan default prediction," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(621), W), pages 75-84, Winter.
    7. Shigeyuki Hamori, 2020. "Empirical Finance," JRFM, MDPI, vol. 13(1), pages 1-3, January.
    8. Marc Andreas Schmitt, 2022. "Deep Learning in Business Analytics: A Clash of Expectations and Reality," Papers 2205.09337, arXiv.org.
    9. Marc Schmitt, 2022. "Deep Learning vs. Gradient Boosting: Benchmarking state-of-the-art machine learning algorithms for credit scoring," Papers 2205.10535, arXiv.org.
    10. Gunnarsson, Björn Rafn & vanden Broucke, Seppe & Baesens, Bart & Óskarsdóttir, María & Lemahieu, Wilfried, 2021. "Deep learning for credit scoring: Do or don’t?," European Journal of Operational Research, Elsevier, vol. 295(1), pages 292-305.
    11. Dimitrios Nikolaidis & Michalis Doumpos, 2022. "Credit Scoring with Drift Adaptation Using Local Regions of Competence," SN Operations Research Forum, Springer, vol. 3(4), pages 1-28, December.
    12. Jung-sik Hong & Hyeongyu Yeo & Nam-Wook Cho & Taeuk Ahn, 2018. "Identification of Core Suppliers Based on E-Invoice Data Using Supervised Machine Learning," JRFM, MDPI, vol. 11(4), pages 1-13, October.
    13. Nikolaos Sariannidis & Stelios Papadakis & Alexandros Garefalakis & Christos Lemonakis & Tsioptsia Kyriaki-Argyro, 2020. "Default avoidance on credit card portfolios using accounting, demographical and exploratory factors: decision making based on machine learning (ML) techniques," Annals of Operations Research, Springer, vol. 294(1), pages 715-739, November.
    14. Thackway, William & Ng, Matthew Kok Ming & Lee, Chyi Lin & Pettit, Christopher, 2021. "Building a predictive machine learning model of gentrification in Sydney," SocArXiv hkc96, Center for Open Science.

  2. Katsuyuki Tanaka & Takuji Kinkyo & Shigeyuki Hamori, 2017. "Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model," Discussion Papers 1720, Graduate School of Economics, Kobe University.

    Cited by:

    1. Tai-Hock Kuek & Chin-Hong Puah & M. Affendy Arip, 2020. "Financial Vulnerability and Economic Dynamics in Malaysia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 55-73.
    2. Hitoshi Hamori & Shigeyuki Hamori, 2020. "Does Ensemble Learning Always Lead to Better Forecasts?," Applied Economics and Finance, Redfame publishing, vol. 7(2), pages 51-56, March.
    3. Takuo Higashide & Katsuyuki Tanaka & Takuji Kinkyo & Shigeyuki Hamori, 2021. "New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?," JRFM, MDPI, vol. 14(5), pages 1-18, May.
    4. Beutel, Johannes & List, Sophia & von Schweinitz, Gregor, 2019. "Does machine learning help us predict banking crises?," Journal of Financial Stability, Elsevier, vol. 45(C).
    5. Lanbiao Liu & Chen Chen & Bo Wang, 2022. "Predicting financial crises with machine learning methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 871-910, August.
    6. Lei Xu & Takuji Kinkyo & Shigeyuki Hamori, 2018. "Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform," JRFM, MDPI, vol. 11(4), pages 1-11, December.
    7. Antulov-Fantulin, Nino & Lagravinese, Raffaele & Resce, Giuliano, 2021. "Predicting bankruptcy of local government: A machine learning approach," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 681-699.

  3. Katsuyuki Tanaka & Takuo Higashide & Takuji Kinkyo & Shigeyuki Hamori, 2017. "Forecasting the Vulnerability of Industrial Economic Activities: Predicting the Bankruptcy of Companies," Discussion Papers 1721, Graduate School of Economics, Kobe University.

    Cited by:

    1. Katsuyuki Tanaka & Takuji Kinkyo & Shigeyuki Hamori, 2017. "Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model," Discussion Papers 1720, Graduate School of Economics, Kobe University.
    2. Takuo Higashide & Katsuyuki Tanaka & Takuji Kinkyo & Shigeyuki Hamori, 2021. "New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?," JRFM, MDPI, vol. 14(5), pages 1-18, May.

  4. Takashi Miyazaki & Shigeyuki Hamori, 2016. "The determinants of a simultaneous crash in gold and stock markets: An ordered logit approach," Discussion Papers 1603, Graduate School of Economics, Kobe University.

    Cited by:

    1. Takashi Miyazaki, 2019. "Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions," JRFM, MDPI, vol. 12(1), pages 1-18, February.

  5. Wang Chen & Shigeyuki Hamori & Takuji Kinkyo, 2015. "Financial Development and Financial Openness Nexus: The Precondition of Banking Competition," Discussion Papers 1512, Graduate School of Economics, Kobe University.

    Cited by:

    1. Al-Moulani, Ali & Alexiou, Constantinos, 2018. "Simulating Banking Sector Development in the GCC States," MPRA Paper 98650, University Library of Munich, Germany.
    2. Edgar A. Ghossoub & Andre Harrison & Robert R. Reed, 2024. "Banking concentration, financial openness, and financial development," Contemporary Economic Policy, Western Economic Association International, vol. 42(1), pages 120-159, January.
    3. Zhou, Chao, 2023. "Home country environment and the downside risk implications of multinationality: Empirical evidence from Chinese SMEs," Journal of Multinational Financial Management, Elsevier, vol. 69(C).
    4. Emna Trabelsi, 2019. "Do independence and transparency matter for bank development? A new lookup on emerging and developing countries," Post-Print hal-02162780, HAL.

  6. Nannan Yuan & Shigeyuki Hamori & Wang Chen, 2014. "House Prices and Stock Prices: Evidence from a Dynamic Heterogeneous Panel in China," Discussion Papers 1428, Graduate School of Economics, Kobe University.

    Cited by:

    1. Yongheng Deng & Eric Girardin & Roselyne Joyeux & Shuping Shi, 2017. "Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?," Pacific Economic Review, Wiley Blackwell, vol. 22(3), pages 276-292, August.
    2. Yongheng Deng & Eric Girardin & Roselyne Joyeux, 2018. "Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy," Post-Print hal-01996210, HAL.
    3. Yongheng Deng & Eric Girardin & Roselyne Joyeux, 2015. "Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy," Working Papers 222015, Hong Kong Institute for Monetary Research.
    4. Korhan Gokmenoglu & Siamand Hesami, 2019. "Real estate prices and stock market in Germany: analysis based on hedonic price index," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 12(4), pages 687-707, April.

  7. Inoue, Takeshi & Hamori, Shigeyuki, 2013. "Financial Permeation and Economic Growth: Evidence from Sub-Saharan Africa," MPRA Paper 53417, University Library of Munich, Germany.

    Cited by:

    1. Kazeem B. Ajide & Ibrahim D. Raheem & Olorunfemi Y. Alimi & Simplice A. Asongu, 2020. "The Role of Institutional Infrastructures in Financial Inclusion-Growth Relations: Evidence from SSA," Research Africa Network Working Papers 20/043, Research Africa Network (RAN).
    2. EZZAHID, Elhadj & ELOUAOURTI, Zakaria, 2017. "Financial development and total factors productivity channel: Evidence from Africa," MPRA Paper 81764, University Library of Munich, Germany.

  8. Inoue, Takeshi & Toyoshima, Yuki & Hamori, Shigeyuki, 2012. "Inflation targeting in Korea, Indonesia, Thailand, and the Philippines : the impact on business cycle synchronization between each country and the world," IDE Discussion Papers 328, Institute of Developing Economies, Japan External Trade Organization(JETRO).

    Cited by:

    1. Ulrich Volz, 2015. "On the Future of Inflation Targeting in East Asia," Review of Development Economics, Wiley Blackwell, vol. 19(3), pages 638-652, August.
    2. ALIASUDDIN & Sofyan SYAHNUR & MALIA, 2020. "Inflation And Unemployment In Southeast Asian Countries: A Panel Gmm Application On Phillips Curve," Regional Science Inquiry, Hellenic Association of Regional Scientists, vol. 0(2), pages 145-152, June.
    3. Peter J. Morgan, 2013. "Monetary Policy Frameworks in Asia : Experience, Lessons, and Issues," Macroeconomics Working Papers 23639, East Asian Bureau of Economic Research.
    4. Valera, Harold Glenn A. & Holmes, Mark J. & Hassan, Gazi M., 2017. "How credible is inflation targeting in Asia? A quantile unit root perspective," Economic Modelling, Elsevier, vol. 60(C), pages 194-210.
    5. Yee Peng Chow & Junaina Muhammad & Bany Ariffin Amin Noordin & Fan Fah Cheng, 2017. "Macroeconomic Uncertainty in South East Asia: A Comparative Study between Malaysia and Indonesia," Research in Applied Economics, Macrothink Institute, vol. 9(4), pages 1-24, December.
    6. Carlos Delgado & Iván Araya & Gabriel Pino, 2020. "Business cycle synchronization: is it affected by inflation targeting credibility?," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 11(2), pages 157-177, June.
    7. Faisal Rachman, 2016. "Is Inflation Target Announced by Bank Indonesia the Most Accurate Inflation Forecast?," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 62, pages 98-120, August.
    8. Alice Y. Ouyang & Ramkishen S. Rajan, 2016. "Does Inflation Targeting in Asia Reduce Exchange Rate Volatility?," International Economic Journal, Taylor & Francis Journals, vol. 30(2), pages 294-311, June.

  9. Inoue, Takeshi & Hamori, Shigeyuki, 2012. "Market efficiency of commodity futures in India," IDE Discussion Papers 370, Institute of Developing Economies, Japan External Trade Organization(JETRO).

    Cited by:

    1. Wei Zhang & Sayed Saghaian & Michael Reed, 2022. "Influences of Power Structure Evolution on Coffee Commodity Markets: Insights from Price Discovery and Volatility Spillovers," Sustainability, MDPI, vol. 14(22), pages 1-27, November.
    2. Narinder Pal Singh & Archana Singh, 2017. "Empirical Investigation on Food Inflation and Efficiency Issues in Indian Agri-futures Market," Emerging Economy Studies, International Management Institute, vol. 3(2), pages 156-165, November.
    3. Sarveshwar Kumar Inani, 2018. "Price Discovery and Efficiency of Indian Agricultural Commodity Futures Market: An Empirical Investigation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 129-154, March.
    4. Chhabra, Damini & Gupta, Mohit, 2022. "Calendar anomalies in commodity markets for natural resources: Evidence from India," Resources Policy, Elsevier, vol. 79(C).
    5. Go, You-How & Lau, Wee-Yeap, 2017. "Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil," Resources Policy, Elsevier, vol. 53(C), pages 135-146.
    6. Mohanty, Sunil K. & Mishra, Sibanjan, 2020. "Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    7. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2017. "A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 182-192.
    8. Getu Hailu & Alex Maynard & Alfons Weersink, 2015. "Empirical analysis of corn and soybean basis in Canada," Applied Economics, Taylor & Francis Journals, vol. 47(51), pages 5491-5509, November.
    9. Rahul Kumar Singh, 2023. "Efficiency of Wheat Futures across APMC Mandis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(3), pages 681-701, September.
    10. Lya Paola Sierra & Luis Eduardo Gir n & Carolina Osorio, 2017. "Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 15-22.

  10. Inoue, Takeshi & Hamori, Shigeyuki, 2011. "Financial permeation as a role of microfinance : has microfinance actually been helpful to the poor?," IDE Discussion Papers 299, Institute of Developing Economies, Japan External Trade Organization(JETRO).

    Cited by:

    1. Inoue, Takeshi & Hamori, Shigeyuki, 2013. "Financial Permeation and Economic Growth: Evidence from Sub-Saharan Africa," MPRA Paper 53417, University Library of Munich, Germany.

  11. HASHIGUCHI, Yoshihiro & HAMORI, Shigeyuki, 2010. "The sustainability of trade balances in Sub-Saharan Africa: panel cointegration tests with cross-section dependence," MPRA Paper 24054, University Library of Munich, Germany.

    Cited by:

    1. Santosh Kumar Dash, 2017. "Analyzing Current Account Sustainability through the Saving-Investment Correlation," Economics Bulletin, AccessEcon, vol. 37(4), pages 2860-2870.
    2. HASHIGUCHI, Yoshihiro & HAMORI, Shigeyuki, 2010. "Small sample properties of CIPS panel unit root test under conditional and unconditional heteroscedasticity," MPRA Paper 24053, University Library of Munich, Germany.
    3. Issiaka Coulibaly & Blaise Gnimassoun, 2013. "Current account sustainability in Sub-Saharan Africa: Does the exchange rate regime matter?," Working Papers hal-04141160, HAL.
    4. Issiaka Coulibaly & Blaise Gnimassoun, 2013. "Current account sustainability in Sub-Saharan Africa: Does the exchange rate regime matter?," EconomiX Working Papers 2013-42, University of Paris Nanterre, EconomiX.
    5. Olufemi G. Onatunji, 2023. "Sustainability of current account deficits in Nigeria: evidence from the asymmetric NARDL approach," SN Business & Economics, Springer, vol. 3(10), pages 1-22, October.

  12. HASHIGUCHI, Yoshihiro & HAMORI, Shigeyuki, 2010. "Small sample properties of CIPS panel unit root test under conditional and unconditional heteroscedasticity," MPRA Paper 24053, University Library of Munich, Germany.

    Cited by:

    1. KAFANDO, Namalguebzanga, 2014. "L'industrialisation de l'Afrique: l'importance des facteurs structurels et du régime de change [The industrialization of Africa: the importance of structural factors and exchange rate regime]," MPRA Paper 68736, University Library of Munich, Germany.
    2. Orhan Cengiz, 2021. "The Political Economics of Trade Openness and Its Impacts on Corruption," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 71(71-2), pages 499-525, December.
    3. Beatrice D. Simo-Kengne & Manoel Bittencourt & Rangan Gupta, 2011. "House Prices and Economic Growth in South Africa: Evidence from Provincial-Level Data," Working Papers 201116, University of Pretoria, Department of Economics.

  13. Inoue, Takeshi & Hamori, Shigeyuki, 2010. "How has financial deepening affected poverty reduction in India? : empirical analysis using state-level panel data," IDE Discussion Papers 249, Institute of Developing Economies, Japan External Trade Organization(JETRO).

    Cited by:

    1. Alessandra Cepparulo & Juan C. Cuestas & Maurizio Intarglia, 2015. "Financial development, institutions and poverty alleviation: an empirical analysis," NCID Working Papers 01/2015, Navarra Center for International Development, University of Navarra.
    2. Ho, Sin-Yu & Njindan Iyke, Bernard, 2017. "Does Financial Development Lead to Poverty Reduction in China? Time Series Evidence," MPRA Paper 78922, University Library of Munich, Germany.
    3. Aïssata COULIBALY & Urbain Thierry YOGO, 2016. "Access to Financial Services and Working Poverty in Developing Countries," Working Papers 201620, CERDI.
    4. Clement Olalekan Olaniyi & James Temitope Dada & Nicholas Mbaya Odhiambo & Xuan Vinh Vo, 2023. "Modelling asymmetric structure in the finance-poverty nexus: empirical insights from an emerging market economy," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(1), pages 453-487, February.
    5. Fisayo Fagbemi & Babafemi Oladejo & Opeoluwa A. Adeosun, 2020. "The Effectiveness of Poverty Alleviation Policy: Why is the Quality of Institutions the Bane in Nigeria?," Working Papers of the African Governance and Development Institute. 20/099, African Governance and Development Institute..
    6. Samouel Beji, 2019. "Financial Openness and Income Inequality: Do Institutions matter for Africa?," Economics Bulletin, AccessEcon, vol. 39(1), pages 104-114.
    7. Fisayo Fagbemi & Babafemi Oladejo & Opeoluwa A. Adeosun, 2020. "The Effectiveness of Poverty Alleviation Policy: Why is the Quality of Institutions the Bane in Nigeria?," Research Africa Network Working Papers 20/099, Research Africa Network (RAN).
    8. Inoue, Takeshi, 2018. "Financial development, remittances, and poverty reduction: Empirical evidence from a macroeconomic viewpoint," Journal of Economics and Business, Elsevier, vol. 96(C), pages 59-68.
    9. Yaya Keho, 2017. "Financial Development and Poverty Reduction: Evidence from Selected African Countries," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(4), pages 90-98, October.
    10. James Temitope Dada & Taiwo Akinlo, 2021. "Foreign direct investment and poverty reduction in sub-Saharan Africa: does environmental degradation matter?," Future Business Journal, Springer, vol. 7(1), pages 1-10, December.
    11. Singh,Raju & Huang,Yifei, 2016. "Financial channels, property rights, and poverty : a Sub-Saharan African perspective," Policy Research Working Paper Series 7559, The World Bank.
    12. Ho, Sin-Yu & Njindan Iyke, Bernard, 2018. "Financial Development, Growth and Poverty Reduction: Evidence from Ghana," MPRA Paper 87121, University Library of Munich, Germany.
    13. Raju Jan Singh & Yifei Huang, 2016. "Financial Channels, Property Rights and Poverty: A Sub-Saharan African Perspective This work was initiated when Raju Jan Singh was a Senior Economist and Yifei Huang a summer intern at the African Dep," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 45(3), pages 327-351, November.
    14. Fisayo Fagbemi & Babafemi Oladejo & Opeoluwa A. Adeosun, 2020. "The Effectiveness of Poverty Alleviation Policy: Why is the Quality of Institutions the Bane in Nigeria?," Working Papers 20/099, European Xtramile Centre of African Studies (EXCAS).
    15. Uddin, Gazi Salah & Shahbaz, Muhammad & Arouri, Mohamed & Teulon, Frédéric, 2014. "Financial development and poverty reduction nexus: A cointegration and causality analysis in Bangladesh," Economic Modelling, Elsevier, vol. 36(C), pages 405-412.
    16. Madhu Sehrawat & A. K. Giri, 2018. "The impact of financial development, economic growth, income inequality on poverty: evidence from India," Empirical Economics, Springer, vol. 55(4), pages 1585-1602, December.
    17. Sin-Yu Ho & Bernard Njindan Iyke, 2018. "Finance-growth-poverty nexus: a re-assessment of the trickle-down hypothesis in China," Economic Change and Restructuring, Springer, vol. 51(3), pages 221-247, August.
    18. Shahbaz, Muhammad & Ur Rehman, Ijaz, 2013. "Multivariate–Based Granger Causality between Financial Deepening and Poverty: The Case of Pakistan," MPRA Paper 50834, University Library of Munich, Germany, revised 20 Oct 2013.
    19. Yaya Keho, 2016. "Revisiting the Financial Development and Poverty Reduction Nexus for Sub-Saharan African Countries: Evidence from Causality Tests in the Time and Frequency Domains," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1906-1910.
    20. Shruti Malik & Girish Chandra Maheshwari & Archana Singh, 2019. "Understanding Financial Inclusion in India: A Theoretical Framework Building Through SAP–LAP and Efficient IRP," Global Journal of Flexible Systems Management, Springer;Global Institute of Flexible Systems Management, vol. 20(2), pages 117-140, June.
    21. Taofeek Olusola Ayinde & Olumuyiwa Ganiyu Yinusa, 2016. "Financial Development and Inclusive Growth in Nigeria: A Threshold Analysis," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(4), pages 326-346, October.
    22. Madhu Sehrawat & A. Giri, 2016. "Financial development, poverty and rural-urban income inequality: evidence from South Asian countries," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(2), pages 577-590, March.
    23. Inoue, Takeshi & Hamori, Shigeyuki, 2011. "Financial permeation as a role of microfinance : has microfinance actually been helpful to the poor?," IDE Discussion Papers 299, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    24. Fisayo Fagbemi & Babafemi Oladejo & Opeoluwa Adeniyi Adeosun, 2020. "The Effectiveness of Poverty Alleviation Policy: Why Is the Quality of Institutions the Bane in Nigeria?," Review of Development and Change, , vol. 25(2), pages 215-236, December.
    25. Martinson Ankrah Twumasi & Yuansheng Jiang & Zhao Ding & Pengcheng Wang & Wonder Abgenyo, 2022. "The Mediating Role of Access to Financial Services in the Effect of Financial Literacy on Household Income: The Case of Rural Ghana," SAGE Open, , vol. 12(1), pages 21582440221, February.

  14. Kanao, Koji & Hamori, Shigeyuki, 2010. "The size of the underground economy in Japan," MPRA Paper 21562, University Library of Munich, Germany.

    Cited by:

    1. Misbah Kiani & Adeel Ahmed & Khalid Zaman, 2015. "Combining qualitative and quantitative approaches for measuring underground economy of Pakistan," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(1), pages 295-317, January.

  15. Hisako, KAI & Shigeyuki, HAMORI, 2009. "Microfinance and Inequality," MPRA Paper 17537, University Library of Munich, Germany.

    Cited by:

    1. Samreen FAROOQ & Prof. S.M. Jawed AKHTAR, 2024. "Microfinance and poverty reduction: an empirical evidence from SAARC nations," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(638), S), pages 179-186, Spring.
    2. Katsushi S. Imai & Ganesh Thapa & Samuel Kobina Annim, 2010. "Microfinance and Poverty -A Macro Perspective," Discussion Paper Series DP2010-30, Research Institute for Economics & Business Administration, Kobe University.
    3. Mushtaq, Rizwan & Bruneau, Catherine, 2019. "Microfinance, financial inclusion and ICT: Implications for poverty and inequality," Technology in Society, Elsevier, vol. 59(C).
    4. Kamel Bel hadj Miled & Jalel-Eddine Ben Rejeb, 2018. "Can Microfinance Help to Reduce Poverty? A Review of Evidence for Developing Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 9(2), pages 613-635, June.
    5. Kamel Bel Hadj Miled & Moheddine Younsi & Monia Landolsi, 2022. "Does microfinance program innovation reduce income inequality? Cross-country and panel data analysis," Journal of Innovation and Entrepreneurship, Springer, vol. 11(1), pages 1-15, December.
    6. Mario La Torre & Helen Chiappini (ed.), 2020. "Contemporary Issues in Sustainable Finance," Palgrave Studies in Impact Finance, Palgrave Macmillan, number 978-3-030-40248-8, December.
    7. Sultan, Yousuf & Masih, Mansur, 2016. "Does microfinance affect economic growth? Evidence from Bangladesh based on ARDL approach," MPRA Paper 72123, University Library of Munich, Germany.
    8. Heiko Fritz & Guenter Lang, 2012. "Microcredit, Human Capital, and Personal Income Distribution: Empirical Evidence from Greater Cairo," Working Papers 30, The German University in Cairo, Faculty of Management Technology.
    9. Inoue, Takeshi & Hamori, Shigeyuki, 2011. "Financial permeation as a role of microfinance : has microfinance actually been helpful to the poor?," IDE Discussion Papers 299, Institute of Developing Economies, Japan External Trade Organization(JETRO).

  16. Chen, Guifu & Hamori, Shigeyuki, 2009. "Energy prices and China’s international competitiveness," MPRA Paper 18827, University Library of Munich, Germany.

    Cited by:

    1. Dasgupta, Sukti. & Bhula-or, Ruttiya. & Fakthong, Tiraphap., 2015. "Earnings differentials between formal and informal employment in Thailand," ILO Working Papers 994896403402676, International Labour Organization.
    2. Moreno, Blanca & García-Álvarez, María Teresa & Ramos, Carmen & Fernández-Vázquez, Esteban, 2014. "A General Maximum Entropy Econometric approach to model industrial electricity prices in Spain: A challenge for the competitiveness," Applied Energy, Elsevier, vol. 135(C), pages 815-824.
    3. Peter Bal z & Luk Harv nek, 2016. "Competitiveness of the Chinese Economy and its Link to the Global Energy Prices Development," International Journal of Energy Economics and Policy, Econjournals, vol. 6(2), pages 305-317.

  17. Yoichi, Matsubayashi & Shigeyuki, Hamori, 2009. "Empirical Analysis of Import Demand Behavior of Least Developed Countries," MPRA Paper 17266, University Library of Munich, Germany.

    Cited by:

    1. Shigeyuki, Hamori & Yoichi, Matsubayashi, 2009. "Empirical Analysis of Export Demand Behavior of LDCs: Panel Cointegration Approach," MPRA Paper 17316, University Library of Munich, Germany.
    2. Ercan Yasar & Güray Akalin & Sinan Erdogan & Samuel Asumadu Sarkodie, 2022. "Trading Kuznets curve: empirical analysis for China," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(3), pages 741-768, August.
    3. AYODOTUN, Ayorinde & FARAYIBI, Adesoji, 2016. "An Empirical Analysis of the Structure of Imports in Sub-Sahara Africa," MPRA Paper 73278, University Library of Munich, Germany.
    4. AYODOTUN, Ayorinde & FARAYIBI, Adesoji, 2016. "Modelling the Determinants of Import Demand in Sub-Sahara Africa," MPRA Paper 73225, University Library of Munich, Germany.

  18. Yoshihiro, Hashiguchi & Shigeyuki, Hamori, 2009. "Saving-Investment Relationship and Capital Mobility:Evidence from Chinese Provincial Data, 1980—2007," MPRA Paper 17357, University Library of Munich, Germany.

    Cited by:

    1. Wang, Shoukun, 2016. "China's interregional capital mobility: A spatial econometric estimation," China Economic Review, Elsevier, vol. 41(C), pages 114-128.
    2. Jesus Felipe & Scott Fullwiler & Al-Habbyel Yusoph, 2022. "Why the Feldstein-Horioka "Puzzle" Remains Unsolved," Economics Working Paper Archive wp_1006, Levy Economics Institute.

  19. Hisako KAI & Shigeyuki HAMORI, 2009. "Globalization, Financial Depth, and Inequality in Sub-Saharan Africa," Discussion Papers 0912, Graduate School of Economics, Kobe University.

    Cited by:

    1. Meniago, Christelle & Asongu, Simplice A., 2018. "Revisiting the finance-inequality nexus in a panel of African countries," Research in International Business and Finance, Elsevier, vol. 46(C), pages 399-419.
    2. Inoue, Takeshi & Hamori, Shigeyuki, 2010. "How has financial deepening affected poverty reduction in India? : empirical analysis using state-level panel data," IDE Discussion Papers 249, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    3. Simplice A. Asongu, 2014. "New Financial Development Indicators: With a Critical Contribution to Inequality Empirics," The International Journal of Economic Behavior - IJEB, Faculty of Business and Administration, University of Bucharest, vol. 4(1), pages 33-50.
    4. Asongu Simplice, 2012. "Globalization, (fighting) corruption and development: how are these phenomena linearly and nonlinearly related in wealth effects?," Working Papers of the African Governance and Development Institute. 12/024, African Governance and Development Institute..
    5. Simplice Asongu & Uchenna Efobi & Ibukun Beecroft, 2015. "Inclusive Human Development in Pre-crisis Times of Globalization-driven Debts," African Development Review, African Development Bank, vol. 27(4), pages 428-442, December.
    6. Simplice A. Asongu & Jacinta C. Nwachukwu, 2016. "Mobile Phone Penetration, Mobile Banking and Inclusive Development in Africa," The African Finance Journal, Africagrowth Institute, vol. 18(1), pages 34-52.
    7. Asongu, Simplice A., 2013. "How do institutions matter in the income-equalizing effect of mobile phone penetration?," European Economic Letters, European Economics Letters Group, vol. 2(2), pages 56-61.
    8. Asongu Simplice, 2011. "Finance and Inequality: Exploring Pro-Poor Investment Channels in Africa," Working Papers of the African Governance and Development Institute. 11/016, African Governance and Development Institute..
    9. Noumba, Issidor & Noula, Armand Gilbert & Nguea, Stéphane Mbiankeu, 2022. "Do globalization and resource rents matter for human well-being? Evidence from African countries," International Economics, Elsevier, vol. 170(C), pages 49-65.
    10. Simplice A, Asongu, 2012. "Globalization and Africa: implications for human development," MPRA Paper 36541, University Library of Munich, Germany.
    11. Imran Khan & Zuhaba Nawaz & Bilal Bin Saeed, 2021. "Does trade openness and FDI reduce inequality? Evidence from South Asia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6459-6470, October.
    12. Hassine, Nadia Belhaj, 2015. "Economic Inequality in the Arab Region," World Development, Elsevier, vol. 66(C), pages 532-556.
    13. Muhammad Haseeb & Tulus Suryanto & Nira Hariyatie Hartani & Kittisak Jermsittiparsert, 2020. "Nexus Between Globalization, Income Inequality and Human Development in Indonesian Economy: Evidence from Application of Partial and Multiple Wavelet Coherence," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 147(3), pages 723-745, February.
    14. Enowbi Batuo, Michael & Asongu, Simplice A., 2012. "The impact of liberalisation policies on income inequality in african countries," MPRA Paper 43344, University Library of Munich, Germany.
    15. Simplice A., Asongu, 2011. "Investment and inequality in Africa: which financial channels are good for the poor?," MPRA Paper 34990, University Library of Munich, Germany.
    16. Asongu, Simplice, 2015. "Financial development in Africa - a critical examination," MPRA Paper 82131, University Library of Munich, Germany.
    17. Asongu, Simplice & Nwachukwu, Jacinta C., 2015. "Finance and Inclusive Human Development: Evidence from Africa," MPRA Paper 71787, University Library of Munich, Germany.
    18. Simplice A. Asongu & Rexon T. Nting, 2021. "The role of finance in inclusive human development in Africa revisited," Working Papers 21/006, European Xtramile Centre of African Studies (EXCAS).
    19. Leitão, Nuno Carlos, 2012. "The impact of trade on economic growth," MPRA Paper 37425, University Library of Munich, Germany.
    20. Leitão, Nuno Carlos, 2012. "Bank credit and economic growth," MPRA Paper 42664, University Library of Munich, Germany, revised 2012.
    21. Kaidi Nasreddine & Sami Mensi, 2016. "Financial Development and Income Inequality: The Linear versus the Nonlinear Hypothesis," Economics Bulletin, AccessEcon, vol. 36(2), pages 609-626.
    22. Asongu, Simplice A, 2013. "Inequality, poverty and quality of institutions: which freedom channels of globalization matter for Africa?," MPRA Paper 46929, University Library of Munich, Germany.
    23. Mukhopadhyay, Jyoti Prasad, 2014. "Does access to microfinance affect consumption inequality? :evidence from a randomized controlled trial in Andhra Pradesh, India," MPRA Paper 58674, University Library of Munich, Germany.
    24. Asongu Simplice, 2013. "The impact of mobile phone penetration on African inequality," Working Papers of the African Governance and Development Institute. 13/021, African Governance and Development Institute..
    25. Mieno, Fumiharu & 三重野, 文晴 & Kai, Hisako, 2012. "Do Subsidies Enhance or Erode the Cost Efficiency of Microfinance? Evidence from MFI Worldwide Micro Data," CEI Working Paper Series 2011-14, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
    26. Asongu Simplice & Michael E. Batuo, 2012. "The Impact of Liberalisation Policies on Inequality in Africa," Working Papers of the African Governance and Development Institute. 12/038, African Governance and Development Institute..
    27. Theresa Mannah-Blankson, 2018. "Gender Inequality and Access to Microfinance: Evidence from Ghana," Journal of African Development, African Finance and Economic Association (AFEA), vol. 20(2), pages 21-33.
    28. Ndéné Ka, 2021. "Proo-poor growth modeling in developing countries: A Gini regression approach," Economics Bulletin, AccessEcon, vol. 41(2), pages 316-327.
    29. Mongi Lassoued, 2021. "Control of corruption, microfinance, and income inequality in MENA countries: evidence from panel data," SN Business & Economics, Springer, vol. 1(7), pages 1-19, July.
    30. Bolarinwa, Segun Thompson & Akinlo, Anthony Enisan, 2021. "Is there a nonlinear relationship between financial development and income inequality in Africa? Evidence from dynamic panel threshold," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    31. Asongu Simplice, 2013. "How do financial reforms affect inequality through financial sector competition? Evidence from Africa," Working Papers of the African Governance and Development Institute. 13/011, African Governance and Development Institute..
    32. Asongu, Simplice & Tchamyou, Vanessa, 2015. "Inequality, Finance and Pro-Poor Investment in Africa," MPRA Paper 71171, University Library of Munich, Germany.
    33. Noumba, Issidor & Nguea, Stéphane Mbiankeu, 2023. "Assessing the role of globalization for universal electricity access," International Economics, Elsevier, vol. 174(C), pages 180-195.
    34. Attila Jambor & Nuno Carlos Leitao, 2017. "Economic Growth and Sustainable Development: Evidence from Central and Eastern Europe," International Journal of Energy Economics and Policy, Econjournals, vol. 7(5), pages 171-177.
    35. Asongu, Simplice, 2013. "Mobile banking and mobile phone penetration: which is more pro-poor in Africa?," MPRA Paper 56800, University Library of Munich, Germany.
    36. Nuno Carlos LEITÃO, 2012. "Financial Management and Economic Growth: The European Countries Experience," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 15(2), pages 261-268, December.
    37. Huang, Kaixing & Yan, Wenshou & Sim, Nicholas & Guo, Yuqing & Xie, Fang, 2022. "Can trade explain the rising trends in income inequality? Insights from 40 years of empirical studies," Economic Modelling, Elsevier, vol. 107(C).
    38. Kwame Acheampong, 2019. "The interaction effect of foreign capital inflows and financial development on economic welfare in sub-Saharan Africa," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-33, December.
    39. Thomas CHUFFART & Marie-Line DUBOZ & Paipet Corine ZOGBE, 2023. "Microfinance, inclusion financière et inégalités de revenus dans l’UEMOA," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 58, pages 103-121.
    40. Aviral Kumar Tiwari & Muhammad Shahbaz & Faridul Islam, 2013. "Does financial development increase rural‐urban income inequality?," International Journal of Social Economics, Emerald Group Publishing Limited, vol. 40(2), pages 151-168, January.
    41. Abrar, Afsheen & Hasan, Iftekhar & Kabir, Rezaul, 2021. "Finance-growth nexus and banking efficiency: The impact of microfinance institutions," Journal of Economics and Business, Elsevier, vol. 114(C).
    42. Mieno, Fumiharu & Kai, Hisako, 2012. "Do Subsidies Enhance or Erode the Cost Efficiency of Microfinance? Evidence from MFI Worldwide Micro Data," PRIMCED Discussion Paper Series 26, Institute of Economic Research, Hitotsubashi University.

  20. Inoue, Takeshi & Hamori, Shigeyuki, 2009. "What Explains Real and Nominal Exchange Rate Fluctuations? Evidence from SVAR Analysis for India," IDE Discussion Papers 216, Institute of Developing Economies, Japan External Trade Organization(JETRO).

    Cited by:

    1. Mostafa Goudarzi & Komeil Khanarinejad & Zahra Ardakani, 2012. "Investigation of the Factors Affecting Real Exchange Rate in Iran," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 4(4), pages 55-67, August.
    2. Ghosh, Sunandan & Kundu, Srikanta, 2019. "Central Bank Intervention in Foreign Exchange Market under Managed Float: A Three Regime Threshold VAR Analysis of Indian Rupee-US Dollar Exchange Rate," MPRA Paper 93466, University Library of Munich, Germany.
    3. Kubo, Koji, 2013. "Sources of fluctuations in parallel exchange rates and policy reform in Myanmar," IDE Discussion Papers 388, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    4. Chen, Chuanglian & Yao, Shujie & Ou, Jinghua, 2017. "Exchange rate dynamics in a Taylor rule framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 158-173.
    5. Biswajit Maitra, 2016. "Monetary, Real Shocks And Exchange Rate Variations In India," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 41(1), pages 81-103, March.

  21. Inoue, Takeshi & Hamori, Shigeyuki, 2009. "An Empirical Analysis of the Monetary Policy Reaction Function in India," IDE Discussion Papers 200, Institute of Developing Economies, Japan External Trade Organization(JETRO).

    Cited by:

    1. Kapur, Muneesh & Behera, Harendra, 2012. "Monetary Transmission Mechanism in India: A Quarterly Model," MPRA Paper 70631, University Library of Munich, Germany.
    2. Lavaneesvari Manogaran* & Siok Kun Sek, 2018. "Examining the Threshold Effect of Exchange Rate Changes on Monetary Policy Reaction Function of ASEAN-5: A Panel Threshold Approach," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 243-248:2.
    3. Muneesh Kapur & Michael Debabrata Patra, 2010. "A Monetary Policy Model Without Money for India," IMF Working Papers 2010/183, International Monetary Fund.
    4. Muneesh Kapur & Michael Debabrata Patra, 2012. "Alternative Monetary Policy Rules for India," IMF Working Papers 2012/118, International Monetary Fund.
    5. Gupta, Poonam & Eichengreen, Barry & Choudhary, Rishabh, 2021. "Inflation Targeting in India : An Interim Assessment," MPRA Paper 112656, University Library of Munich, Germany.

  22. Shigeyuki, Hamori & Yoichi, Matsubayashi, 2009. "Empirical Analysis of Export Demand Behavior of LDCs: Panel Cointegration Approach," MPRA Paper 17316, University Library of Munich, Germany.

    Cited by:

    1. Francesco Aiello & Graziella Bonanno & Alessia Via, 2015. "Again on trade elasticities: evidence from a selected sample of countries," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 5(2), pages 259-287, December.
    2. Rabia Latif & Attiya Yasmin Javid, 2016. "The Determinants of Pakistan Exports of Textile: An Integrated Demand and Supply Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 55(3), pages 191-210.
    3. Francesco Aiello & Graziella Bonanno & Alessia Via, 2015. "New Evidence on Export Price Elasticity from China and Six OECD Countries," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 23(6), pages 56-78, November.
    4. Bolaji Adesola Adesoye, 2017. "Macroeconomic Effects of Export Demand in Nigeria," EuroEconomica, Danubius University of Galati, issue 1(36), pages 122-130, May.
    5. AYODOTUN, Ayorinde & FARAYIBI, Adesoji, 2016. "An Empirical Analysis of the Structure of Imports in Sub-Sahara Africa," MPRA Paper 73278, University Library of Munich, Germany.
    6. Aiello, Francesco & Bonanno, Graziella & Via, Alessia, 2014. "Do export price elasticities support tensions in currency markets? Evidence from China and six OECD countries," MPRA Paper 56727, University Library of Munich, Germany.

  23. Inoue, Takeshi & Hamori, Shigeyuki, 2008. "An empirical analysis of the money demand function in India," IDE Discussion Papers 166, Institute of Developing Economies, Japan External Trade Organization(JETRO).

    Cited by:

    1. Khalfaoui, Rabeh & Padhan, Hemachandra & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2020. "Understanding the time-frequency dynamics of money demand, oil prices and macroeconomic variables: The case of India," Resources Policy, Elsevier, vol. 68(C).
    2. Aggarwal, Sakshi, 2017. "Determinants of Money Demand for India in Presence of Structural Break: An Empirical Analysis," MPRA Paper 76967, University Library of Munich, Germany.
    3. Prakash Singh & Manoj K. Pandey, 2009. "Structural Break, Stability and Demand for Money in India," ASARC Working Papers 2009-07, The Australian National University, Australia South Asia Research Centre.
    4. S. M. Woahid Murad & Ruhul Salim & Md. Golam Kibria, 2021. "Asymmetric Effects of Economic Policy Uncertainty on the Demand for Money in India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(3), pages 451-470, September.
    5. Afees Salisu & Idris Ademuyiwa & Basiru Fatai, 2013. "Modelling the Demand for Money in Sub-Saharan Africa (SSA)," Economics Bulletin, AccessEcon, vol. 33(1), pages 635-647.
    6. Lee-Chea Hiew & Chin-Hong Puah & Mohammad Affendy Arip & Mei-Teing Chong, 2019. "Role of Advertising Expenditure as an Influential Non-traditional Regressor in Russia¡¯s Money Demand Specification," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(6), pages 232-240, October.
    7. Nitin, Arora & Asghar, OsatiEraghi, 2016. "Does India have a stable demand for money function after reforms? A macroeconometric analysis," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 44, pages 25-37.
    8. Felix S. Nyumuah, 2017. "An Investigation into the Interest Elasticity of Demand for Money in Developing Countries: A Panel Data Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 69-80, March.
    9. Mr. Andrew Berg & Ms. Filiz D Unsal & Mr. Rafael A Portillo, 2010. "On the Optimal Adherence to Money Targets in a New-Keynesian Framework: An Application to Low-Income Countries," IMF Working Papers 2010/134, International Monetary Fund.
    10. Chandan Sharma, 2009. "Does Full Sterilization Feasible in Era of Excess Volatility: Evidence from India," Economics Bulletin, AccessEcon, vol. 29(4), pages 2944-2950.
    11. J. Paul Dunne & Elizabeth Kasekende, 2017. "Financial Innovation and Money Demand: Evidence from Sub-Saharan Africa," School of Economics Macroeconomic Discussion Paper Series 2017-06, School of Economics, University of Cape Town.
    12. Muhammad Ahad, 2017. "Financial Development and Money Demand Function: Cointegration, Causality and Variance Decomposition Analysis for Pakistan," Global Business Review, International Management Institute, vol. 18(4), pages 811-824, August.
    13. Nicholas Apergis, 2015. "Long-run estimates of money demand: new evidence from East Asian countries and the presence of structural breaks," Applied Economics, Taylor & Francis Journals, vol. 47(31), pages 3276-3291, July.
    14. Jiranyakul, Komain & Opiela, Timothy, 2014. "An Empirical Test of Money Demand in Thailand from 1993 to 2012," MPRA Paper 54162, University Library of Munich, Germany.
    15. Agya Atabani Adi & Joshua Sunday Riti, 2017. "Determination of Long and Short Run Demand for Money in the West African Monetary Zone (WAMZ) Countries: A Panel Analysis," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 2(2), pages 79-97, December.
    16. Sambulo Malumisa, 2015. "Structural Breaks, Stability and Demand for Money in South Africa," Journal of Economics and Behavioral Studies, AMH International, vol. 7(5), pages 79-90.
    17. Dobnik, Frauke, 2011. "Long-run Money Demand in OECD Countries – Cross-Member Cointegration," Ruhr Economic Papers 237, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    18. Payam MOHAMMAD ALIHA & Tamat SARMIDI & Abu Hassan SHAAR & Fathin FAIZAH SAID, 2017. "Using Ardl Approach To Cointehration For Investigating The Relationship Between Payment Technologies And Money Demand On A World Scale," Regional Science Inquiry, Hellenic Association of Regional Scientists, vol. 0(2), pages 29-37, December.
    19. John Bosco Nnyanzi, 2018. "The Interaction Effect of Financial Innovation and the Transmission Channels on Money Demand in Uganda," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(12), pages 1-1, December.
    20. Samih Antoine Azar & Fadi Asrawi & Emad Gharzuddine, 2017. "Economic Integration in the Six Middle Eastern Gulf Countries: A Look from the Perspective of Money Demand," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(3), pages 189-218, December.
    21. Masudul Hasan Adil & Neeraj Hatekar & Pravakar Sahoo, 2020. "The Impact of Financial Innovation on the Money Demand Function: An Empirical Verification in India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 14(1), pages 28-61, February.

Articles

  1. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2023. "The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments," International Review of Financial Analysis, Elsevier, vol. 89(C).

    Cited by:

    1. Yuan, Ying & Du, Xinyu, 2023. "Dynamic spillovers across global stock markets during the COVID-19 pandemic: Evidence from jumps and higher moments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 628(C).
    2. Ying-Hui Shao & Ying-Lin Liu & Yan-Hong Yang, 2023. "Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," Papers 2310.18903, arXiv.org, revised Apr 2024.

  2. Yang, Lu & Hamori, Shigeyuki, 2023. "Modeling the global sovereign credit network under climate change," International Review of Financial Analysis, Elsevier, vol. 87(C).

    Cited by:

    1. Yang, Lu, 2023. "Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk," Resources Policy, Elsevier, vol. 82(C).

  3. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.

    Cited by:

    1. Sara Boni & Massimiliano Caporin & Francesco Ravazzolo, 2024. "Nowcasting Inflation at Quantiles: Causality from Commodities," BEMPS - Bozen Economics & Management Paper Series BEMPS102, Faculty of Economics and Management at the Free University of Bozen.

  4. Tiantian Liu & Tadahiro Nakajima & Shigeyuki Hamori, 2022. "The impact of economic uncertainty caused by COVID-19 on renewable energy stocks," Empirical Economics, Springer, vol. 62(4), pages 1495-1515, April.

    Cited by:

    1. Wojciech Charemza & Svetlana Makarova & Krzysztof Rybiński, 2023. "Anti-pandemic restrictions, uncertainty and sentiment in seven countries," Economic Change and Restructuring, Springer, vol. 56(1), pages 1-27, February.
    2. Duan, Xiaoping & Xiao, Ya & Ren, Xiaohang & Taghizadeh-Hesary, Farhad & Duan, Kun, 2023. "Dynamic spillover between traditional energy markets and emerging green markets: Implications for sustainable development," Resources Policy, Elsevier, vol. 82(C).
    3. Cepni, Oguzhan & Demirer, Riza & Pham, Linh & Rognone, Lavinia, 2023. "Climate uncertainty and information transmissions across the conventional and ESG assets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
    4. Mensi, Walid & Vo, Xuan Vinh & Ko, Hee-Un & Kang, Sang Hoon, 2023. "Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 558-580.
    5. Qi, Haozhi & Ma, Lijun & Peng, Pin & Chen, Hao & Li, Kang, 2022. "Dynamic connectedness between clean energy stock markets and energy commodity markets during times of COVID-19: Empirical evidence from China," Resources Policy, Elsevier, vol. 79(C).
    6. Maquieira, Carlos P. & Espinosa-Méndez, Christian & Gahona-Flores, Orlando, 2023. "How does economic policy uncertainty (EPU) impact copper-firms stock returns? International evidence," Resources Policy, Elsevier, vol. 81(C).
    7. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2023. "The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments," International Review of Financial Analysis, Elsevier, vol. 89(C).
    8. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Kenku, Oluwademilade T. & Al-Faryan, Mamdouh Abdulaziz Saleh, 2022. "Comparative response of global energy firm stocks to uncertainties from the crude oil market, stock market, and economic policy," Resources Policy, Elsevier, vol. 79(C).
    9. Deng, Jing & Zheng, Huike & Xing, Xiaoyun, 2023. "Dynamic spillover and systemic importance analysis of global clean energy companies: A tail risk network perspective," Finance Research Letters, Elsevier, vol. 55(PB).
    10. Lu, Xunfa & Huang, Nan & Mo, Jianlei & Ye, Zhitao, 2023. "Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 125(C).
    11. Zhang, Li & Wang, Lu & Peng, Lijuan & Luo, Keyu, 2023. "Measuring the response of clean energy stock price volatility to extreme shocks," Renewable Energy, Elsevier, vol. 206(C), pages 1289-1300.

  5. Zhang, Yulian & Hamori, Shigeyuki, 2022. "A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 182-203.

    Cited by:

    1. Wei Hu & Yue Shan & Yun Deng & Ningning Fu & Jian Duan & Haining Jiang & Jianzhen Zhang, 2023. "Geopolitical Risk Evolution and Obstacle Factors of Countries along the Belt and Road and Its Types Classification," IJERPH, MDPI, vol. 20(2), pages 1-24, January.
    2. Lee, Chien-Chiang & Lou, Runchi & Wang, Fuhao, 2023. "Geopolitical risk and the sustainable utilization of natural resources: Evidence from developing countries," Resources Policy, Elsevier, vol. 85(PA).
    3. Naeem, Muhammad Abubakr & Hamouda, Foued & Karim, Sitara & Vigne, Samuel A., 2023. "Return and volatility spillovers among global assets: Comparing health crisis with geopolitical crisis," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 557-575.
    4. Wang, Kai-Hua & Wen, Cui-Ping & Liu, Hong-Wen & Liu, Lu, 2023. "Promotion or hindrance? Exploring the bidirectional causality between geopolitical risk and green bonds from an energy perspective," Resources Policy, Elsevier, vol. 85(PB).
    5. Nguyen, Thanh Cong & Thuy, Tien Ho, 2023. "Geopolitical risk and the cost of bank loans," Finance Research Letters, Elsevier, vol. 54(C).
    6. Sarit Maitra, 2023. "Impact of Economic Uncertainty, Geopolitical Risk, Pandemic, Financial & Macroeconomic Factors on Crude Oil Returns -- An Empirical Investigation," Papers 2310.01123, arXiv.org, revised Oct 2023.
    7. Ahmed BenSaïda, 2023. "The linkage between Bitcoin and foreign exchanges in developed and emerging markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
    8. Qin, Meng & Su, Chi-Wei & Umar, Muhammad & Lobonţ, Oana-Ramona & Manta, Alina Georgiana, 2023. "Are climate and geopolitics the challenges to sustainable development? Novel evidence from the global supply chain," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 748-763.

  6. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).

    Cited by:

    1. Liu, Min & Guo, Tongji & Ping, Weiying & Luo, Liangqing, 2023. "Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?," Energy Economics, Elsevier, vol. 121(C).
    2. Manuel Carlos Nogueira & Mara Madaleno, 2022. "Are Sustainability Indices Infected by the Volatility of Stock Indices? Analysis before and after the COVID-19 Pandemic," Sustainability, MDPI, vol. 14(22), pages 1-13, November.
    3. Mohammad Sahabuddin & Md. Aminul Islam & Mosab I. Tabash & Md. Kausar Alam & Linda Nalini Daniel & Imad Ibraheem Mostafa, 2023. "Dynamic Conditional Correlation and Volatility Spillover between Conventional and Islamic Stock Markets: Evidence from Developed and Emerging Countries," JRFM, MDPI, vol. 16(2), pages 1-19, February.
    4. Huang, Zishan & Zhu, Huiming & Hau, Liya & Deng, Xi, 2023. "Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    5. Gong, Xiao-Li & Zhao, Min & Wu, Zhuo-Cheng & Jia, Kai-Wen & Xiong, Xiong, 2023. "Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective," Energy Economics, Elsevier, vol. 121(C).
    6. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
    7. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
    8. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2023. "The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments," International Review of Financial Analysis, Elsevier, vol. 89(C).
    9. Bentes, Sónia R., 2023. "Is gold a safe haven for the CIVETS countries under extremely adverse market conditions? Some new evidence from the MF-DCCA analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 623(C).
    10. Aloui, Donia & Benkraiem, Ramzi & Guesmi, Khaled & Vigne, Samuel, 2023. "The European Central Bank and green finance: How would the green quantitative easing affect the investors' behavior during times of crisis?," International Review of Financial Analysis, Elsevier, vol. 85(C).

  7. Zhang, Yulian & Hamori, Shigeyuki, 2021. "Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 145-162.

    Cited by:

    1. Mensi, Walid & El Khoury, Rim & Ali, Syed Riaz Mahmood & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Quantile dependencies and connectedness between the gold and cryptocurrency markets: Effects of the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 65(C).
    2. Mensi, Walid & Vo, Xuan Vinh & Ko, Hee-Un & Kang, Sang Hoon, 2023. "Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 558-580.
    3. Jiang, He & Hu, Weiqiang & Xiao, Ling & Dong, Yao, 2022. "A decomposition ensemble based deep learning approach for crude oil price forecasting," Resources Policy, Elsevier, vol. 78(C).
    4. Wei, Yu & Wang, Zhuo & Li, Dongxin & Chen, Xiaodan, 2022. "Can infectious disease pandemic impact the long-term volatility and correlation of gold and crude oil markets?," Finance Research Letters, Elsevier, vol. 47(PA).
    5. Ngo Thai Hung, 2022. "The COVID-19 effects on cryptocurrency markets: robust evidence from time-frequency analysis," Economics Bulletin, AccessEcon, vol. 42(1), pages 109-123.
    6. Zhang, Yulian & Hamori, Shigeyuki, 2022. "A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 182-203.
    7. Qiao, Xingzhi & Zhu, Huiming & Zhang, Zhongqingyang & Mao, Weifang, 2022. "Time-frequency transmission mechanism of EPU, investor sentiment and financial assets: A multiscale TVP-VAR connectedness analysis," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).

  8. Shang, Jin & Hamori, Shigeyuki, 2021. "Do crude oil prices and the sentiment index influence foreign exchange rates differently in oil-importing and oil-exporting countries? A dynamic connectedness analysis," Resources Policy, Elsevier, vol. 74(C).

    Cited by:

    1. Lei, Xiying & Yang, Yao & Alharthi, Majed & Rasul, Farhat & Faraz Raza, Syed Muhammad, 2022. "Immense reliance on natural resources and environmental challenges in G-20 economies through the lens of COP-26 targets," Resources Policy, Elsevier, vol. 79(C).
    2. Chang, Lei & Baloch, Zulfiqar Ali & Saydaliev, Hayot Berk & Hyder, Mansoor & Dilanchiev, Azer, 2022. "Testing oil price volatility during Covid-19: Global economic impact," Resources Policy, Elsevier, vol. 78(C).
    3. Han, Mengjiao & Fan, Qingju & Ling, Guang, 2022. "Multiscale online-horizontal-visibility-graph correlation analysis of financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    4. Liu, Meihan & Baisheng, Shi & Alharthi, Majed & Hassan, Muhammad Shahid & Hanif, Imran, 2023. "The role of natural resources, clean energy and technology in mitigating carbon emissions in top populated countries," Resources Policy, Elsevier, vol. 83(C).
    5. Yang, Yang & Liu, Zhen & Saydaliev, Hayot Berk & Iqbal, Sajid, 2022. "Economic impact of crude oil supply disruption on social welfare losses and strategic petroleum reserves," Resources Policy, Elsevier, vol. 77(C).
    6. Kumar, Pawan & Singh, Vipul Kumar, 2022. "Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective," Energy Economics, Elsevier, vol. 116(C).
    7. Le, Thai Hong & Luong, Anh Tram, 2022. "Dynamic spillovers between oil price, stock market, and investor sentiment: Evidence from the United States and Vietnam," Resources Policy, Elsevier, vol. 78(C).
    8. Hicham Ayad & Ousama Ben-Salha & Miloud Ouafi, 2023. "Do oil prices predict the exchange rate in Algeria? Time, frequency, and time‐varying Granger causality analysis," Economic Change and Restructuring, Springer, vol. 56(5), pages 3545-3566, October.
    9. Zhu, Huiming & Li, Shuang & Huang, Zishan, 2023. "Frequency domain quantile dependence and connectedness between crude oil and exchange rates: Evidence from oil-importing and exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 1-30.
    10. Sokhanvar, Amin & Çiftçioğlu, Serhan & Lee, Chien-Chiang, 2023. "The effect of energy price shocks on commodity currencies during the war in Ukraine," Resources Policy, Elsevier, vol. 82(C).
    11. Anwer, Zaheer & Khan, Ashraf & Kabir Hassan, M. & Rashid, Mamunur, 2022. "Does the regional proximity lead to exchange rate spillover?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    12. Wang, Lu & Ruan, Hang & Hong, Yanran & Luo, Keyu, 2023. "Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method," Research in International Business and Finance, Elsevier, vol. 64(C).
    13. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).
    14. Michał Rubaszek & Karol Szafranek, 2022. "Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis," KAE Working Papers 2022-078, Warsaw School of Economics, Collegium of Economic Analysis.
    15. Liu, Fang & Umair, Muhammad & Gao, Junjun, 2023. "Assessing oil price volatility co-movement with stock market volatility through quantile regression approach," Resources Policy, Elsevier, vol. 81(C).
    16. Moinak Maiti & Parthajit Kayal, 2022. "Asymmetric Information Flow between Exchange Rate, Oil, and Gold: New Evidence from Transfer Entropy Approach," JRFM, MDPI, vol. 16(1), pages 1-14, December.

  9. He, Xie & Hamori, Shigeyuki, 2021. "Is volatility spillover enough for investor decisions? A new viewpoint from higher moments," Journal of International Money and Finance, Elsevier, vol. 116(C).

    Cited by:

    1. Aloui, Riadh & Ben Jabeur, Sami & Mefteh-Wali, Salma, 2022. "Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis," Research in International Business and Finance, Elsevier, vol. 62(C).
    2. Zhang, Hongwei & Jin, Chen & Bouri, Elie & Gao, Wang & Xu, Yahua, 2023. "Realized higher-order moments spillovers between commodity and stock markets: Evidence from China," Journal of Commodity Markets, Elsevier, vol. 30(C).
    3. Apergis, Nicholas, 2023. "Realized higher-order moments spillovers across cryptocurrencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    4. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
    5. Nekhili, Ramzi & Mensi, Walid & Vo, Xuan Vinh, 2021. "Multiscale spillovers and connectedness between gold, copper, oil, wheat and currency markets," Resources Policy, Elsevier, vol. 74(C).
    6. Naeem, Muhammad Abubakr & Hamouda, Foued & Karim, Sitara & Vigne, Samuel A., 2023. "Return and volatility spillovers among global assets: Comparing health crisis with geopolitical crisis," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 557-575.
    7. Yunhan Zhang & Qiang Ji & David Gabauer & Rangan Gupta, 2024. "How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence," Working Papers 202405, University of Pretoria, Department of Economics.
    8. Xu, Hao & Li, Songsong, 2023. "What impacts foreign capital flows to China's stock markets? Evidence from financial risk spillover networks," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 559-577.
    9. Tihana Škrinjarić, 2022. "Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets," Mathematics, MDPI, vol. 10(24), pages 1-34, December.
    10. Zhang, Xinxin & Bouri, Elie & Xu, Yahua & Zhang, Gongqiu, 2022. "The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 109(C).
    11. Waqas Hanif & Hee-Un Ko & Linh Pham & Sang Hoon Kang, 2023. "Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-40, December.
    12. Trung H. Le, 2024. "Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 402-414, March.
    13. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2023. "The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments," International Review of Financial Analysis, Elsevier, vol. 89(C).
    14. Bouri, Elie, 2023. "Spillovers in the joint system of conditional higher-order moments: US evidence from green energy, brown energy, and technology stocks," Renewable Energy, Elsevier, vol. 210(C), pages 507-523.
    15. Su, Zhi & Liu, Peng & Fang, Tong, 2022. "Uncertainty matters in US financial information spillovers: Evidence from a directed acyclic graph approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 229-242.
    16. Matteo Foglia & Vasilios Plakandaras & Rangan Gupta & Qiang Ji, 2024. "Long-Span Multi-Layer Spillovers between Moments of Advanced Equity Markets: The Role of Climate Risks," Working Papers 202415, University of Pretoria, Department of Economics.
    17. Xu Zhang & Xian Yang & Jianping Li & Jun Hao, 2023. "Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 705-733, June.
    18. Zheng, Yingfei & Shen, Anran & Li, Ruihai & Yang, Yuhong & Wang, Shengjin & Cheng, Lee-Young, 2023. "Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).

  10. Tiantian Liu & Shigeyuki Hamori, 2021. "Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach," Energies, MDPI, vol. 14(12), pages 1-21, June.

    Cited by:

    1. Kuang, Wei, 2021. "Which clean energy sectors are attractive? A portfolio diversification perspective," Energy Economics, Elsevier, vol. 104(C).
    2. Su, Xianfang & Guo, Dawei & Dai, Liang, 2023. "Do green bond and green stock markets boom and bust together? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 89(C).
    3. Lu, Xunfa & Huang, Nan & Mo, Jianlei & Ye, Zhitao, 2023. "Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 125(C).
    4. Herrera, Gabriel Paes & Constantino, Michel & Su, Jen-Je & Naranpanawa, Athula, 2022. "Renewable energy stocks forecast using Twitter investor sentiment and deep learning," Energy Economics, Elsevier, vol. 114(C).

  11. Zhang, Wenting & Hamori, Shigeyuki, 2021. "Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany," International Review of Financial Analysis, Elsevier, vol. 74(C).

    Cited by:

    1. Hao-Lin Shao & Ying-Hui Shao & Yan-Hong Yang, 2021. "New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach," Papers 2110.02693, arXiv.org.
    2. Kuang, Wei, 2023. "The equity-oil hedge: A comparison between volatility and alternative risk frameworks," Energy, Elsevier, vol. 271(C).
    3. Umar, Muhammad & Farid, Saqib & Naeem, Muhammad Abubakr, 2022. "Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis," Energy, Elsevier, vol. 240(C).
    4. Spyros Papathanasiou & Dimitris Kenourgios & Drosos Koutsokostas & Georgios Pergeris, 2023. "Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 198-211, May.
    5. Choi, Sun-Yong, 2022. "Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    6. Sun, Yiguo & Li, Delong & Suo, Chenyi & Wang, Yu, 2023. "A threshold effect of COVID-19 risk on oil price returns," Energy Economics, Elsevier, vol. 120(C).
    7. Mariana Hatmanu & Cristina Cautisanu, 2021. "The Impact of COVID-19 Pandemic on Stock Market: Evidence from Romania," IJERPH, MDPI, vol. 18(17), pages 1-22, September.
    8. Zheng, Jinlin & Wen, Baoyu & Jiang, Yaohui & Wang, Xiaohan & Shen, Yue, 2023. "Risk spillovers across geopolitical risk and global financial markets," Energy Economics, Elsevier, vol. 127(PA).
    9. Naeem, Muhammad Abubakr & Karim, Sitara & Tiwari, Aviral Kumar, 2022. "Quantifying systemic risk in US industries using neural network quantile regression," Research in International Business and Finance, Elsevier, vol. 61(C).
    10. Zhang, Yongmin & Sun, Yiru, 2023. "Did U.S. and Chinese investors respond differently to the exogenous shocks from COVID-19 and the war in Ukraine?," International Review of Financial Analysis, Elsevier, vol. 88(C).
    11. Liu, Wenwen & Gui, Yiming & Qiao, Gaoxiu, 2022. "Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic," Research in International Business and Finance, Elsevier, vol. 61(C).
    12. Kai Shi, 2021. "Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic," JRFM, MDPI, vol. 14(3), pages 1-37, March.
    13. Evžen Kočenda & Michala Moravcová & Evžen Kocenda, 2024. "Frequency Volatility Connectedness and Portfolio Hedging of U.S. Energy Commodities," CESifo Working Paper Series 10889, CESifo.
    14. Liang Wang & Xianyan Xiong & Ziqiu Cao, 2023. "Time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-14, December.
    15. Cao, Yan & Cheng, Sheng, 2021. "Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices," Resources Policy, Elsevier, vol. 74(C).
    16. Zhu, Bo & Lin, Renda & Deng, Yuanyue & Chen, Pingshe & Chevallier, Julien, 2021. "Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises," Economic Modelling, Elsevier, vol. 105(C).
    17. Umar, Zaghum & Bossman, Ahmed, 2023. "Quantile connectedness between oil price shocks and exchange rates," Resources Policy, Elsevier, vol. 83(C).
    18. Narayan, Paresh Kumar, 2021. "COVID-19 research outcomes: An agenda for future research," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 439-445.
    19. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2022. "Spillovers and diversification benefits between oil futures and ASEAN stock markets," Resources Policy, Elsevier, vol. 79(C).
    20. Zhang, Yongmin & Wang, Ruizhi, 2022. "COVID-19 impact on commodity futures volatilities," Finance Research Letters, Elsevier, vol. 47(PA).
    21. Wei, Yu & Zhang, Yaojie & Wang, Yudong, 2022. "Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent," International Review of Financial Analysis, Elsevier, vol. 81(C).
    22. Wang, Gang-Jin & Wan, Li & Feng, Yusen & Xie, Chi & Uddin, Gazi Salah & Zhu, You, 2023. "Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
    23. Rabeh Khalfaoui & Sakiru Adebola Solarin & Adel Al-Qadasi & Sami Ben Jabeur, 2022. "Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries," Post-Print hal-03797569, HAL.
    24. Ioannis Chatziantoniou & David Gabauer & Rangan Gupta, 2021. "Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach," Working Papers 202147, University of Pretoria, Department of Economics.
    25. Lin, Jie & Xiao, Hao & Chai, Jian, 2023. "Dynamic effects and driving intermediations of oil price shocks on major economies," Energy Economics, Elsevier, vol. 124(C).
    26. Dogan, Eyup & Majeed, Muhammad Tariq & Luni, Tania, 2022. "Analyzing the nexus of COVID-19 and natural resources and commodities: Evidence from time-varying causality," Resources Policy, Elsevier, vol. 77(C).
    27. Hussain, Saiful Izzuan & Nur-Firyal, R. & Ruza, Nadiah, 2022. "Linkage transitions between oil and the stock markets of countries with the highest COVID-19 cases," Journal of Commodity Markets, Elsevier, vol. 28(C).
    28. Mensi, Walid & Yousaf, Imran & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    29. Ashok, Shruti & Corbet, Shaen & Dhingra, Deepika & Goodell, John W. & Kumar, Satish & Yadav, Miklesh Prasad, 2022. "Are energy markets informationally smarter than equity markets? Evidence from the COVID-19 experience," Finance Research Letters, Elsevier, vol. 47(PB).
    30. Kuang, Wei, 2022. "The economic value of high-frequency data in equity-oil hedge," Energy, Elsevier, vol. 239(PA).
    31. Chang, Lei & Baloch, Zulfiqar Ali & Saydaliev, Hayot Berk & Hyder, Mansoor & Dilanchiev, Azer, 2022. "Testing oil price volatility during Covid-19: Global economic impact," Resources Policy, Elsevier, vol. 78(C).
    32. An Cheng & Tonghui Chen & Guogang Jiang & Xinru Han, 2021. "Can Major Public Health Emergencies Affect Changes in International Oil Prices?," IJERPH, MDPI, vol. 18(24), pages 1-13, December.
    33. Tiantian Liu & Shigeyuki Hamori, 2021. "Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach," Energies, MDPI, vol. 14(12), pages 1-21, June.
    34. Richard Mawulawoea Ahadzie & Dan Daugaard & Moses Kangogo & Faisal Khan & Joaquin Vespignani, 2023. "COVID-19, Mobility Restriction Policies and Stock Market Volatility: A Cross-Country Empirical Study," CAMA Working Papers 2023-40, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    35. Zheng Shi & Dongmin Kong, 2021. "Oil Price-Stock Market Nexus During the COVID-19 Pandemic - Evidence From China," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-4.
    36. Tong, Yuan & Wan, Ning & Dai, Xingyu & Bi, Xiaoyi & Wang, Qunwei, 2022. "China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?," Energy Economics, Elsevier, vol. 109(C).
    37. Yousaf, Imran & Pham, Linh & Goodell, John W., 2023. "Interconnectedness between healthcare tokens and healthcare stocks: Evidence from a quantile VAR approach," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 271-283.
    38. Ghaemi Asl, Mahdi & Adekoya, Oluwasegun Babatunde & Rashidi, Muhammad Mahdi & Ghasemi Doudkanlou, Mohammad & Dolatabadi, Ali, 2022. "Forecast of Bayesian-based dynamic connectedness between oil market and Islamic stock indices of Islamic oil-exporting countries: Application of the cascade-forward backpropagation network," Resources Policy, Elsevier, vol. 77(C).
    39. Rakesh Shahani & Riya Paliwal, 2023. "An empirical investigation of the impact of spillover dynamics from crude to NSE Nifty Index during and prior to the COVID-19 pandemic period," SN Business & Economics, Springer, vol. 3(8), pages 1-21, August.
    40. Apostolos G. Christopoulos & Petros Kalantonis & Ioannis Katsampoxakis & Konstantinos Vergos, 2021. "COVID-19 and the Energy Price Volatility," Energies, MDPI, vol. 14(20), pages 1-15, October.
    41. Liu, Xiaojun & Wang, Yunyuan & Du, Wanying & Ma, Yong, 2022. "Economic policy uncertainty, oil price volatility and stock market returns: Evidence from a nonlinear model," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    42. Wei Kuang, 2022. "Oil tail-risk forecasts: from financial crisis to COVID-19," Risk Management, Palgrave Macmillan, vol. 24(4), pages 420-460, December.
    43. Hasan Fehmi Baklaci & Tezer Yelkenci, 2022. "Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(2), pages 267-314, June.
    44. Enilov, Martin & Mensi, Walid & Stankov, Petar, 2023. "Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic," Journal of Commodity Markets, Elsevier, vol. 29(C).
    45. Sisa Shiba & Goodness C. Aye & Rangan Gupta & Samrat Goswami, 2022. "Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty," JRFM, MDPI, vol. 15(11), pages 1-15, November.
    46. Ștefan Cristian Gherghina & Daniel Ștefan Armeanu & Camelia Cătălina Joldeș, 2021. "COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach," JRFM, MDPI, vol. 14(8), pages 1-29, July.
    47. Tran, Yen & Vu, Huong & Klusak, Patrycja & Kraemer, Moritz & Hoang, Tri, 2021. "Sovereign credit ratings during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 78(C).
    48. Derick Quintino & Cristiane Ogino & Inzamam Ul Haq & Paulo Ferreira & Márcia Oliveira, 2023. "An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis," Energies, MDPI, vol. 16(5), pages 1-14, February.
    49. Adekoya, Oluwasegun B. & Akinseye, Ademola B. & Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David & Oliyide, Johnson, 2022. "Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies," Resources Policy, Elsevier, vol. 78(C).
    50. Kamal, Javed Bin & Wohar, Mark & Kamal, Khaled Bin, 2022. "Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?," Resources Policy, Elsevier, vol. 78(C).
    51. Mensi, Walid & Hammoudeh, Shawkat & Vinh Vo, Xuan & Hoon Kang, Sang, 2021. "Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    52. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 397-419.
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    54. Liao, Jianhui & Zhu, Xuehong & Chen, Jinyu, 2021. "Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies," International Review of Financial Analysis, Elsevier, vol. 77(C).
    55. Sarit Maitra & Vivek Mishra & Sukanya Kundu & Manav Chopra, 2023. "Econometric Model Using Arbitrage Pricing Theory and Quantile Regression to Estimate the Risk Factors Driving Crude Oil Returns," Papers 2309.13096, arXiv.org, revised Oct 2023.
    56. Yihong Ma, Simon Cottrell, Sarath Delpachitra, Xiao Yu, Ping Jiang, and Quan Tran Ha Minh, 2023. "What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
    57. Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
    58. Ying-Hui Shao & Ying-Lin Liu & Yan-Hong Yang, 2023. "Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," Papers 2310.18903, arXiv.org, revised Apr 2024.
    59. Waqas Hanif & Hee-Un Ko & Linh Pham & Sang Hoon Kang, 2023. "Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-40, December.
    60. Mukhriz Izraf Azman Aziz & Norzalina Ahmad & Jin Zichu & Safwan Mohd Nor, 2022. "The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies," Mathematics, MDPI, vol. 10(9), pages 1-22, April.
    61. Kumar, Ashish & Iqbal, Najaf & Mitra, Subrata Kumar & Kristoufek, Ladislav & Bouri, Elie, 2022. "Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    62. Dou, Yue & Li, Yiying & Dong, Kangyin & Ren, Xiaohang, 2022. "Dynamic linkages between economic policy uncertainty and the carbon futures market: Does Covid-19 pandemic matter?," Resources Policy, Elsevier, vol. 75(C).
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    65. Nassar S. Al-Nassar & Beljid Makram, 2022. "The COVID-19 Outbreak and Risk–Return Spillovers between Main and SME Stock Markets in the MENA Region," IJFS, MDPI, vol. 10(1), pages 1-28, January.
    66. Yousaf, Imran & Beljid, Makram & Chaibi, Anis & Ajlouni, Ahmed AL, 2022. "Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and Covid-19 pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
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    68. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2023. "The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments," International Review of Financial Analysis, Elsevier, vol. 89(C).
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    71. Seyed Alireza Athari & Dervis Kirikkaleli & Tomiwa Sunday Adebayo, 2023. "World pandemic uncertainty and German stock market: evidence from Markov regime-switching and Fourier based approaches," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 1923-1936, April.
    72. Bȩdowska-Sójka, Barbara & Kliber, Agata, 2022. "Impact of COVID-19 on sovereign risk: Latin America versus Asia," Finance Research Letters, Elsevier, vol. 47(PA).
    73. JEBABLI, Ikram & KOUAISSAH, Noureddine & AROURI, Mohamed, 2022. "Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis," Finance Research Letters, Elsevier, vol. 46(PA).
    74. Rahman, Md Lutfur & Al Mamun, Mohammed Abdullah, 2021. "How resilient are the Asia Pacific financial markets against a global pandemic?," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
    75. Managi, Shunsuke & Yousfi, Mohamed & Ben Zaied, Younes & Ben Mabrouk, Nejah & Ben Lahouel, Béchir, 2022. "Oil price, US stock market and the US business conditions in the era of COVID-19 pandemic outbreak," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 129-139.
    76. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    77. Ahmad, Wasim & Hernandez, Jose Arreola & Saini, Seema & Mishra, Ritesh Kumar, 2021. "The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?," Resources Policy, Elsevier, vol. 72(C).
    78. Huang, Jie & Cao, Yu & Zhong, Pengshu, 2022. "Searching for a safe haven to crude oil: Green bond or precious metals?," Finance Research Letters, Elsevier, vol. 50(C).
    79. Chatziantoniou, Ioannis & Gabauer, David & Gupta, Rangan, 2023. "Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach," Resources Policy, Elsevier, vol. 84(C).
    80. Ngo Thai Hung & Xuan Vinh Vo, 2023. "Multi-scale Features of Interdependence Between Oil Prices and Stock Prices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 475-504, September.
    81. Si Mohammed, Kamel & Tedeschi, Marco & Mallek, Sabrine & Tarczyńska-Łuniewska, Małgorzata & Zhang, Anqi, 2023. "Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash," Resources Policy, Elsevier, vol. 85(PA).
    82. Chen, Yu & Lin, Boqiang, 2022. "Quantifying the extreme spillovers on worldwide ESG leaders' equity," International Review of Financial Analysis, Elsevier, vol. 84(C).
    83. Arhan Sheth & Tulasi Sushra & Ameya Kshirsagar & Manan Shah, 2022. "Global Economic Impact in Stock and Commodity Markets during Covid-19 pandemic," Annals of Data Science, Springer, vol. 9(5), pages 889-907, October.
    84. Peng, Lijuan & Liang, Chao, 2023. "Sustainable development during the post-COVID-19 period: Role of crude oil," Resources Policy, Elsevier, vol. 85(PA).
    85. Niu, Zibo & Liu, Yuanyuan & Gao, Wang & Zhang, Hongwei, 2021. "The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China," Resources Policy, Elsevier, vol. 73(C).
    86. Akyildirim, Erdinc & Cepni, Oguzhan & Molnár, Peter & Uddin, Gazi Salah, 2022. "Connectedness of energy markets around the world during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 109(C).
    87. Chen, Ruoyu & Iqbal, Najaf & Irfan, Muhammad & Shahzad, Farrukh & Fareed, Zeeshan, 2022. "Does financial stress wreak havoc on banking, insurance, oil, and gold markets? New empirics from the extended joint connectedness of TVP-VAR model," Resources Policy, Elsevier, vol. 77(C).
    88. Zhu, Qi & Jin, Sisi & Huang, Yuxuan & Yan, Cheng & Chen, Chuanglian, 2022. "Oil price uncertainty and stock price informativeness: Evidence from investment-price sensitivity in China," International Review of Financial Analysis, Elsevier, vol. 84(C).
    89. Espinosa-Paredes, G. & Rodriguez, E. & Alvarez-Ramirez, J., 2022. "A singular value decomposition entropy approach to assess the impact of Covid-19 on the informational efficiency of the WTI crude oil market," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).
    90. Di, Michael & Xu, Ke, 2022. "COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover," Finance Research Letters, Elsevier, vol. 50(C).
    91. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
    92. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).
    93. Ali, Syed Riaz Mahmood & Mensi, Walid & Anik, Kaysul Islam & Rahman, Mishkatur & Kang, Sang Hoon, 2022. "The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 345-372.
    94. Koichiro Moriya & Akihiko Noda, 2023. "On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices," Papers 2305.05998, arXiv.org, revised Mar 2024.
    95. Zheng Shi & Dongmin Kong, 2021. "Oil Price-Stock Market Nexus During the COVID-19 Pandemic - Evidence From China," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-4.
    96. Huang, Jionghao & Chen, Baifan & Xu, Yushi & Xia, Xiaohua, 2023. "Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach," Finance Research Letters, Elsevier, vol. 53(C).
    97. Suthasinee Suwannapak & Surachai Chancharat, 2022. "Stock Market Volatility Response to COVID-19: Evidence from Thailand," JRFM, MDPI, vol. 15(12), pages 1-9, December.
    98. Chancharat, Surachai & Sinlapates, Parichat, 2023. "Dependences and dynamic spillovers across the crude oil and stock markets throughout the COVID-19 pandemic and Russia-Ukraine conflict: Evidence from the ASEAN+6," Finance Research Letters, Elsevier, vol. 57(C).

  12. Yang, Lu & Hamori, Shigeyuki, 2021. "Systemic risk and economic policy uncertainty: International evidence from the crude oil market," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 142-158.

    Cited by:

    1. Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh & BenSaïda, Ahmed & Hernandez, Jose Arreola & Kang, Sang Hoon, 2023. "Dependence and risk management of portfolios of metals and agricultural commodity futures," Resources Policy, Elsevier, vol. 82(C).
    2. Long, Shaobo & Zhang, Rui & Hao, Jing, 2022. "Asymmetric impact of Sino-US interest rate differentials and economic policy uncertainty ratio on RMB exchange rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    3. Yang, Lu & Hamori, Shigeyuki, 2023. "Modeling the global sovereign credit network under climate change," International Review of Financial Analysis, Elsevier, vol. 87(C).
    4. Alola, Andrew Adewale & Özkan, Oktay & Obekpa, Hephzibah Onyeje, 2023. "Examining the patterns of disaggregate energy security risk and crude oil price: the USA scenario over 1970–2040," Resources Policy, Elsevier, vol. 82(C).
    5. Huszár, Zsuzsa R. & Kotró, Balázs B. & Tan, Ruth S.K., 2023. "Dynamic volatility transfer in the European oil and gas industry," Energy Economics, Elsevier, vol. 127(PA).
    6. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    7. Pacelli, Vincenzo & Miglietta, Federica & Foglia, Matteo, 2022. "The extreme risk connectedness of the new financial system: European evidence," International Review of Financial Analysis, Elsevier, vol. 84(C).
    8. Charemza, Wojciech & Makarova, Svetlana & Rybiński, Krzysztof, 2022. "Economic uncertainty and natural language processing; The case of Russia," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 546-562.
    9. Chen, Zhenlong & Zheng, Changmei & Hao, Xiaozhen, 2022. "Volatility spillover effect between internet finance and banks," Journal of Business Research, Elsevier, vol. 141(C), pages 512-519.
    10. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
    11. Ren, Yinghua & Tan, Anqi & Zhu, Huiming & Zhao, Wanru, 2022. "Does economic policy uncertainty drive nonlinear risk spillover in the commodity futures market?," International Review of Financial Analysis, Elsevier, vol. 81(C).

  13. Chen, Wang & Zhang, Zhiwen & Hamori, Shigeyuki & Kinkyo, Takuji, 2021. "Not all bank systemic risks are alike: Deposit insurance and bank risk revisited," International Review of Financial Analysis, Elsevier, vol. 77(C).

    Cited by:

    1. Yunying Huang & Kenichiro Soyano, 2022. "Which Component of Deposit Drives Systemic Risk Volatility," Economic Analysis Letters, Anser Press, vol. 1(1), pages 1-7, September.

  14. Yang, Lu & Hamori, Shigeyuki, 2021. "The role of the carbon market in relation to the cryptocurrency market: Only diversification or more?," International Review of Financial Analysis, Elsevier, vol. 77(C).

    Cited by:

    1. Qin, Meng & Su, Chi-Wei & Lobonţ, Oana-Ramona & Umar, Muhammad, 2023. "Blockchain: A carbon-neutral facilitator or an environmental destroyer?," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 604-615.
    2. Podhorsky, Andrea, 2023. "Taxing bitcoin: Incentivizing the difficulty adjustment mechanism to reduce electricity usage," International Review of Financial Analysis, Elsevier, vol. 86(C).
    3. Qin, Meng & Zhang, Xiaojing & Li, Yameng & Badarcea, Roxana Maria, 2023. "Blockchain market and green finance: The enablers of carbon neutrality in China," Energy Economics, Elsevier, vol. 118(C).
    4. Daniel Guterding, 2023. "Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities," Risks, MDPI, vol. 11(5), pages 1-24, April.
    5. Pagnottoni, Paolo, 2023. "Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
    6. Wei Jiang & Yanyu Zhang, 2023. "Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1183-1203, September.
    7. Lee, Chi-Chuan & Yu, Chin-Hsien & Zhang, Jian, 2023. "Heterogeneous dependence among cryptocurrency, green bonds, and sustainable equity: New insights from Granger-causality in quantiles analysis," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 99-109.
    8. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    9. Ren, Yi-Shuai & Ma, Chao-Qun & Chen, Xun-Qi & Lei, Yu-Tian & Wang, Yi-Ran, 2023. "Sustainable finance and blockchain: A systematic review and research agenda," Research in International Business and Finance, Elsevier, vol. 64(C).
    10. Shiyi Wu & Rui Niu, 2024. "Development of carbon finance in China based on the hybrid MCDM method," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-11, December.
    11. Liu, Jiatong, 2023. "Time-frequency correlations and extreme spillover effects between carbon markets and NFTs: The roles of EPU and COVID-19," Finance Research Letters, Elsevier, vol. 54(C).
    12. Osman, Myriam Ben & Galariotis, Emilios & Guesmi, Khaled & Hamdi, Haykel & Naoui, Kamel, 2023. "Diversification in financial and crypto markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
    13. Abakah, Emmanuel Joel Aikins & Wali Ullah, GM & Adekoya, Oluwasegun B. & Osei Bonsu, Christiana & Abdullah, Mohammad, 2023. "Blockchain market and eco-friendly financial assets: Dynamic price correlation, connectedness and spillovers with portfolio implications," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 218-243.
    14. Ye, Wang & Wong, Wing-Keung & Arnone, Gioia & Nassani, Abdelmohsen A. & Haffar, Mohamed & Faiz, Muhammad Fauzinudin, 2023. "Crypto currency and green investment impact on global environment: A time series analysis," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 155-169.
    15. Sharif, Arshian & Brahim, Mariem & Dogan, Eyup & Tzeremes, Panayiotis, 2023. "Analysis of the spillover effects between green economy, clean and dirty cryptocurrencies," Energy Economics, Elsevier, vol. 120(C).
    16. Chi-Wei Su & Yuru Song & Hsu-Ling Chang & Weike Zhang & Meng Qin, 2023. "Could Cryptocurrency Policy Uncertainty Facilitate U.S. Carbon Neutrality?," Sustainability, MDPI, vol. 15(9), pages 1-15, May.
    17. Pham, Linh & Karim, Sitara & Naeem, Muhammad Abubakr & Long, Cheng, 2022. "A tale of two tails among carbon prices, green and non-green cryptocurrencies," International Review of Financial Analysis, Elsevier, vol. 82(C).
    18. Beibei Hu & Yunhe Cheng, 2023. "Prediction of Regional Carbon Price in China Based on Secondary Decomposition and Nonlinear Error Correction," Energies, MDPI, vol. 16(11), pages 1-22, May.

  15. Rio Murata & Shigeyuki Hamori, 2021. "ESG Disclosures and Stock Price Crash Risk," JRFM, MDPI, vol. 14(2), pages 1-20, February.

    Cited by:

    1. Liu, Lian & Nemoto, Naoko & Lu, Changrong, 2023. "The Effect of ESG performance on the stock market during the COVID-19 Pandemic — Evidence from Japan," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 702-712.
    2. Hiroaki Kambe & Masatoshi Tamamura, 2022. "Effects of firm-level ESG performance on creditworthiness in Japanese listed companies," International Journal of Economic Policy Studies, Springer, vol. 16(2), pages 465-489, August.
    3. Fiordelisi, Franco & Ricci, Ornella & Santilli, Gianluca, 2023. "Environmental engagement and stock price crash risk: Evidence from the European banking industry," International Review of Financial Analysis, Elsevier, vol. 88(C).
    4. Lai, Xiaobing & Zhang, Fan, 2022. "Can ESG certification help company get out of over-indebtedness? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    5. Cao Thi Mien Thuy & Trinh Quoc Trung & Nguyen Vinh Khuong & Nguyen Thanh Liem, 2021. "From Corporate Social Responsibility to Stock Price Crash Risk: Modelling the Mediating Role of Firm Performance in an Emerging Market," Sustainability, MDPI, vol. 13(22), pages 1-17, November.
    6. Miriam Sosa & Edgar Ortiz & Alejandra Cabello, 2022. "ESG Green Equity Finance Risk and Links in Mexico: Conditional Volatility and Markov Switching Vector Analyses," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(4), pages 1-21, Octubre -.

  16. Xu, Lei. & Hamori, Shigeyuki & Kinkyo, Takuji, 2021. "Continuous wavelet analysis of Chinese renminbi: Co-movement and lead-lag relationship between onshore and offshore exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).

    Cited by:

    1. Hu, Genhua & Wang, Xiangjin & Qiu, Hong, 2023. "Analyzing a dynamic relation between RMB exchange rate onshore and offshore during the extreme market conditions," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 408-417.
    2. Liang Wang & Xianyan Xiong & Ziqiu Cao, 2023. "Time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-14, December.
    3. Zhu, Huimin & Xiao, Xinping & Kang, Yuxiao & Kong, Dekai, 2022. "Lead-lag grey forecasting model in the new community group buying retailing," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
    4. Tian, Shuairu & Gao, Xiang & Cai, Xiaojing, 2023. "The interactive CNY-CNH relationship: A wavelet analysis," Journal of International Money and Finance, Elsevier, vol. 133(C).
    5. Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).

  17. Guizhou Liu & Shigeyuki Hamori, 2020. "Can One Reinforce Investments in Renewable Energy Stock Indices with the ESG Index?," Energies, MDPI, vol. 13(5), pages 1-19, March.

    Cited by:

    1. Dumiter Florin Cornel & Turcaș Florin Marius & Boiţă Marius, 2023. "Oil Shock Impact Upon Energy Companies Investment Portfolios. Trends and Evolutions in the Energy Consumption Sector," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 33(1), pages 1-27, March.
    2. Mantas Svazas & Yuriy Bilan & Valentinas Navickas & Małgorzata Okręglicka, 2023. "Energy Transformation in Municipal Areas—Key Datasets and Their Influence on Process Evaluation," Energies, MDPI, vol. 16(17), pages 1-20, August.
    3. Talat S. Genc & Stephen Kosempel, 2023. "Energy Transition and the Economy: A Review Article," Energies, MDPI, vol. 16(7), pages 1-26, March.
    4. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    5. Ahmad, Wasim & Hernandez, Jose Arreola & Saini, Seema & Mishra, Ritesh Kumar, 2021. "The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?," Resources Policy, Elsevier, vol. 72(C).
    6. Jekaterina Kuzmina & Dzintra Atstaja & Maris Purvins & Guram Baakashvili & Vakhtang Chkareuli, 2023. "In Search of Sustainability and Financial Returns: The Case of ESG Energy Funds," Sustainability, MDPI, vol. 15(3), pages 1-16, February.
    7. Zoltán Csedő & József Magyari & Máté Zavarkó, 2022. "Dynamic Corporate Governance, Innovation, and Sustainability: Post-COVID Period," Sustainability, MDPI, vol. 14(6), pages 1-21, March.
    8. Lu, Xunfa & Huang, Nan & Mo, Jianlei & Ye, Zhitao, 2023. "Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 125(C).

  18. Yijin He & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Can Brics’S Currency Be A Hedge Or A Safe Haven For Energy Portfolio? An Evidence From Vine Copula Approach," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(04), pages 805-836, June.

    Cited by:

    1. Dejan Živkov & Boris Kuzman & Jonel Subić, 2022. "Measuring the risk-adjusted performance of selected soft agricultural commodities," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 68(3), pages 87-96.
    2. Jin Shang & Shigeyuki Hamori, 2023. "Differential Tail Dependence between Crude Oil and Forex Markets in Oil-Importing and Oil-Exporting Countries during Recent Crisis Periods," Sustainability, MDPI, vol. 15(19), pages 1-24, October.

  19. Youngho Chang & Zheng Fang & Shigeyuki Hamori, 2020. "Human Capital And Energy: A Driver Or Drag For Economic Growth," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(03), pages 683-714, June.

    Cited by:

    1. Shahbaz, Muhammad & Song, Malin & Ahmad, Shabbir & Vo, Xuan Vinh, 2021. "Does Economic Growth Stimulate Energy Consumption? The Role of Human Capital and R&D Expenditures in China," MPRA Paper 110352, University Library of Munich, Germany, revised 22 Oct 2021.
    2. Zheng Fang & Jiang Yu, 2020. "The role of human capital in energy-growth nexus: an international evidence," Empirical Economics, Springer, vol. 58(3), pages 1225-1247, March.

  20. Wang Chen & Shigeyuki Hamori & Takuji Kinkyo, 2020. "Dynamic effects of financial spillovers on bank lending: evidence from local projection-based impulse response analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 27(5), pages 400-405, March.

    Cited by:

    1. Helmut Franken & Alejandro Jara, 2023. "Monetary Policy Tightening and Bank Lending Standards: Evidence from the Chilean Bank Loan Survey," Working Papers Central Bank of Chile 996, Central Bank of Chile.

  21. Xiao Jing Cai & Zheng Fang & Youngho Chang & Shuairu Tian & Shigeyuki Hamori, 2020. "Co-movements in commodity markets and implications in diversification benefits," Empirical Economics, Springer, vol. 58(2), pages 393-425, February.

    Cited by:

    1. Rubbaniy, Ghulame & Khalid, Ali Awais & Syriopoulos, Konstantinos & Samitas, Aristeidis, 2022. "Safe-haven properties of soft commodities during times of Covid-19," Journal of Commodity Markets, Elsevier, vol. 27(C).
    2. Muhammad Azmat Hayat & Huma Ghulam & Maryam Batool & Muhammad Zahid Naeem & Abdullah Ejaz & Cristi Spulbar & Ramona Birau, 2021. "Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach," JRFM, MDPI, vol. 14(6), pages 1-22, June.
    3. Yıldırım, Durmuş Çağrı & Cevik, Emrah Ismail & Esen, Ömer, 2020. "Time-varying volatility spillovers between oil prices and precious metal prices," Resources Policy, Elsevier, vol. 68(C).
    4. Naqvi, Bushra & Rizvi, Syed Kumail Abbas & Hasnaoui, Amir & Shao, Xuefeng, 2022. "Going beyond sustainability: The diversification benefits of green energy financial products," Energy Economics, Elsevier, vol. 111(C).
    5. Zhu, Huiming & Meng, Liang & Ge, Yajing & Hau, Liya, 2020. "Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    6. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
    7. Galán-Gutiérrez, Juan Antonio & Labeaga, José M. & Martín-García, Rodrigo, 2023. "Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle," Resources Policy, Elsevier, vol. 81(C).
    8. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2021. "How do Artificial Intelligence and Robotics Stocks co-move with traditional and alternative assets in the age of the 4th industrial revolution? Implications and Insights for the COVID-19 period," Technological Forecasting and Social Change, Elsevier, vol. 171(C).
    9. Gagnon, Marie-Hélène & Manseau, Guillaume & Power, Gabriel J., 2020. "They're back! Post-financialization diversification benefits of commodities," International Review of Financial Analysis, Elsevier, vol. 71(C).
    10. Ngo Thai Hung, 2022. "Time–frequency nexus between globalization, financial development, natural resources and carbon emissions in Vietnam," Economic Change and Restructuring, Springer, vol. 55(4), pages 2293-2315, November.

  22. Shigeyuki Hamori, 2020. "Empirical Finance," JRFM, MDPI, vol. 13(1), pages 1-3, January.

    Cited by:

    1. Chen, Guifu & Hamori, Shigeyuki, 2009. "Energy prices and China’s international competitiveness," MPRA Paper 18827, University Library of Munich, Germany.
    2. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2016. "The Chinese Stock Market Does not React to the Japanese Market: Using Intraday Data to Analyse Return and Volatility Spillover Effects," The Japanese Economic Review, Springer, vol. 67(3), pages 280-294, September.
    3. Yutaka Kurihara, 2016. "Deterministic Elements of Japanese Stock Prices under Low Interest Rates," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 4(2), pages 24-30, April.
    4. Yuki Toyoshima, 2018. "Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-10, April.
    5. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2012. "Return and Volatility Spillovers between Japanese and Chinese Stock Markets FAn Analysis of Overlapping Trading Hours with High-frequency Data," Discussion Papers in Economics and Business 12-01, Osaka University, Graduate School of Economics.
    6. Javed Pervaiz & Teng Jian-Zhou & Junaid Masih, 2018. "Long Run Relationship between Selected Macroeconomic Indicators and Banking Sector in Pakistan," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(2), pages 67-81, February.

  23. Yang, Lu & Yang, Lei & Ho, Kung-Cheng & Hamori, Shigeyuki, 2020. "Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach," Journal of Asian Economics, Elsevier, vol. 68(C).

    Cited by:

    1. Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh & BenSaïda, Ahmed & Hernandez, Jose Arreola & Kang, Sang Hoon, 2023. "Dependence and risk management of portfolios of metals and agricultural commodity futures," Resources Policy, Elsevier, vol. 82(C).
    2. Ibhagui, Oyakhilome, 2021. "How do sovereign risk, equity and foreign exchange derivatives markets interact?," Economic Modelling, Elsevier, vol. 97(C), pages 58-78.
    3. Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
    4. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    5. Lu Yang & Shigeyuki Hamori, 2020. "Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach," Energies, MDPI, vol. 13(14), pages 1-27, July.
    6. Yunsong Xu & Hanying Qi & Jiaqi Li & Ning Ding, 2021. "The Risk Spillover Effects of the Real Estate Industry on the Financial Industry: A GARCH-Time-Varying-Copula-CoVaR Approach on China," SAGE Open, , vol. 11(4), pages 21582440211, December.
    7. Yao, Can-Zhong & Li, Min-Jian, 2023. "GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    8. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    9. Zhu, Pengfei & Tang, Yong & Wei, Yu & Lu, Tuantuan, 2021. "Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic," Energy, Elsevier, vol. 231(C).
    10. Jieqiong Wang & Shichao Hu & Ziyi Zhang, 2023. "Does Environmental Regulation Promote Eco-Innovation Performance of Manufacturing Firms?—Empirical Evidence from China," Energies, MDPI, vol. 16(6), pages 1-18, March.
    11. Tonmoy Choudhury & Simone Scagnelli & Jaime Yong & Zhaoyong Zhang, 2021. "Non-Traditional Systemic Risk Contagion within the Chinese Banking Industry," Sustainability, MDPI, vol. 13(14), pages 1-16, July.

  24. Xiaojing Cai & Shigeyuki Hamori & Lu Yang & Shuairu Tian, 2020. "Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management," Energies, MDPI, vol. 13(2), pages 1-24, January.

    Cited by:

    1. Muhammad Hanif, 2020. "Relationship between Oil and Stock Markets: Evidence from Pakistan Stock Exchange," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 150-157.
    2. Alao, Rasheed O. & Payaslioglu, Cem, 2021. "Oil price uncertainty and industrial production in oil-exporting countries," Resources Policy, Elsevier, vol. 70(C).
    3. Zhu, Huiming & Meng, Liang & Ge, Yajing & Hau, Liya, 2020. "Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    4. Ngo Thai HUNG, 2020. "Conditional dependence between oil prices and CEE stock markets: a copula-GARCH approach Abstract: This study investigates both the constant and time-varying conditional dependency between crude oil a," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 11, pages 62-86, June.
    5. Ngo Thai Hung & Xuan Vinh Vo, 2023. "Multi-scale Features of Interdependence Between Oil Prices and Stock Prices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 475-504, September.
    6. Zhu, Huiming & Yu, Dongwei & Hau, Liya & Wu, Hao & Ye, Fangyu, 2022. "Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    7. Rasheed O. Alao & Abdulkareem Alhassan & Saheed Alao & Ifedolapo O. Olanipekun & Godwin O. Olasehinde-Williams & Ojonugwa Usman, 2023. "Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7," Letters in Spatial and Resource Sciences, Springer, vol. 16(1), pages 1-14, December.
    8. Jieqiong Wang & Shichao Hu & Ziyi Zhang, 2023. "Does Environmental Regulation Promote Eco-Innovation Performance of Manufacturing Firms?—Empirical Evidence from China," Energies, MDPI, vol. 16(6), pages 1-18, March.

  25. Hamori, Shigeyuki & Motegi, Kaiji & Zhang, Zheng, 2020. "Copula-based regression models with data missing at random," Journal of Multivariate Analysis, Elsevier, vol. 180(C).

    Cited by:

    1. Nsikak Mitchel Offiong & Fayyaz Ali Memon & Yulei Wu, 2023. "Time Series Data Preparation for Failure Prediction in Smart Water Taps (SWT)," Sustainability, MDPI, vol. 15(7), pages 1-15, March.
    2. Boulin, Alexis & Di Bernardino, Elena & Laloë, Thomas & Toulemonde, Gwladys, 2022. "Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework," Journal of Multivariate Analysis, Elsevier, vol. 192(C).

  26. Zhang, Yulian & He, Xie & Nakajima, Tadahiro & Hamori, Shigeyuki, 2020. "Oil, Gas, or Financial Conditions-Which One Has a Stronger Link with Growth?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).

    Cited by:

    1. Kai Shi, 2021. "Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic," JRFM, MDPI, vol. 14(3), pages 1-37, March.
    2. Tiantian Liu & Shigeyuki Hamori, 2021. "Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach," Energies, MDPI, vol. 14(12), pages 1-21, June.
    3. He, Xie & Hamori, Shigeyuki, 2021. "Is volatility spillover enough for investor decisions? A new viewpoint from higher moments," Journal of International Money and Finance, Elsevier, vol. 116(C).
    4. Zhang, Wenting & Hamori, Shigeyuki, 2021. "Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany," International Review of Financial Analysis, Elsevier, vol. 74(C).
    5. Zhang, Li & Wang, Lu & Wang, Xunxiao & Zhang, Yaojie & Pan, Zhigang, 2022. "How macro-variables drive crude oil volatility? Perspective from the STL-based iterated combination method," Resources Policy, Elsevier, vol. 77(C).
    6. Ahmad, Wasim & Hernandez, Jose Arreola & Saini, Seema & Mishra, Ritesh Kumar, 2021. "The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?," Resources Policy, Elsevier, vol. 72(C).
    7. Zhang, Yulian & Hamori, Shigeyuki, 2022. "A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 182-203.
    8. Zhang, Yulian & Hamori, Shigeyuki, 2021. "Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 145-162.

  27. Jin Shang & Shigeyuki Hamori, 2020. "The Response of US Macroeconomic Aggregates to Price Shocks in Crude Oil vs. Natural Gas," Energies, MDPI, vol. 13(10), pages 1-17, May.

    Cited by:

    1. Olusola Joshua Olujobi & Elizabeta Smaranda Olarinde & Tunde Ebenezer Yebisi & Uchechukwu Emena Okorie, 2022. "COVID-19 Pandemic: The Impacts of Crude Oil Price Shock on Nigeria’s Economy, Legal and Policy Options," Sustainability, MDPI, vol. 14(18), pages 1-20, September.
    2. Zhaoyong Sun & Xinyu Cai & Wei-Chiao Huang, 2022. "The Impact of Oil Price Fluctuations on Consumption, Output, and Investment in China’s Industrial Sectors," Energies, MDPI, vol. 15(9), pages 1-19, May.

  28. Yuchen Zhang & Shigeyuki Hamori, 2020. "The Predictability of the Exchange Rate When Combining Machine Learning and Fundamental Models," JRFM, MDPI, vol. 13(3), pages 1-16, March.

    Cited by:

    1. Zhaoyi Xu & Yuqing Zeng & Yangrong Xue & Shenggang Yang, 2022. "Early Warning of Chinese Yuan’s Exchange Rate Fluctuation and Value at Risk Measure Using Neural Network Joint Optimization Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1293-1315, December.
    2. Joseph Agyapong, 2021. "Application of Taylor Rule Fundamentals in Forecasting Exchange Rates," Economies, MDPI, vol. 9(2), pages 1-27, June.
    3. Jiayang Yu & Kuo-Chu Chang, 2020. "Neural Network Predictive Modeling on Dynamic Portfolio Management—A Simulation-Based Portfolio Optimization Approach," JRFM, MDPI, vol. 13(11), pages 1-23, November.
    4. de Souza Vasconcelos, Camila & Hadad Júnior, Eli, 2023. "Forecasting exchange rate: A bibliometric and content analysis," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 607-628.
    5. Mei-Li Shen & Cheng-Feng Lee & Hsiou-Hsiang Liu & Po-Yin Chang & Cheng-Hong Yang, 2021. "An Effective Hybrid Approach for Forecasting Currency Exchange Rates," Sustainability, MDPI, vol. 13(5), pages 1-29, March.
    6. Thomas E. Koker & Dimitrios Koutmos, 2020. "Cryptocurrency Trading Using Machine Learning," JRFM, MDPI, vol. 13(8), pages 1-7, August.

  29. Kaiji Motegi & Xiaojing Cai & Shigeyuki Hamori & Haifeng Xu, 2020. "Moving average threshold heterogeneous autoregressive (MAT‐HAR) models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1035-1042, November.

    Cited by:

    1. Ridha Nouira & Sami Saafi, 2022. "What Drives the Relationship Between Export Upgrading and Growth? The Role of Human Capital, Institutional Quality, and Economic Development," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(3), pages 1944-1961, September.

  30. Tiantian Liu & Xie He & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe," Energies, MDPI, vol. 13(8), pages 1-20, April.

    Cited by:

    1. Hasan, Mudassar & Arif, Muhammad & Naeem, Muhammad Abubakr & Ngo, Quang-Thanh & Taghizadeh–Hesary, Farhad, 2021. "Time-frequency connectedness between Asian electricity sectors," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 208-224.
    2. Tiantian Liu & Shigeyuki Hamori, 2021. "Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach," Energies, MDPI, vol. 14(12), pages 1-21, June.
    3. He, Xie & Hamori, Shigeyuki, 2021. "Is volatility spillover enough for investor decisions? A new viewpoint from higher moments," Journal of International Money and Finance, Elsevier, vol. 116(C).
    4. Naeem, Muhammad Abubakr & Arfaoui, Nadia, 2023. "Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises," Energy Economics, Elsevier, vol. 127(PB).
    5. Tiantian Liu & Shigeyuki Hamori, 2020. "Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?," Energies, MDPI, vol. 13(12), pages 1-28, June.
    6. Guannan Wang & Juan Meng & Bin Mo, 2023. "Dynamic Volatility Spillover Effects and Portfolio Strategies among Crude Oil, Gold, and Chinese Electricity Companies," Mathematics, MDPI, vol. 11(4), pages 1-25, February.
    7. Ahmad, Wasim & Hernandez, Jose Arreola & Saini, Seema & Mishra, Ritesh Kumar, 2021. "The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?," Resources Policy, Elsevier, vol. 72(C).
    8. Tiantian Liu & Tadahiro Nakajima & Shigeyuki Hamori, 2022. "The impact of economic uncertainty caused by COVID-19 on renewable energy stocks," Empirical Economics, Springer, vol. 62(4), pages 1495-1515, April.
    9. Coskun, Merve & Taspinar, Nigar, 2022. "Volatility spillovers between Turkish energy stocks and fossil fuel energy commodities based on time and frequency domain approaches," Resources Policy, Elsevier, vol. 79(C).

  31. Wenting Zhang & Xie He & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe," Energies, MDPI, vol. 13(3), pages 1-26, February.

    Cited by:

    1. Tadahiro Nakajima & Yuki Toyoshima, 2020. "Examination of the Spillover Effects among Natural Gas and Wholesale Electricity Markets Using Their Futures with Different Maturities and Spot Prices," Energies, MDPI, vol. 13(7), pages 1-14, March.
    2. Ahmed A. Elamer & Bassam A. Elbialy & Kholoud A. Alsaab & Mohamed A. Khashan, 2022. "The Impact of COVID-19 on the Relationship between Non-Renewable Energy and Saudi Stock Market Sectors Using Wavelet Coherence Approach and Neural Networks," Sustainability, MDPI, vol. 14(21), pages 1-24, November.
    3. Bigerna, Simona & Bollino, Carlo Andrea & Polinori, Paolo, 2021. "Oil import portfolio risk and spillover volatility," Resources Policy, Elsevier, vol. 70(C).
    4. Karkowska, Renata & Urjasz, Szczepan, 2021. "Connectedness structures of sovereign bond markets in Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 74(C).
    5. He, Xie & Hamori, Shigeyuki, 2021. "Is volatility spillover enough for investor decisions? A new viewpoint from higher moments," Journal of International Money and Finance, Elsevier, vol. 116(C).
    6. Zhang, Wenting & Hamori, Shigeyuki, 2021. "Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany," International Review of Financial Analysis, Elsevier, vol. 74(C).
    7. Shahzad, Syed Jawad Hussain & Naeem, Muhammad Abubakr & Peng, Zhe & Bouri, Elie, 2021. "Asymmetric volatility spillover among Chinese sectors during COVID-19," International Review of Financial Analysis, Elsevier, vol. 75(C).
    8. Guannan Wang & Juan Meng & Bin Mo, 2023. "Dynamic Volatility Spillover Effects and Portfolio Strategies among Crude Oil, Gold, and Chinese Electricity Companies," Mathematics, MDPI, vol. 11(4), pages 1-25, February.
    9. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2023. "The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments," International Review of Financial Analysis, Elsevier, vol. 89(C).
    10. Huszár, Zsuzsa R. & Kotró, Balázs B. & Tan, Ruth S.K., 2023. "Dynamic volatility transfer in the European oil and gas industry," Energy Economics, Elsevier, vol. 127(PA).
    11. Coskun, Merve & Taspinar, Nigar, 2022. "Volatility spillovers between Turkish energy stocks and fossil fuel energy commodities based on time and frequency domain approaches," Resources Policy, Elsevier, vol. 79(C).
    12. Zhang, Yulian & Hamori, Shigeyuki, 2021. "Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 145-162.
    13. Thobekile Qabhobho & Anokye M. Adam & Anthony Adu-Asare Idun & Emmanuel Asafo-Adjei & Ebenezer Boateng, 2023. "Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 272-283, March.

  32. Xue-Feng Shao & Kostas Gouliamos & Ben Nan-Feng Luo & Shigeyuki Hamori & Stephen Satchell & Xiao-Guang Yue & Jane Qiu, 2020. "Diversification and Desynchronicity: An Organizational Portfolio Perspective on Corporate Risk Reduction," Risks, MDPI, vol. 8(2), pages 1-16, May.

    Cited by:

    1. Xiao-Guang Yue & Yan Han & Deimante Teresiene & Justina Merkyte & Wei Liu, 2020. "Sustainable Funds’ Performance Evaluation," Sustainability, MDPI, vol. 12(19), pages 1-20, September.
    2. Moses Waiganjo & Danijela Godinic & Bojan Obrenovic, 2021. "Strategic Planning and Sustainable Innovation During the COVID-19 Pandemic: A Literature Review," International Journal of Innovation and Economic Development, Inovatus Services Ltd., vol. 7(5), pages 52-59, December.
    3. Asad H. Aburumman, 2020. "The concept of global governance in tourism franchises: a case study of TUI group," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(2), pages 1321-1339, December.
    4. Ruihui Pu & Deimante Teresiene & Ina Pieczulis & Jie Kong & Xiao-Guang Yue, 2021. "The Interaction between Banking Sector and Financial Technology Companies: Qualitative Assessment—A Case of Lithuania," Risks, MDPI, vol. 9(1), pages 1-22, January.

  33. Xie He & Tetsuya Takiguchi & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Spillover effects between energies, gold, and stock: the United States versus China," Energy & Environment, , vol. 31(8), pages 1416-1447, December.

    Cited by:

    1. Guo, Yawei & Li, Jianping & Li, Yehua & You, Wanhai, 2021. "The roles of political risk and crude oil in stock market based on quantile cointegration approach: A comparative study in China and US," Energy Economics, Elsevier, vol. 97(C).
    2. Nicoleta BARBUTA-MISU & Teodor HADA & Iulia Cristina IUGA & Dorin WAINBERG, 2023. "Do Methane Gas Prices Interact with Stock Indices?," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 90-100.
    3. Elgammal, Mohammed M. & Ahmed, Walid M.A. & Alshami, Abdullah, 2021. "Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 74(C).
    4. Mensi, Walid & Shafiullah, Muhammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies," Resources Policy, Elsevier, vol. 71(C).
    5. Wang, Zi-Xin & Liu, Bing-Yue & Fan, Ying, 2023. "Network connectedness between China's crude oil futures and sector stock indices," Energy Economics, Elsevier, vol. 125(C).
    6. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Alomari, Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis," Resources Policy, Elsevier, vol. 79(C).
    7. Cui, Jinxin & Goh, Mark & Zou, Huiwen, 2021. "Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets," Energy, Elsevier, vol. 225(C).
    8. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    9. He, Xie & Hamori, Shigeyuki, 2021. "Is volatility spillover enough for investor decisions? A new viewpoint from higher moments," Journal of International Money and Finance, Elsevier, vol. 116(C).
    10. Ioannis Katsampoxakis & Apostolos Christopoulos & Petros Kalantonis & Vasileios Nastas, 2022. "Crude Oil Price Shocks and European Stock Markets during the COVID-19 Period," Energies, MDPI, vol. 15(11), pages 1-14, June.
    11. Tihana Škrinjarić, 2022. "Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets," Mathematics, MDPI, vol. 10(24), pages 1-34, December.
    12. Tiantian Liu & Shigeyuki Hamori, 2020. "Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?," Energies, MDPI, vol. 13(12), pages 1-28, June.
    13. Qi, Haozhi & Ma, Lijun & Peng, Pin & Chen, Hao & Li, Kang, 2022. "Dynamic connectedness between clean energy stock markets and energy commodity markets during times of COVID-19: Empirical evidence from China," Resources Policy, Elsevier, vol. 79(C).
    14. Tiantian Liu & Tadahiro Nakajima & Shigeyuki Hamori, 2022. "The impact of economic uncertainty caused by COVID-19 on renewable energy stocks," Empirical Economics, Springer, vol. 62(4), pages 1495-1515, April.

  34. Guifu Chen & Shan Zhan & Shigeyuki Hamori, 2020. "The Influence of Quality and Variety of New Imports on Enterprise Innovation: Evidence from China," Sustainability, MDPI, vol. 12(22), pages 1-20, November.

    Cited by:

    1. Kexuan Zhou & Sanjay Kumar & Futao Lu & Qiaoyun Fang & Linhui Yu, 2022. "Has the Belt and Road Initiative Improved the Quality of Food Imported by Chinese Enterprises?," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 30(2), pages 60-83, March.

  35. Yulian Zhang & Shigeyuki Hamori, 2020. "Forecasting Crude Oil Market Crashes Using Machine Learning Technologies," Energies, MDPI, vol. 13(10), pages 1-14, May.

    Cited by:

    1. S. Boubaker & Liu, Z. & Zhan, Y., 2021. "Risk management for crude oil futures: an optimal stopping-timing approach," Post-Print hal-03323674, HAL.
    2. Zhang, Yaojie & Wahab, M.I.M. & Wang, Yudong, 2023. "Forecasting crude oil market volatility using variable selection and common factor," International Journal of Forecasting, Elsevier, vol. 39(1), pages 486-502.
    3. Lu, Xinjie & Ma, Feng & Xu, Jin & Zhang, Zehui, 2022. "Oil futures volatility predictability: New evidence based on machine learning models11All the authors contribute to the paper equally," International Review of Financial Analysis, Elsevier, vol. 83(C).
    4. Antulov-Fantulin, Nino & Lagravinese, Raffaele & Resce, Giuliano, 2021. "Predicting bankruptcy of local government: A machine learning approach," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 681-699.

  36. Tiantian Liu & Shigeyuki Hamori, 2020. "Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?," Energies, MDPI, vol. 13(12), pages 1-28, June.

    Cited by:

    1. Zhang, Yingying & Xu, Shaojun, 2023. "Spillover connectedness between oil and China's industry stock markets: A perspective of carbon emissions," Finance Research Letters, Elsevier, vol. 54(C).
    2. Naeem, Muhammad Abubakr & Karim, Sitara & Tiwari, Aviral Kumar, 2022. "Quantifying systemic risk in US industries using neural network quantile regression," Research in International Business and Finance, Elsevier, vol. 61(C).
    3. Caporale, Guglielmo Maria & Spagnolo, Nicola & Almajali, Awon, 2023. "Connectedness between fossil and renewable energy stock indices: The impact of the COP policies," Economic Modelling, Elsevier, vol. 123(C).
    4. Kai Shi, 2021. "Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic," JRFM, MDPI, vol. 14(3), pages 1-37, March.
    5. Ruiz, Jesús & Guinea, Laurentiu & Puch, Luis A., 2023. "Energy News Shocks and their Propagation to Renewable and Fossil Fuels Use," UC3M Working papers. Economics 37355, Universidad Carlos III de Madrid. Departamento de Economía.
    6. Ahmed, Walid M.A. & Sleem, Mohamed A.E., 2023. "Short- and long-run determinants of the price behavior of US clean energy stocks: A dynamic ARDL simulations approach," Energy Economics, Elsevier, vol. 124(C).
    7. Tiantian Liu & Shigeyuki Hamori, 2021. "Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach," Energies, MDPI, vol. 14(12), pages 1-21, June.
    8. Dutta, Anupam & Bouri, Elie & Saeed, Tareq & Vo, Xuan Vinh, 2020. "Impact of energy sector volatility on clean energy assets," Energy, Elsevier, vol. 212(C).
    9. Zhang, Wenting & Hamori, Shigeyuki, 2021. "Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany," International Review of Financial Analysis, Elsevier, vol. 74(C).
    10. Shahzad, Syed Jawad Hussain & Naeem, Muhammad Abubakr & Peng, Zhe & Bouri, Elie, 2021. "Asymmetric volatility spillover among Chinese sectors during COVID-19," International Review of Financial Analysis, Elsevier, vol. 75(C).
    11. Zhou, Wei & Chen, Yan & Chen, Jin, 2022. "Risk spread in multiple energy markets: Extreme volatility spillover network analysis before and during the COVID-19 pandemic," Energy, Elsevier, vol. 256(C).
    12. Mukhriz Izraf Azman Aziz & Norzalina Ahmad & Jin Zichu & Safwan Mohd Nor, 2022. "The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies," Mathematics, MDPI, vol. 10(9), pages 1-22, April.
    13. K. Abhaya Kumar & Prakash Pinto & Iqbal Thonse Hawaldar & Saheem Shaikh & Shravan Bhagav & B. Padmanabha, 2022. "Investigating the Nexus between Crude Oil Price and Stock Prices of Oil Exploration Companies," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 40-47, July.
    14. Talat S. Genc & Stephen Kosempel, 2023. "Energy Transition and the Economy: A Review Article," Energies, MDPI, vol. 16(7), pages 1-26, March.
    15. Ahmad, Wasim & Hernandez, Jose Arreola & Saini, Seema & Mishra, Ritesh Kumar, 2021. "The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?," Resources Policy, Elsevier, vol. 72(C).
    16. Tiantian Liu & Tadahiro Nakajima & Shigeyuki Hamori, 2022. "The impact of economic uncertainty caused by COVID-19 on renewable energy stocks," Empirical Economics, Springer, vol. 62(4), pages 1495-1515, April.
    17. Coskun, Merve & Taspinar, Nigar, 2022. "Volatility spillovers between Turkish energy stocks and fossil fuel energy commodities based on time and frequency domain approaches," Resources Policy, Elsevier, vol. 79(C).
    18. Çelik, İsmail & Sak, Ahmet Furkan & Höl, Arife Özdemir & Vergili, Gizem, 2022. "The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    19. Cynthia Sari DEWI & Florentina KURNIASARI & Helena DEWI & Eko ENDARTO & Nurhuda NIZAR, 2021. "Return Spillover Between The U.S., Japanese, And Indonesian Stock Market During Covid-19," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 11(5), pages 196-207, October.
    20. Guglielmo Maria Caporale & Nicola Spagnolo & Awon Almajali, 2022. "Fossil and Renewable Energy Stock Indices: Connectedness and the COP Meetings," CESifo Working Paper Series 9824, CESifo.

  37. Lu Yang & Shigeyuki Hamori, 2020. "Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach," Energies, MDPI, vol. 13(14), pages 1-27, July.

    Cited by:

    1. Yanqiong Liu & Zhenghui Li & Yanyan Yao & Hao Dong, 2021. "Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil," Energies, MDPI, vol. 14(13), pages 1-22, July.
    2. Alkathery, Mohammed A. & Chaudhuri, Kausik & Nasir, Muhammad Ali, 2022. "Implications of clean energy, oil and emissions pricing for the GCC energy sector stock," Energy Economics, Elsevier, vol. 112(C).
    3. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
    4. Michał Woźniak & Marcin Chlebus, 2021. "HCR & HCR-GARCH – novel statistical learning models for Value at Risk estimation," Working Papers 2021-10, Faculty of Economic Sciences, University of Warsaw.

  38. Wenting Zhang & Shigeyuki Hamori, 2020. "Do Machine Learning Techniques and Dynamic Methods Help Forecast US Natural Gas Crises?," Energies, MDPI, vol. 13(9), pages 1-22, May.

    Cited by:

    1. Dimitrios Mouchtaris & Emmanouil Sofianos & Periklis Gogas & Theophilos Papadimitriou, 2021. "Forecasting Natural Gas Spot Prices with Machine Learning," Energies, MDPI, vol. 14(18), pages 1-13, September.
    2. Antulov-Fantulin, Nino & Lagravinese, Raffaele & Resce, Giuliano, 2021. "Predicting bankruptcy of local government: A machine learning approach," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 681-699.

  39. Lu Yang & Lei Yang & Kung-Cheng Ho & Shigeyuki Hamori, 2019. "Determinants of the Long-Term Correlation between Crude Oil and Stock Markets," Energies, MDPI, vol. 12(21), pages 1-15, October.

    Cited by:

    1. Vincenzo Candila & Denis Maximov & Alexey Mikhaylov & Nikita Moiseev & Tomonobu Senjyu & Nicole Tryndina, 2021. "On the Relationship between Oil and Exchange Rates of Oil-Exporting and Oil-Importing Countries: From the Great Recession Period to the COVID-19 Era," Energies, MDPI, vol. 14(23), pages 1-18, December.
    2. Wang, Xiong & Li, Jingyao & Ren, Xiaohang & Bu, Ruijun & Jawadi, Fredj, 2023. "Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions," Energy Economics, Elsevier, vol. 117(C).
    3. Balli, Faruk & O Balli, Hatice & Nguyen, Thi Thu Ha, 2023. "Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?," Journal of Commodity Markets, Elsevier, vol. 31(C).
    4. Karol Szafranek & Marek Kwas & Grzegorz Szafrański & Zuzanna Wośko, 2020. "Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach," Energies, MDPI, vol. 13(23), pages 1-23, November.
    5. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
    6. Tao, Chen & Zhong, Guang-Yan & Li, Jiang-Cheng, 2023. "Dynamic correlation and risk resonance among industries of Chinese stock market: New evidence from time–frequency domain and complex network perspectives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 614(C).
    7. Li, Jiang-Cheng & Xu, Ming-Zhe & Han, Xu & Tao, Chen, 2022. "Dynamic risk resonance between crude oil and stock market by econophysics and machine learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    8. Jieqiong Wang & Shichao Hu & Ziyi Zhang, 2023. "Does Environmental Regulation Promote Eco-Innovation Performance of Manufacturing Firms?—Empirical Evidence from China," Energies, MDPI, vol. 16(6), pages 1-18, March.
    9. Liu, Min & Lee, Chien-Chiang, 2022. "Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS," Resources Policy, Elsevier, vol. 76(C).
    10. Boubaker, Heni & Larbi, Ons Ben, 2022. "Dynamic dependence and hedging strategies in BRICS stock markets with oil during crises," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 263-279.

  40. Hamori, Shigeyuki & Motegi, Kaiji & Zhang, Zheng, 2019. "Calibration estimation of semiparametric copula models with data missing at random," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 85-109.

    Cited by:

    1. Hamori, Shigeyuki & Motegi, Kaiji & Zhang, Zheng, 2020. "Copula-based regression models with data missing at random," Journal of Multivariate Analysis, Elsevier, vol. 180(C).
    2. Boulin, Alexis & Di Bernardino, Elena & Laloë, Thomas & Toulemonde, Gwladys, 2022. "Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework," Journal of Multivariate Analysis, Elsevier, vol. 192(C).

  41. Yijin He & Shigeyuki Hamori, 2019. "Conditional Dependence between Oil Prices and Exchange Rates in BRICS Countries: An Application of the Copula-GARCH Model," JRFM, MDPI, vol. 12(2), pages 1-25, June.

    Cited by:

    1. Ngo Thai Hung, 2020. "Analysis of the Time-frequency Connectedness between Gold Prices, Oil Prices and Hungarian Financial Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 51-59.
    2. Ngo Thai HUNG, 2020. "Conditional dependence between oil prices and CEE stock markets: a copula-GARCH approach Abstract: This study investigates both the constant and time-varying conditional dependency between crude oil a," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 11, pages 62-86, June.

  42. Koji Yasuda & Tomoko Kinugasa & Shigeyuki Hamori, 2019. "An Empirical Analysis Of Marital Status In Japan," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(03), pages 773-798, June.

    Cited by:

    1. Julen Esteban‐Pretel & Junichi Fujimoto, 2022. "How do marital formation and dissolution differ across employment statuses? Analysis of Japanese non‐regular employees," Pacific Economic Review, Wiley Blackwell, vol. 27(5), pages 425-461, December.

  43. Chen, Wang & Hamori, Shigeyuki & Kinkyo, Takuji, 2019. "Complexity of financial stress spillovers: Asymmetry and interaction effects of institutional quality and foreign bank ownership," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 567-581.

    Cited by:

    1. Kowalewski & Pawel Pisany, 2021. "Home–host distance in governance quality, foreign banks’ lending, and emerging host markets’ resilience," Working Papers 2021-ACF-08, IESEG School of Management.
    2. Altınkeski, Buket Kırcı & Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2022. "Financial stress transmission between the U.S. and the Euro Area," Journal of Financial Stability, Elsevier, vol. 60(C).

  44. Yijin He & Tadahiro Nakajima & Shigeyuki Hamori, 2019. "Connectedness Between Natural Gas Price and BRICS Exchange Rates: Evidence from Time and Frequency Domains," Energies, MDPI, vol. 12(20), pages 1-28, October.

    Cited by:

    1. Tadahiro Nakajima & Yuki Toyoshima, 2020. "Examination of the Spillover Effects among Natural Gas and Wholesale Electricity Markets Using Their Futures with Different Maturities and Spot Prices," Energies, MDPI, vol. 13(7), pages 1-14, March.
    2. Xie He & Tetsuya Takiguchi & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Spillover effects between energies, gold, and stock: the United States versus China," Energy & Environment, , vol. 31(8), pages 1416-1447, December.
    3. Ioannis Katsampoxakis & Apostolos Christopoulos & Petros Kalantonis & Vasileios Nastas, 2022. "Crude Oil Price Shocks and European Stock Markets during the COVID-19 Period," Energies, MDPI, vol. 15(11), pages 1-14, June.
    4. Anna A. Gainetdinova, 2023. "Asymmetric Impact of Geopolitical Risk and Economic Policy Uncertainty on Russian Ruble Exchange Rate," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 22(2), pages 270-293.
    5. Thobekile Qabhobho & Anokye M. Adam & Emmanuel Asafo-Adjei, 2023. "Do Local and International Shocks Matter in the Interconnectedness amid Exchange Rates and Energy Commodities? Insights into BRICS Economies," International Journal of Energy Economics and Policy, Econjournals, vol. 13(6), pages 666-678, November.

  45. Zhaojie Luo & Xiaojing Cai & Katsuyuki Tanaka & Tetsuya Takiguchi & Takuji Kinkyo & Shigeyuki Hamori, 2019. "Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks," JRFM, MDPI, vol. 12(1), pages 1-13, January.

    Cited by:

    1. Shima Nabiee & Nader Bagherzadeh, 2023. "Stock Trend Prediction: A Semantic Segmentation Approach," Papers 2303.09323, arXiv.org.
    2. Li, Mingchen & Cheng, Zishu & Lin, Wencan & Wei, Yunjie & Wang, Shouyang, 2023. "What can be learned from the historical trend of crude oil prices? An ensemble approach for crude oil price forecasting," Energy Economics, Elsevier, vol. 123(C).
    3. Li, Yuze & Jiang, Shangrong & Li, Xuerong & Wang, Shouyang, 2021. "The role of news sentiment in oil futures returns and volatility forecasting: Data-decomposition based deep learning approach," Energy Economics, Elsevier, vol. 95(C).
    4. Shigeyuki Hamori, 2020. "Empirical Finance," JRFM, MDPI, vol. 13(1), pages 1-3, January.
    5. Urolagin, Siddhaling & Sharma, Nikhil & Datta, Tapan Kumar, 2021. "A combined architecture of multivariate LSTM with Mahalanobis and Z-Score transformations for oil price forecasting," Energy, Elsevier, vol. 231(C).
    6. Aniruddha Dutta & Saket Kumar & Meheli Basu, 2020. "A Gated Recurrent Unit Approach to Bitcoin Price Prediction," JRFM, MDPI, vol. 13(2), pages 1-16, February.

  46. Katsuyuki Tanaka & Takuo Higashide & Takuji Kinkyo & Shigeyuki Hamori, 2019. "Analyzing Industry‐Level Vulnerability By Predicting Financial Bankruptcy," Economic Inquiry, Western Economic Association International, vol. 57(4), pages 2017-2034, October.

    Cited by:

    1. Solomon Y. Deku & Alper Kara & Artur Semeyutin, 2021. "The predictive strength of MBS yield spreads during asset bubbles," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 111-142, January.
    2. Wenting Zhang & Shigeyuki Hamori, 2020. "Do Machine Learning Techniques and Dynamic Methods Help Forecast US Natural Gas Crises?," Energies, MDPI, vol. 13(9), pages 1-22, May.
    3. David Veganzones, 2022. "Corporate failure prediction using threshold‐based models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 956-979, August.
    4. Yulian Zhang & Shigeyuki Hamori, 2020. "Forecasting Crude Oil Market Crashes Using Machine Learning Technologies," Energies, MDPI, vol. 13(10), pages 1-14, May.
    5. Takuo Higashide & Katsuyuki Tanaka & Takuji Kinkyo & Shigeyuki Hamori, 2021. "New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?," JRFM, MDPI, vol. 14(5), pages 1-18, May.
    6. Susanna Levantesi & Gabriella Piscopo, 2020. "The Importance of Economic Variables on London Real Estate Market: A Random Forest Approach," Risks, MDPI, vol. 8(4), pages 1-17, October.
    7. Antulov-Fantulin, Nino & Lagravinese, Raffaele & Resce, Giuliano, 2021. "Predicting bankruptcy of local government: A machine learning approach," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 681-699.

  47. Shigeyuki Hamori & Minami Kawai & Takahiro Kume & Yuji Murakami & Chikara Watanabe, 2018. "Ensemble Learning or Deep Learning? Application to Default Risk Analysis," JRFM, MDPI, vol. 11(1), pages 1-14, March.
    See citations under working paper version above.
  48. Takashi Miyazaki & Shigeyuki Hamori, 2018. "The Determinants Of A Simultaneous Crash In Gold And Stock Markets: An Ordered Logit Approach," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-25, March.
    See citations under working paper version above.
  49. Lei Xu & Takuji Kinkyo & Shigeyuki Hamori, 2018. "Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform," JRFM, MDPI, vol. 11(4), pages 1-11, December.

    Cited by:

    1. Wenting Zhang & Shigeyuki Hamori, 2020. "Do Machine Learning Techniques and Dynamic Methods Help Forecast US Natural Gas Crises?," Energies, MDPI, vol. 13(9), pages 1-22, May.
    2. Ashwin Madhou & Tayushma Sewak & Imad Moosa & Vikash Ramiah & Florian Gerth, 2021. "Towards Full-Fledged Inflation Targeting Monetary Policy Regime in Mauritius," JRFM, MDPI, vol. 14(3), pages 1-18, March.
    3. Shigeyuki Hamori, 2020. "Empirical Finance," JRFM, MDPI, vol. 13(1), pages 1-3, January.

  50. Lu Yang & Shigeyuki Hamori, 2018. "Modeling The Dynamics Of International Agricultural Commodity Prices: A Comparison Of Garch And Stochastic Volatility Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-20, September.

    Cited by:

    1. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
    2. Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh & BenSaïda, Ahmed & Hernandez, Jose Arreola & Kang, Sang Hoon, 2023. "Dependence and risk management of portfolios of metals and agricultural commodity futures," Resources Policy, Elsevier, vol. 82(C).
    3. Xie He & Xiao-Jing Cai & Shigeyuki Hamori, 2018. "Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility," JRFM, MDPI, vol. 11(4), pages 1-16, December.
    4. Yuki Toyoshima & Shigeyuki Hamori, 2018. "Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets," Energies, MDPI, vol. 11(11), pages 1-18, October.
    5. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in international dairy commodity markets," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 65(3), pages 704-728, July.

  51. Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2018. "What determines the long-term correlation between oil prices and exchange rates?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 140-152.

    Cited by:

    1. Chen, Qiang & Gong, Yuting, 2019. "The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 102-121.
    2. Jin Guo & Tetsuji Tanaka, 2020. "The Effectiveness of Self-Sufficiency Policy: International Price Transmissions in Beef Markets," Sustainability, MDPI, vol. 12(15), pages 1-23, July.
    3. Lu Yang & Lei Yang & Kung-Cheng Ho & Shigeyuki Hamori, 2019. "Determinants of the Long-Term Correlation between Crude Oil and Stock Markets," Energies, MDPI, vol. 12(21), pages 1-15, October.
    4. Antonio J., Garzón & Luis A., Hierro, 2022. "Inflation, oil prices and exchange rates. The Euro’s dampening effect," Journal of Policy Modeling, Elsevier, vol. 44(1), pages 130-146.
    5. Radmila Krkošková, 2020. "Relationship Between the Brent Oil Price and the US Dollar Exchange Rate," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(2), pages 187-206.
    6. Guo, Ranran & Ye, Wuyi, 2021. "A model of dynamic tail dependence between crude oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    7. Raluca Maran, 2023. "Do Sovereign Catastrophe Bonds Improve Fiscal Resilience? An Application of Synthetic Control Method to Mexico," Economics of Disasters and Climate Change, Springer, vol. 7(3), pages 431-455, November.
    8. He, Kaijian & Tso, Geoffrey K.F. & Zou, Yingchao & Liu, Jia, 2018. "Crude oil risk forecasting: New evidence from multiscale analysis approach," Energy Economics, Elsevier, vol. 76(C), pages 574-583.
    9. Umar Tijjani Babuga & Niaz Ahmad Mohd Naseem, 2022. "Oil Price Change and Economic Growth: Evidence from Net Sub-Saharan Africa Oil Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 369-378, March.
    10. Aganin, Artem & Peresetsky, Anatoly, 2018. "Volatility of ruble exchange rate: Oil and sanctions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 52, pages 5-21.
    11. Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
    12. Vincenzo Candila & Denis Maximov & Alexey Mikhaylov & Nikita Moiseev & Tomonobu Senjyu & Nicole Tryndina, 2021. "On the Relationship between Oil and Exchange Rates of Oil-Exporting and Oil-Importing Countries: From the Great Recession Period to the COVID-19 Era," Energies, MDPI, vol. 14(23), pages 1-18, December.
    13. Wang, Kai-Hua & Su, Chi-Wei & Xiao, Yidong & Liu, Lu, 2022. "Is the oil price a barometer of China's automobile market? From a wavelet-based quantile-on-quantile regression perspective," Energy, Elsevier, vol. 240(C).
    14. Qifa Xu & Junqing Zuo & Cuixia Jiang & Yaoyao He, 2021. "A large constrained time‐varying portfolio selection model with DCC‐MIDAS: Evidence from Chinese stock market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3417-3435, July.
    15. Aissa Djedaiet & Hicham Ayad, "undated". "The double whammy of COVID-19 and oil price collapse: Spillover effects on inflation and exchange rates," Review of Socio - Economic Perspectives 202206, Reviewsep.
    16. Köse, Nezir & Ünal, Emre, 2021. "The effects of the oil price and oil price volatility on inflation in Turkey," Energy, Elsevier, vol. 226(C).
    17. Chowdhury, Kushal Banik & Garg, Bhavesh, 2022. "Has COVID-19 intensified the oil price–exchange rate nexus?," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 280-298.
    18. Karol Szafranek & Grzegorz Szafrański & Agnieszka Leszczyńska-Paczesna, 2023. "Inflation returns. Revisiting the role of external and domestic shocks with Bayesian structural VAR," NBP Working Papers 357, Narodowy Bank Polski.
    19. Jiang, Cuixia & Ding, Xiaoyi & Xu, Qifa & Tong, Yongbo, 2020. "A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    20. Jungho Baek, 2023. "A Note on the Asymmetry of Oil Price Shocks," Commodities, MDPI, vol. 2(1), pages 1-2, March.
    21. Husaini, Dzul Hadzwan & Lean, Hooi Hooi, 2021. "Asymmetric impact of oil price and exchange rate on disaggregation price inflation," Resources Policy, Elsevier, vol. 73(C).
    22. Liu, Min & Lee, Chien-Chiang, 2022. "Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS," Resources Policy, Elsevier, vol. 76(C).

  52. Katsuyuki Tanaka & Takuji Kinkyo & Shigeyuki Hamori, 2018. "Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model," Sustainability, MDPI, vol. 10(5), pages 1-18, May.
    See citations under working paper version above.
  53. Guizhou Liu & Xiao-Jing Cai & Shigeyuki Hamori, 2018. "Modeling the Dependence Structure of Share Prices among Three Chinese City Banks," JRFM, MDPI, vol. 11(4), pages 1-18, September.

    Cited by:

    1. Jin Shang & Shigeyuki Hamori, 2023. "Differential Tail Dependence between Crude Oil and Forex Markets in Oil-Importing and Oil-Exporting Countries during Recent Crisis Periods," Sustainability, MDPI, vol. 15(19), pages 1-24, October.
    2. Shigeyuki Hamori, 2020. "Empirical Finance," JRFM, MDPI, vol. 13(1), pages 1-3, January.
    3. Christian Bucio Pacheco & Luis Villanueva & Raúl de Jesús Gutiérrez, 2021. "Dependence in the Banking Sector of the United States and Mexico: A Copula Approach," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-23, Septiembr.
    4. Arnab Bhattacharjee & Sudipto Roy, 2019. "Abnormal Returns or Mismeasured Risk? Network Effects and Risk Spillover in Stock Returns," JRFM, MDPI, vol. 12(2), pages 1-13, March.

  54. Xie He & Xiao-Jing Cai & Shigeyuki Hamori, 2018. "Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility," JRFM, MDPI, vol. 11(4), pages 1-16, December.

    Cited by:

    1. Hanli Chen & Yu Zhang & Ningxin Zhang & Man Zhou & Heping Ding, 2022. "Analysis on the Spatial Effect of Infrastructure Development on the Real Estate Price in the Yangtze River Delta," Sustainability, MDPI, vol. 14(13), pages 1-22, June.
    2. Shigeyuki Hamori, 2020. "Empirical Finance," JRFM, MDPI, vol. 13(1), pages 1-3, January.
    3. Mahua Barari & Srikanta Kundu, 2019. "The Role of the Federal Reserve in the U.S. Housing Crisis: A VAR Analysis with Endogenous Structural Breaks," JRFM, MDPI, vol. 12(3), pages 1-20, July.

  55. Yang, Lu & Tian, Shuairu & Yang, Wei & Xu, Mingli & Hamori, Shigeyuki, 2018. "Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 116-137.

    Cited by:

    1. Mo, Xuan & Su, Zhi & Yin, Libo, 2019. "Can the skewness of oil returns affect stock returns? Evidence from China’s A-Share markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    2. Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "COVID-19 and stock returns: Evidence from the Markov switching dependence approach," Research in International Business and Finance, Elsevier, vol. 64(C).
    3. Muhammad Azmat Hayat & Huma Ghulam & Maryam Batool & Muhammad Zahid Naeem & Abdullah Ejaz & Cristi Spulbar & Ramona Birau, 2021. "Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach," JRFM, MDPI, vol. 14(6), pages 1-22, June.
    4. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Alomari, Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis," Resources Policy, Elsevier, vol. 79(C).
    5. Zhu, Huiming & Meng, Liang & Ge, Yajing & Hau, Liya, 2020. "Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    6. Miao, Xiaoyu & Wang, Qunwei & Dai, Xingyu, 2022. "Is oil-gas price decoupling happening in China? A multi-scale quantile-on-quantile approach," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 450-470.
    7. Chen, Bin-xia & Sun, Yan-lin, 2022. "The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    8. Abhibasu Sen & Prof. Karabi Dutta Chaudhury, 2019. "On the Co-movement of Crude, Gold Prices and Stock Index in Indian Market," Papers 1904.05317, arXiv.org.
    9. Kim Hiang Liow, 2022. "Exploring a Three-Factor Dependence Structure of Conditional Volatilities: Some Quantile Regression Evidence from Real Estate Investment Trusts," JRFM, MDPI, vol. 15(6), pages 1-13, May.
    10. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
    11. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    12. Dong, Xiyong & Li, Changhong & Yoon, Seong-Min, 2020. "Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    13. Zhu, Huiming & Yu, Dongwei & Hau, Liya & Wu, Hao & Ye, Fangyu, 2022. "Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    14. Tian, Shuairu & Gao, Xiang & Cai, Xiaojing, 2023. "The interactive CNY-CNH relationship: A wavelet analysis," Journal of International Money and Finance, Elsevier, vol. 133(C).
    15. Lei Ruan, 2018. "Research on Sustainable Development of the Stock Market Based on VIX Index," Sustainability, MDPI, vol. 10(11), pages 1-12, November.
    16. Hau, Liya & Zhu, Huiming & Yu, Yang & Yu, Dongwei, 2022. "Time-frequency coherence and quantile causality between trade policy uncertainty and rare earth prices: Evidence from China and the US," Resources Policy, Elsevier, vol. 75(C).
    17. Boubaker, Heni & Larbi, Ons Ben, 2022. "Dynamic dependence and hedging strategies in BRICS stock markets with oil during crises," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 263-279.

  56. Youngho Chang & Zheng Fang & Shigeyuki Hamori & Dawn Chow, 2018. "A Sustainable Metropolis: Perspectives of Population, Productivity and Parity," Sustainability, MDPI, vol. 10(11), pages 1-17, November.

    Cited by:

    1. Anna Martyka & Dorota Jopek & Izabela Skrzypczak, 2022. "Analysis of the Sustainable Development Index in the Communes of the Podkarpackie Voivodeship: A Polish Case Study," Sustainability, MDPI, vol. 14(16), pages 1-23, August.
    2. Xueli Chen & Yongyong Song & Xingang Fan & Jing Ma, 2022. "Sustainable Population Size at the County Level under Limited Development Policy Constraints: Case Study of the Xihaigu Mountain Area, Northwest China," IJERPH, MDPI, vol. 19(15), pages 1-21, August.

  57. Lu Yang & Jason Z. Ma & Shigeyuki Hamori, 2018. "Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach," Sustainability, MDPI, vol. 10(2), pages 1-23, January.

    Cited by:

    1. Yuhao Liu & Petar M. Djurić & Young Shin Kim & Svetlozar T. Rachev & James Glimm, 2021. "Systemic Risk Modeling with Lévy Copulas," JRFM, MDPI, vol. 14(6), pages 1-20, June.
    2. Seok-Kyun Hur & Chune Young Chung & Chang Liu, 2018. "Is Liquidity Risk Priced? Theory and Evidence," Sustainability, MDPI, vol. 10(6), pages 1-13, May.
    3. Andrzej Paczoski & Solomon T. Abebe & Giuseppe T. Cirella, 2019. "Debt and Deficit Growth Rate Reporting for Post-Communist European Union Member States," Social Sciences, MDPI, vol. 8(6), pages 1-17, June.
    4. Guoxiang Xu & Wangfeng Gao, 2019. "Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects," Sustainability, MDPI, vol. 11(5), pages 1-20, March.
    5. Zhang, Xiaoming & Zhang, Xinsong & Lee, Chien-Chiang & Zhao, Yue, 2023. "Measurement and prediction of systemic risk in China’s banking industry," Research in International Business and Finance, Elsevier, vol. 64(C).
    6. Jianxu Liu & Quanrui Song & Yang Qi & Sanzidur Rahman & Songsak Sriboonchitta, 2020. "Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions," Sustainability, MDPI, vol. 12(10), pages 1-15, May.
    7. Yunsong Xu & Hanying Qi & Jiaqi Li & Ning Ding, 2021. "The Risk Spillover Effects of the Real Estate Industry on the Financial Industry: A GARCH-Time-Varying-Copula-CoVaR Approach on China," SAGE Open, , vol. 11(4), pages 21582440211, December.

  58. Yuki Toyoshima & Shigeyuki Hamori, 2018. "Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets," Energies, MDPI, vol. 11(11), pages 1-18, October.

    Cited by:

    1. Cui Jinxin & Zou Huiwen, 2020. "Connectedness Among Economic Policy Uncertainties: Evidence from the Time and Frequency Domain Perspectives," Journal of Systems Science and Information, De Gruyter, vol. 8(5), pages 401-433, October.
    2. Escribano, Ana & Koczar, Monika W. & Jareño, Francisco & Esparcia, Carlos, 2023. "Shock transmission between crude oil prices and stock markets," Resources Policy, Elsevier, vol. 83(C).
    3. Mitra, Subrata Kumar & Chattopadhyay, Manojit & Jana, R.K., 2019. "Spillover analysis of tourist movements within Europe," Annals of Tourism Research, Elsevier, vol. 79(C).
    4. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
    5. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
    6. Niyati Bhanja & Samia Nasreen & Arif Billah Dar & Aviral Kumar Tiwari, 2022. "Connectedness in International Crude Oil Markets," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 227-262, January.
    7. Xie He & Tetsuya Takiguchi & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Spillover effects between energies, gold, and stock: the United States versus China," Energy & Environment, , vol. 31(8), pages 1416-1447, December.
    8. Zhang, Wenting & Hamori, Shigeyuki, 2021. "Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany," International Review of Financial Analysis, Elsevier, vol. 74(C).
    9. Tiantian Liu & Shigeyuki Hamori, 2020. "Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?," Energies, MDPI, vol. 13(12), pages 1-28, June.
    10. Tadahiro Nakajima & Yuki Toyoshima, 2019. "Measurement of Connectedness and Frequency Dynamics in Global Natural Gas Markets," Energies, MDPI, vol. 12(20), pages 1-15, October.
    11. Zhang, Yulian & He, Xie & Nakajima, Tadahiro & Hamori, Shigeyuki, 2020. "Oil, Gas, or Financial Conditions-Which One Has a Stronger Link with Growth?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    12. Kinkyo, Takuji, 2021. "Region-wide connectedness of Asian equity and currency markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    13. Mukhriz Izraf Azman Aziz & Norzalina Ahmad & Jin Zichu & Safwan Mohd Nor, 2022. "The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies," Mathematics, MDPI, vol. 10(9), pages 1-22, April.
    14. Jin, Yi & Zhao, Hang & Bu, Lin & Zhang, Dayong, 2023. "Geopolitical risk, climate risk and energy markets: A dynamic spillover analysis," International Review of Financial Analysis, Elsevier, vol. 87(C).
    15. Guo, Li-Yang & Feng, Chao, 2021. "Are there spillovers among China's pilots for carbon emission allowances trading?," Energy Economics, Elsevier, vol. 103(C).
    16. Tiantian Liu & Tadahiro Nakajima & Shigeyuki Hamori, 2022. "The impact of economic uncertainty caused by COVID-19 on renewable energy stocks," Empirical Economics, Springer, vol. 62(4), pages 1495-1515, April.
    17. Tomal Mateusz, 2020. "Spillovers across House Price Convergence Clubs: Evidence from the Polish Housing Market," Real Estate Management and Valuation, Sciendo, vol. 28(2), pages 13-20, June.
    18. Jena, Sangram Keshari & Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Hammoudeh, Shawkat, 2022. "The connectedness in the world petroleum futures markets using a Quantile VAR approach," Journal of Commodity Markets, Elsevier, vol. 27(C).
    19. Wenting Zhang & Xie He & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe," Energies, MDPI, vol. 13(3), pages 1-26, February.
    20. Tiantian Liu & Xie He & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe," Energies, MDPI, vol. 13(8), pages 1-20, April.
    21. Peng Zhang & Yunfei Huang & Ying Wu, 2018. "Springback Coefficient Research of API X60 Pipe with Dent Defect," Energies, MDPI, vol. 11(11), pages 1-17, November.
    22. Ehsan Bagheri & Seyed Babak Ebrahimi & Arman Mohammadi & Mahsa Miri & Stelios Bekiros, 2022. "The Dynamic Volatility Connectedness Structure of Energy Futures and Global Financial Markets: Evidence From a Novel Time–Frequency Domain Approach," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1087-1111, March.
    23. Kinkyo, Takuji, 2020. "Time-frequency dynamics of exchange rates in East Asia," Research in International Business and Finance, Elsevier, vol. 52(C).

  59. Wanjun Yao & Shigeyuki Hamori, 2018. "The long-run relationship between farm size and productivity," China Agricultural Economic Review, Emerald Group Publishing Limited, vol. 11(2), pages 373-386, September.

    Cited by:

    1. Wenjing Han & Zhengfeng Zhang & Xiaoling Zhang & Li He, 2021. "Farmland Rental Participation, Agricultural Productivity, and Household Income: Evidence from Rural China," Land, MDPI, vol. 10(9), pages 1-22, August.

  60. Yang, Lu & Yang, Lei & Hamori, Shigeyuki, 2018. "Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 19-34.

    Cited by:

    1. Bajaj, Vimmy & Kumar, Pawan & Singh, Vipul Kumar, 2023. "Systemwide directional connectedness from Crude Oil to sovereign credit risk," Journal of Commodity Markets, Elsevier, vol. 30(C).
    2. Yang, Lu, 2019. "Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective," Energy Economics, Elsevier, vol. 80(C), pages 219-233.
    3. Özer Depren & Mustafa Tevfik Kartal & Serpil Kılıç Depren, 2021. "Recent innovation in benchmark rates (BMR): evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-20, December.
    4. Mustafa Tevfik KARTAL, 2022. "The Role of Macroeconomic and Market Indicators in Explaining Sovereign Credit Default Swaps (CDS) Spread Changes: Evidence from Türkiye," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 145-164, April.
    5. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
    6. de Oliveira, Erick Meira & Cunha, Felipe Arias Fogliano de Souza & Palazzi, Rafael Baptista & Klotzle, Marcelo Cabus & Maçaira, Paula Medina, 2020. "On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework," International Review of Financial Analysis, Elsevier, vol. 70(C).
    7. Feng, Qianqian & Sun, Xiaolei & Liu, Chang & Li, Jianping, 2021. "Spillovers between sovereign CDS and exchange rate markets: The role of market fear," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    8. Yang, Lu & Hamori, Shigeyuki, 2023. "Modeling the global sovereign credit network under climate change," International Review of Financial Analysis, Elsevier, vol. 87(C).
    9. Chen, Wang & Ho, Kung-Cheng & Yang, Lu, 2020. "Network structures and idiosyncratic contagion in the European sovereign credit default swap market," International Review of Financial Analysis, Elsevier, vol. 72(C).
    10. Ceylan Nesrin & Münyas Turgay, 2021. "An Empirical Investigation on the Relationship Between the Eurozone Zew Index and the Eurozone Stock Markets," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 31(4), pages 1-17, December.
    11. Yang, Lu, 2023. "Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk," Resources Policy, Elsevier, vol. 82(C).
    12. Depren, Özer & Kartal, Mustafa Tevfik & Kılıç Depren, Serpil, 2021. "Changes of gold prices in COVID-19 pandemic: Daily evidence from Turkey's monetary policy measures with selected determinants," Technological Forecasting and Social Change, Elsevier, vol. 170(C).
    13. Li, Haiping & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country," Finance Research Letters, Elsevier, vol. 32(C).
    14. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    15. ERER, Deniz, 2022. "The Asymmetrical Impact Of Policy Responses On Volatility Of Sovereign Default Swaps," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 26(3), pages 35-54, September.
    16. Lei Ruan, 2018. "Research on Sustainable Development of the Stock Market Based on VIX Index," Sustainability, MDPI, vol. 10(11), pages 1-12, November.
    17. Ahmed R. M. Alsayed, 2023. "Turkish Stock Market from Pandemic to Russian Invasion, Evidence from Developed Machine Learning Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1107-1123, October.
    18. Imran Yousaf & Shoaib Ali & Muhammad Naveed & Ifraz Adeel, 2021. "Risk and Return Transmissions From Crude Oil to Latin American Stock Markets During the Crisis: Portfolio Implications," SAGE Open, , vol. 11(2), pages 21582440211, April.
    19. Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    20. Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    21. Prayer M. Rikhotso & Beatrice D. Simo-Kengne, 2022. "Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries," JRFM, MDPI, vol. 15(3), pages 1-22, February.

  61. Xiao Jing Cai & Shuairu Tian & Shigeyuki Hamori, 2017. "Stock Market Integration in China: Evidence from the Asymmetric DCC Model and Copula Approach," Applied Economics and Finance, Redfame publishing, vol. 4(2), pages 1-10, March.

    Cited by:

    1. Guoxiang Xu & Wangfeng Gao, 2019. "Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects," Sustainability, MDPI, vol. 11(5), pages 1-20, March.

  62. W. Chen & S. Hamori & T. Kinkyo, 2017. "Banking sector resilience to financial spillovers," Applied Economics Letters, Taylor & Francis Journals, vol. 24(6), pages 422-426, March.

    Cited by:

    1. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2022. "Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination," International Economics and Economic Policy, Springer, vol. 19(1), pages 79-127, February.
    2. Seza Danışoğlu & Z. Nuray Güner & Hande Ayaydın Hacıömeroğlu, 2018. "International Evidence on Risk Taking by Banks Around the Global Financial Crisis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(9), pages 1946-1962, July.
    3. Chen, Wang & Hamori, Shigeyuki & Kinkyo, Takuji, 2019. "Complexity of financial stress spillovers: Asymmetry and interaction effects of institutional quality and foreign bank ownership," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 567-581.

  63. Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2017. "Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 536-547.

    Cited by:

    1. Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2018. "Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy," CESifo Working Paper Series 7279, CESifo.
    2. Benzid, Lamia & Bakari, Sayef, 2021. "Modeling the Asymmetric Relationship between the Covid-19 and the U.S Dollar Exchange Rate: an Empirical Analysis via the NARDL Approach," MPRA Paper 105566, University Library of Munich, Germany.
    3. Mbarki, Imen & Khan, Muhammad Arif & Karim, Sitara & Paltrinieri, Andrea & Lucey, Brian M., 2023. "Unveiling commodities-financial markets intersections from a bibliometric perspective," Resources Policy, Elsevier, vol. 83(C).
    4. Su, Zhi & Lu, Man & Yin, Libo, 2018. "Oil prices and news-based uncertainty: Novel evidence," Energy Economics, Elsevier, vol. 72(C), pages 331-340.
    5. Vukovic, Darko B. & Lapshina, Kseniya A. & Maiti, Moinak, 2021. "Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    6. Wu, Kai & Zhu, Jingran & Xu, Mingli & Yang, Lu, 2020. "Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    7. Jingran Zhu & Qinghua Song & Dalia Streimikiene, 2020. "Multi-Time Scale Spillover Effect of International Oil Price Fluctuation on China’s Stock Markets," Energies, MDPI, vol. 13(18), pages 1-29, September.
    8. Yildirim, Zekeriya & Arifli, Arif, 2021. "Oil price shocks, exchange rate and macroeconomic fluctuations in a small oil-exporting economy," Energy, Elsevier, vol. 219(C).
    9. Kumar, Suresh & Choudhary, Sangita & Singh, Gurcharan & Singhal, Shelly, 2021. "Crude oil, gold, natural gas, exchange rate and indian stock market: Evidence from the asymmetric nonlinear ARDL model," Resources Policy, Elsevier, vol. 73(C).
    10. Yang, Lu & Hamori, Shigeyuki, 2021. "Systemic risk and economic policy uncertainty: International evidence from the crude oil market," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 142-158.
    11. Ji, Qiang & Liu, Bing-Yue & Nguyen, Duc Khuong & Fan, Ying, 2019. "Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates," MPRA Paper 101387, University Library of Munich, Germany, revised Jan 2020.
    12. Salisu, Afees A. & Adekunle, Wasiu & Alimi, Wasiu A. & Emmanuel, Zachariah, 2019. "Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries," Resources Policy, Elsevier, vol. 62(C), pages 33-56.
    13. Muhammad Azmat Hayat & Huma Ghulam & Maryam Batool & Muhammad Zahid Naeem & Abdullah Ejaz & Cristi Spulbar & Ramona Birau, 2021. "Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach," JRFM, MDPI, vol. 14(6), pages 1-22, June.
    14. Shang, Jin & Hamori, Shigeyuki, 2021. "Do crude oil prices and the sentiment index influence foreign exchange rates differently in oil-importing and oil-exporting countries? A dynamic connectedness analysis," Resources Policy, Elsevier, vol. 74(C).
    15. Lin, Boqiang & Bai, Rui, 2021. "Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective," Research in International Business and Finance, Elsevier, vol. 56(C).
    16. Yue Liu & Pierre Failler & Jiaying Peng & Yuhang Zheng, 2020. "Time-Varying Relationship between Crude Oil Price and Exchange Rate in the Context of Structural Breaks," Energies, MDPI, vol. 13(9), pages 1-17, May.
    17. Ding, Qian & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility," Energy Economics, Elsevier, vol. 102(C).
    18. Xu, Yang & Han, Liyan & Wan, Li & Yin, Libo, 2019. "Dynamic link between oil prices and exchange rates: A non-linear approach," Energy Economics, Elsevier, vol. 84(C).
    19. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
    20. Gao Wenxin & Wen Jun & Mahmood Hamid & Zakaria Muhammad, 2022. "Nonlinear and Asymmetric Impact of Oil Prices on Exchange Rates: Evidence from South Asia," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 16(1), pages 243-256, January.
    21. Huang, Shupei & An, Haizhong & Wen, Shaobo & An, Feng, 2017. "Revisiting driving factors of oil price shocks across time scales," Energy, Elsevier, vol. 139(C), pages 617-629.
    22. Wen, Tiange & Wang, Gang-Jin, 2020. "Volatility connectedness in global foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 54(C).
    23. Boying Li & Chun-Ping Chang & Yin Chu & Bo Sui, 2020. "Oil prices and geopolitical risks: What implications are offered via multi-domain investigations?," Energy & Environment, , vol. 31(3), pages 492-516, May.
    24. Rabeh Khalfaoui & Suleman Sarwar & Aviral Kumar Tiwari, 2019. "Analysing volatility spillover between the oil market and the stock market in oil-importing and oil-exporting countries: Implications on portfolio management," Post-Print hal-03797589, HAL.
    25. Chen, Qitong & Zhu, Huiming & Yu, Dongwei & Hau, Liya, 2022. "How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    26. Albulescu, Claudiu Tiberiu & Demirer, Riza & Raheem, Ibrahim D. & Tiwari, Aviral Kumar, 2019. "Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies," Energy Economics, Elsevier, vol. 83(C), pages 375-388.
    27. Theocharis, Dimitrios & Rodrigues, Vasco Sanchez & Pettit, Stephen & Haider, Jane, 2019. "Feasibility of the Northern Sea Route: The role of distance, fuel prices, ice breaking fees and ship size for the product tanker market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 129(C), pages 111-135.
    28. Sohag, Kazi & Hassan, M. Kabir & Kalina, Irina & Mariev, Oleg, 2023. "The relative response of Russian National Wealth Fund to oil demand, supply and risk shocks," Energy Economics, Elsevier, vol. 123(C).
    29. Guo, Ranran & Ye, Wuyi, 2021. "A model of dynamic tail dependence between crude oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    30. Jungho Baek, 2021. "The role of crude oil prices in the movement of the Indonesian rupiah: a quantile ARDL approach," Economic Change and Restructuring, Springer, vol. 54(4), pages 975-994, November.
    31. Jiang, Yong & Ren, Yi-Shuai & Narayan, Seema & Ma, Chao-Qun & Yang, Xiao-Guang, 2022. "Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    32. Zhu, Huiming & Meng, Liang & Ge, Yajing & Hau, Liya, 2020. "Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    33. Han, Mengjiao & Fan, Qingju & Ling, Guang, 2022. "Multiscale online-horizontal-visibility-graph correlation analysis of financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    34. Karim, Muhammad Mahmudul & Kawsar, Najmul Haque & Ariff, Mohamed & Masih, Mansur, 2022. "Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? Wavelet-based granger-causality, asymmetric quantile regression and NARDL approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    35. Choi, Sun-Yong, 2020. "Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 37(C).
    36. Tong, Yuan & Wan, Ning & Dai, Xingyu & Bi, Xiaoyi & Wang, Qunwei, 2022. "China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?," Energy Economics, Elsevier, vol. 109(C).
    37. Hong Thai Le & Marta Disegna, 2018. "Responses of macroeconomy and stock markets to structural oil price shocks: New evidence from Asian oil refinery," BAFES Working Papers BAFES25, Department of Accounting, Finance & Economic, Bournemouth University.
    38. Wen, Danyan & Liu, Li & Ma, Chaoqun & Wang, Yudong, 2020. "Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries," Energy, Elsevier, vol. 212(C).
    39. Youshu Li & Junjie Guo, 2022. "The asymmetric impacts of oil price and shocks on inflation in BRICS: a multiple threshold nonlinear ARDL model," Applied Economics, Taylor & Francis Journals, vol. 54(12), pages 1377-1395, March.
    40. Qiang Ji & Syed Jawad Hussain Shahzad & Elie Bouri & Muhammad Tahir Suleman, 2020. "Dynamic structural impacts of oil shocks on exchange rates: lessons to learn," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-19, December.
    41. Firouzi, Shahrokh & Wang, Xiangning, 2019. "A comparative study of exchange rates and order flow based on wavelet transform coherence and cross wavelet transform," Economic Modelling, Elsevier, vol. 82(C), pages 42-56.
    42. Sangram Keshari Jena & Aviral Kumar Tiwari & Shawkat Hammoudeh & Muhammad Shahbaz, 2020. "Dynamics of FII flows and stock market returns in a major developing country: How does economic uncertainty matter?," The World Economy, Wiley Blackwell, vol. 43(8), pages 2263-2284, August.
    43. Suyi Kim & So-Yeun Kim & Kyungmee Choi, 2020. "Effect of Oil Prices on Exchange Rate Movements in Korea and Japan Using Markov Regime-Switching Models," Energies, MDPI, vol. 13(17), pages 1-16, August.
    44. Theocharis, Dimitrios & Rodrigues, Vasco Sanchez & Pettit, Stephen & Haider, Jane, 2021. "Feasibility of the Northern Sea Route for seasonal transit navigation: The role of ship speed on ice and alternative fuel types for the oil product tanker market," Transportation Research Part A: Policy and Practice, Elsevier, vol. 151(C), pages 259-283.
    45. Afees A. Salisu & Wasiu Adekunle & Zachariah Emmanuel & Wasiu A. Alimi, 2018. "Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries," Working Papers 055, Centre for Econometric and Allied Research, University of Ibadan.
    46. Kumar, Pawan & Singh, Vipul Kumar, 2022. "Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective," Energy Economics, Elsevier, vol. 116(C).
    47. Parul Bhatia, 2021. "Sustainability Of Exchange Rates And Crude Oil Prices Connection With Covid-19: An Investigation For Brics," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 19-29, October.
    48. Suyi Kim & So-Yeun Kim & Kyungmee Choi, 2019. "Analyzing Oil Price Shocks and Exchange Rates Movements in Korea using Markov Regime-Switching Models," Energies, MDPI, vol. 12(23), pages 1-16, December.
    49. Zankawah, Mutawakil M. & Stewart, Chris, 2019. "Measuring volatility spill-over effects of crude oil prices on Ghana’s exchange rate and stock market between 1991 and 2015," Economics Discussion Papers 2019-1, School of Economics, Kingston University London.
    50. Bhuiyan, Rubaiyat Ahsan & Rahman, Maya Puspa & Saiti, Buerhan & Ghani, Gairuzazmi Bin Mat, 2019. "Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 675-687.
    51. Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
    52. Kyophilavong, Phouphet & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar, 2023. "Cross-spectral coherence and co-movement between WTI oil price and exchange rate of Thai Baht," Resources Policy, Elsevier, vol. 80(C).
    53. Belhassine, Olfa & Karamti, Chiraz, 2021. "Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis," Energy Economics, Elsevier, vol. 102(C).
    54. Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Bachmeier, Lance, 2019. "Modelling systemic risk and dependence structure between the prices of crude oil and exchange rates in BRICS economies: Evidence using quantile coherency and NGCoVaR approaches," Energy Economics, Elsevier, vol. 81(C), pages 1011-1028.
    55. Yousfi, Mohamed & Ben Zaied, Younes & Ben Cheikh, Nidhaleddine & Ben Lahouel, Béchir & Bouzgarrou, Houssem, 2021. "Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves," Technological Forecasting and Social Change, Elsevier, vol. 167(C).
    56. Baek, Jungho, 2023. "Supply and demand shocks in the global oil market: How much do they matter for exchange rates in OPEC members?," Resources Policy, Elsevier, vol. 81(C).
    57. Mohammad Sahabuddin & Md. Aminul Islam & Mosab I. Tabash & Suhaib Anagreh & Rozina Akter & Md. Mizanur Rahman, 2022. "Co-Movement, Portfolio Diversification, Investors’ Behavior and Psychology: Evidence from Developed and Emerging Countries’ Stock Markets," JRFM, MDPI, vol. 15(8), pages 1-15, July.
    58. Aviral Kumar Tiwari & Ibrahim D. Raheem & Seref Bozoklu & Shawkat Hammoudeh, 2022. "The Oil Price‐Macroeconomic fundamentals nexus for emerging market economies: Evidence from a wavelet analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1569-1590, January.
    59. Mensi, Walid & Shafiullah, Muhammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Asymmetric spillovers and connectedness between crude oil and currency markets using high-frequency data," Resources Policy, Elsevier, vol. 77(C).
    60. Moinak Maiti & Darko Vukovic & Yaroslav Vyklyuk & Zoran Grubisic, 2022. "BRICS Capital Markets Co-Movement Analysis and Forecasting," Risks, MDPI, vol. 10(5), pages 1-13, April.
    61. Bouzgarrou, Houssam & Ftiti, Zied & Louhichi, Waël & Yousfi, Mohamed, 2023. "What can we learn about the market reaction to macroeconomic surprise? Evidence from the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 64(C).
    62. Ding, Shusheng & Zheng, Dandan & Cui, Tianxiang & Du, Min, 2023. "The oil price-inflation nexus: The exchange rate pass- through effect," Energy Economics, Elsevier, vol. 125(C).
    63. Xiao Jing Cai & Zheng Fang & Youngho Chang & Shuairu Tian & Shigeyuki Hamori, 2020. "Co-movements in commodity markets and implications in diversification benefits," Empirical Economics, Springer, vol. 58(2), pages 393-425, February.
    64. Abuzayed, Bana & Al-Fayoumi, Nedal, 2021. "Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    65. Bwo-Nung Huang & Chi-Chuan Lee & Yu-Fang Chang & Chien-Chiang Lee, 2021. "Dynamic linkage between oil prices and exchange rates: new global evidence," Empirical Economics, Springer, vol. 61(2), pages 719-742, August.
    66. Fan He & Xuansen He, 2019. "A Continuous Differentiable Wavelet Shrinkage Function for Economic Data Denoising," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 729-761, August.
    67. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    68. Sun, Qingru & An, Haizhong & Gao, Xiangyun & Guo, Sui & Wang, Ze & Liu, Siyao & Wen, Shaobo, 2019. "Effects of crude oil shocks on the PPI system based on variance decomposition network analysis," Energy, Elsevier, vol. 189(C).
    69. Managi, Shunsuke & Yousfi, Mohamed & Ben Zaied, Younes & Ben Mabrouk, Nejah & Ben Lahouel, Béchir, 2022. "Oil price, US stock market and the US business conditions in the era of COVID-19 pandemic outbreak," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 129-139.
    70. Zhang, Xiang & Baek, Jungho, 2022. "The role of oil price shocks on exchange rates for the selected Asian countries: Asymmetric evidence from nonlinear ARDL and generalized IRFs approaches," Energy Economics, Elsevier, vol. 112(C).
    71. Chowdhury, Kushal Banik & Garg, Bhavesh, 2022. "Has COVID-19 intensified the oil price–exchange rate nexus?," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 280-298.
    72. Choi, Sun-Yong, 2022. "Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries," Finance Research Letters, Elsevier, vol. 46(PB).
    73. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
    74. Jiang, Yonghong & Lao, Jiashun & Mo, Bin & Nie, He, 2018. "Dynamic linkages among global oil market, agricultural raw material markets and metal markets: An application of wavelet and copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 265-279.
    75. Zhu, Huiming & Li, Shuang & Huang, Zishan, 2023. "Frequency domain quantile dependence and connectedness between crude oil and exchange rates: Evidence from oil-importing and exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 1-30.
    76. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    77. Albulescu, Claudiu Tiberiu & Ajmi, Ahdi Noomen, 2021. "Oil price and US dollar exchange rate: Change detection of bi-directional causal impact," Energy Economics, Elsevier, vol. 100(C).
    78. Haykir, Ozkan & Yagli, Ibrahim & Aktekin Gok, Emine Dilara & Budak, Hilal, 2022. "Oil price explosivity and stock return: Do sector and firm size matter?," Resources Policy, Elsevier, vol. 78(C).
    79. Lin, Boqiang & Su, Tong, 2020. "Does oil price have similar effects on the exchange rates of BRICS?," International Review of Financial Analysis, Elsevier, vol. 69(C).
    80. He, Feng & Ma, Feng & Wang, Ziwei & Yang, Bohan, 2021. "Asymmetric volatility spillover between oil-importing and oil-exporting countries' economic policy uncertainty and China's energy sector," International Review of Financial Analysis, Elsevier, vol. 75(C).
    81. Chkir, Imed & Guesmi, Khaled & Brayek, Angham Ben & Naoui, Kamel, 2020. "Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries," Research in International Business and Finance, Elsevier, vol. 54(C).
    82. Jung, Young Cheol & Das, Anupam & McFarlane, Adian, 2020. "The asymmetric relationship between the oil price and the US-Canada exchange rate," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 198-206.
    83. Wang, Lu & Ruan, Hang & Hong, Yanran & Luo, Keyu, 2023. "Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method," Research in International Business and Finance, Elsevier, vol. 64(C).
    84. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).
    85. Sudipta Das, 2021. "The Time–Frequency Relationship between Oil Price, Stock Returns and Exchange Rate," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 129-149, November.
    86. Changyu Liu & Muhammad Abubakr Naeem & Mobeen Ur Rehman & Saqib Farid & Syed Jawad Hussain Shahzad, 2020. "Oil as Hedge, Safe-Haven, and Diversifier for Conventional Currencies," Energies, MDPI, vol. 13(17), pages 1-19, August.
    87. Chunyi Lu & Zhuoqi Teng & Yu Gao & Renhong Wu & Md. Alamgir Hossain & Yuantao Fang, 2022. "Analysis of Early Warning of RMB Exchange Rate Fluctuation and Value at Risk Measurement Based on Deep Learning," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1501-1524, April.
    88. Xu, Lei. & Hamori, Shigeyuki & Kinkyo, Takuji, 2021. "Continuous wavelet analysis of Chinese renminbi: Co-movement and lead-lag relationship between onshore and offshore exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    89. Zhao, Lu-Tao & Zheng, Zhi-Yi & Wei, Yi-Ming, 2023. "Forecasting oil inventory changes with Google trends: A hybrid wavelet decomposer and ARDL-SVR ensemble model," Energy Economics, Elsevier, vol. 120(C).

  64. Cai, Xiao Jing & Tian, Shuairu & Yuan, Nannan & Hamori, Shigeyuki, 2017. "Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 206-223.

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    1. Maghyereh, Aktham & Abdoh, Hussein, 2022. "Extreme dependence between structural oil shocks and stock markets in GCC countries," Resources Policy, Elsevier, vol. 76(C).
    2. Su, Zhi & Lu, Man & Yin, Libo, 2018. "Oil prices and news-based uncertainty: Novel evidence," Energy Economics, Elsevier, vol. 72(C), pages 331-340.
    3. Wu, Kai & Zhu, Jingran & Xu, Mingli & Yang, Lu, 2020. "Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    4. Yang, Lu & Tian, Shuairu & Yang, Wei & Xu, Mingli & Hamori, Shigeyuki, 2018. "Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 116-137.
    5. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2019. "A sectoral analysis of asymmetric nexus between oil price and stock returns," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 241-259.
    6. Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2017. "Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 536-547.
    7. Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
    8. Kinkyo, Takuji, 2020. "Volatility interdependence on foreign exchange markets: The contribution of cross-rates," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    9. Sa Xu & Ziqing Du & Hai Zhang, 2020. "Can Crude Oil Serve as a Hedging Asset for Underlying Securities?—Research on the Heterogenous Correlation between Crude Oil and Stock Index," Energies, MDPI, vol. 13(12), pages 1-19, June.
    10. Cheng, Sheng & Zhang, Zongyou & Cao, Yan, 2022. "Can precious metals hedge geopolitical risk? Fresh sight using wavelet coherence analysis," Resources Policy, Elsevier, vol. 79(C).
    11. Lu Yang & Lei Yang & Kung-Cheng Ho & Shigeyuki Hamori, 2019. "Determinants of the Long-Term Correlation between Crude Oil and Stock Markets," Energies, MDPI, vol. 12(21), pages 1-15, October.
    12. Takuji Kinkyo, 2022. "Hedging capabilities of Bitcoin for Asian currencies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1769-1784, April.
    13. Cevik, Emrah Ismail & Gunay, Samet & Zafar, Muhammad Wasif & Destek, Mehmet Akif & Bugan, Mehmet Fatih & Tuna, Fatih, 2022. "The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold," Resources Policy, Elsevier, vol. 79(C).
    14. Asadi, Mehrad & Roubaud, David & Tiwari, Aviral Kumar, 2022. "Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness," Energy Economics, Elsevier, vol. 109(C).
    15. Huang, Shupei & An, Haizhong & Wen, Shaobo & An, Feng, 2017. "Revisiting driving factors of oil price shocks across time scales," Energy, Elsevier, vol. 139(C), pages 617-629.
    16. Boying Li & Chun-Ping Chang & Yin Chu & Bo Sui, 2020. "Oil prices and geopolitical risks: What implications are offered via multi-domain investigations?," Energy & Environment, , vol. 31(3), pages 492-516, May.
    17. Jiang, Yonghong & Nie, He & Monginsidi, Joe Yohanes, 2017. "Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests," Economic Modelling, Elsevier, vol. 64(C), pages 384-398.
    18. Xiaojing Cai & Shigeyuki Hamori & Lu Yang & Shuairu Tian, 2020. "Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management," Energies, MDPI, vol. 13(2), pages 1-24, January.
    19. Jiang, Zhuhua & Yoon, Seong-Min, 2020. "Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis," Energy Economics, Elsevier, vol. 90(C).
    20. Zhu, Huiming & Meng, Liang & Ge, Yajing & Hau, Liya, 2020. "Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    21. Mehdi Mili & Jean‐Michel Sahut & Frédéric Teulon, 2020. "Shift‐contagion in energy markets and global crisis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 725-736, August.
    22. Karim, Muhammad Mahmudul & Kawsar, Najmul Haque & Ariff, Mohamed & Masih, Mansur, 2022. "Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? Wavelet-based granger-causality, asymmetric quantile regression and NARDL approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    23. Choi, Sun-Yong, 2020. "Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 37(C).
    24. Liow, Kim Hiang & Huang, Yuting & Song, Jeonseop, 2019. "Relationship between the United States housing and stock markets: Some evidence from wavelet analysis," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    25. Ghaemi Asl, Mahdi & Adekoya, Oluwasegun Babatunde & Rashidi, Muhammad Mahdi & Ghasemi Doudkanlou, Mohammad & Dolatabadi, Ali, 2022. "Forecast of Bayesian-based dynamic connectedness between oil market and Islamic stock indices of Islamic oil-exporting countries: Application of the cascade-forward backpropagation network," Resources Policy, Elsevier, vol. 77(C).
    26. Vamsidhar Ambatipudi & Dilip Kumar, 2022. "Economic Policy Uncertainty Versus Sector Volatility: Evidence from India Using Multi-scale Wavelet Granger Causality Analysis," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(2), pages 184-210, June.
    27. Hong Thai Le & Marta Disegna, 2018. "Responses of macroeconomy and stock markets to structural oil price shocks: New evidence from Asian oil refinery," BAFES Working Papers BAFES25, Department of Accounting, Finance & Economic, Bournemouth University.
    28. Lin, Saiyan & Chen, Rongda & Lv, Zhihong & Zhou, Tianqing & Jin, Chenglu, 2019. "Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    29. Zhang, Guofu & Liu, Wei, 2018. "Analysis of the international propagation of contagion between oil and stock markets," Energy, Elsevier, vol. 165(PA), pages 469-486.
    30. Belhassine, Olfa & Karamti, Chiraz, 2021. "Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis," Energy Economics, Elsevier, vol. 102(C).
    31. Yonghong Jiang & Jinqi Mu & He Nie & Lanxin Wu, 2022. "Time‐frequency analysis of risk spillovers from oil to BRICS stock markets: A long‐memory Copula‐CoVaR‐MODWT method," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3386-3404, July.
    32. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 397-419.
    33. Kinkyo, Takuji, 2020. "Growing influences of the Chinese renminbi on Asian exchange rates: Evidence from a wavelet analysis of dynamic spillovers," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    34. Aviral Kumar Tiwari & Ibrahim D. Raheem & Seref Bozoklu & Shawkat Hammoudeh, 2022. "The Oil Price‐Macroeconomic fundamentals nexus for emerging market economies: Evidence from a wavelet analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1569-1590, January.
    35. Kinkyo, Takuji, 2022. "The intermediating role of the Chinese renminbi in Asian currency markets: Evidence from partial wavelet coherence," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    36. Xiao Jing Cai & Zheng Fang & Youngho Chang & Shuairu Tian & Shigeyuki Hamori, 2020. "Co-movements in commodity markets and implications in diversification benefits," Empirical Economics, Springer, vol. 58(2), pages 393-425, February.
    37. Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020. "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    38. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    39. Yousaf, Imran & Hassan, Arshad, 2019. "Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash," Finance Research Letters, Elsevier, vol. 31(C).
    40. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2021. "How do Artificial Intelligence and Robotics Stocks co-move with traditional and alternative assets in the age of the 4th industrial revolution? Implications and Insights for the COVID-19 period," Technological Forecasting and Social Change, Elsevier, vol. 171(C).
    41. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    42. Huang, Shupei & An, Haizhong & Huang, Xuan & Jia, Xiaoliang, 2018. "Co-movement of coherence between oil prices and the stock market from the joint time-frequency perspective," Applied Energy, Elsevier, vol. 221(C), pages 122-130.
    43. Ciner, Cetin & Lucey, Brian & Yarovaya, Larisa, 2020. "Spillovers, integration and causality in LME non-ferrous metal markets," Journal of Commodity Markets, Elsevier, vol. 17(C).
    44. Charalampos Basdekis & Apostolos Christopoulos & Ioannis Katsampoxakis & Vasileios Nastas, 2022. "The Impact of the Ukrainian War on Stock and Energy Markets: A Wavelet Coherence Analysis," Energies, MDPI, vol. 15(21), pages 1-15, November.
    45. Samia Nasreen & Syed Asif Ali Naqvi & Aviral Kumar Tiwari & Shawkat Hammoudeh & Syed Ale Raza Shah, 2020. "A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification," JRFM, MDPI, vol. 13(4), pages 1-21, March.
    46. Tian, Shuairu & Gao, Xiang & Cai, Xiaojing, 2023. "The interactive CNY-CNH relationship: A wavelet analysis," Journal of International Money and Finance, Elsevier, vol. 133(C).
    47. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    48. Imran Yousaf & Shoaib Ali & Muhammad Naveed & Ifraz Adeel, 2021. "Risk and Return Transmissions From Crude Oil to Latin American Stock Markets During the Crisis: Portfolio Implications," SAGE Open, , vol. 11(2), pages 21582440211, April.
    49. Lei Xu & Takuji Kinkyo & Shigeyuki Hamori, 2018. "Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform," JRFM, MDPI, vol. 11(4), pages 1-11, December.
    50. Sudipta Das, 2021. "The Time–Frequency Relationship between Oil Price, Stock Returns and Exchange Rate," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 129-149, November.
    51. Ali, Syed Riaz Mahmood & Mensi, Walid & Anik, Kaysul Islam & Rahman, Mishkatur & Kang, Sang Hoon, 2022. "The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 345-372.
    52. Xu, Lei. & Hamori, Shigeyuki & Kinkyo, Takuji, 2021. "Continuous wavelet analysis of Chinese renminbi: Co-movement and lead-lag relationship between onshore and offshore exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).

  65. Wang Chen & Shigeyuki Hamori & Takuji Kinkyo, 2016. "Financial development and financial openness nexus: the precondition of banking competition," Applied Economics, Taylor & Francis Journals, vol. 48(12), pages 1130-1139, March.
    See citations under working paper version above.
  66. Tamakoshi, Go & Hamori, Shigeyuki, 2016. "Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK," Research in International Business and Finance, Elsevier, vol. 36(C), pages 288-296.

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    2. Ahmad, Wasim, 2017. "On the dynamic dependence and investment performance of crude oil and clean energy stocks," Research in International Business and Finance, Elsevier, vol. 42(C), pages 376-389.
    3. Ji, Qiang & Bahloul, Walid & Geng, Jiang-Bo & Gupta, Rangan, 2020. "Trading behaviour connectedness across commodity markets: Evidence from the hedgers’ sentiment perspective," Research in International Business and Finance, Elsevier, vol. 52(C).
    4. Ahmad, Wasim & Sharma, Sumit Kumar, 2018. "Testing output gap and economic uncertainty as an explicator of stock market returns," Research in International Business and Finance, Elsevier, vol. 45(C), pages 293-306.
    5. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    6. Saker Sabkha & Christian de Peretti & Dorra Mezzez Hmaied, 2019. "International risk spillover in the sovereign credit markets: An empirical analysis," Post-Print hal-01652526, HAL.
    7. Li, Leon, 2017. "Dynamic correlations and domestic-global diversification," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 280-290.
    8. Yu, Sherry, 2017. "Sovereign and bank Interdependencies—Evidence from the CDS market," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 68-84.
    9. Ivanov, Ivan & Kabaivanov, Stanimir & Bogdanova, Boryana, 2016. "Stock market recovery from the 2008 financial crisis: The differences across Europe," Research in International Business and Finance, Elsevier, vol. 37(C), pages 360-374.
    10. Audrino, Francesco & Tetereva, Anastasija, 2019. "Sentiment spillover effects for US and European companies," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 542-567.
    11. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2021. "Volatility spillovers during market supply shocks: The case of negative oil prices," Resources Policy, Elsevier, vol. 74(C).
    12. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2021. "An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event," Energy Economics, Elsevier, vol. 104(C).
    13. Moutsianas, Konstantinos A. & Kosmidou, Kyriaki, 2016. "Bank earnings volatility in the UK: Does size matter? A comparison between commercial and investment banks," Research in International Business and Finance, Elsevier, vol. 38(C), pages 137-150.

  67. Tanaka, Katsuyuki & Kinkyo, Takuji & Hamori, Shigeyuki, 2016. "Random forests-based early warning system for bank failures," Economics Letters, Elsevier, vol. 148(C), pages 118-121.

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    2. Beutel, Johannes & List, Sophia & von Schweinitz, Gregor, 2019. "An evaluation of early warning models for systemic banking crises: Does machine learning improve predictions?," IWH Discussion Papers 2/2019, Halle Institute for Economic Research (IWH).
    3. Yuxi Heluo & Kexin Wang & Charles W. Robson, 2023. "Do we listen to what we are told? An empirical study on human behaviour during the COVID-19 pandemic: neural networks vs. regression analysis," Papers 2311.13046, arXiv.org.
    4. Mathieu Mercadier & Jean-Pierre Lardy, 2019. "Credit spread approximation and improvement using random forest regression," Post-Print hal-03241566, HAL.
    5. Abdel Latef Anouze & Imad Bou-Hamad, 2021. "Inefficiency source tracking: evidence from data envelopment analysis and random forests," Annals of Operations Research, Springer, vol. 306(1), pages 273-293, November.
    6. Katsuyuki Tanaka & Takuji Kinkyo & Shigeyuki Hamori, 2017. "Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model," Discussion Papers 1720, Graduate School of Economics, Kobe University.
    7. Rezaei , Pooria & Ebrahimi , Seyed Babak & Azin , Pejman, 2019. "Evaluating the Application of a Financial Early Warning System in the Iranian Banking System," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 14(2), pages 177-204, April.
    8. Wenting Zhang & Shigeyuki Hamori, 2020. "Do Machine Learning Techniques and Dynamic Methods Help Forecast US Natural Gas Crises?," Energies, MDPI, vol. 13(9), pages 1-22, May.
    9. Durand, Pierre & Le Quang, Gaëtan, 2022. "Banks to basics! Why banking regulation should focus on equity," European Journal of Operational Research, Elsevier, vol. 301(1), pages 349-372.
    10. Hallman, Nicholas J. & Kartapanis, Antonis & Schmidt, Jaime J., 2022. "How do auditors respond to competition? Evidence from the bidding process," Journal of Accounting and Economics, Elsevier, vol. 73(2).
    11. Cristina Zeldea, 2020. "Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions," Administrative Sciences, MDPI, vol. 10(3), pages 1-14, August.
    12. Imad Bou-Hamad & Abdel Latef Anouze & Ibrahim H. Osman, 2022. "A cognitive analytics management framework to select input and output variables for data envelopment analysis modeling of performance efficiency of banks using random forest and entropy of information," Annals of Operations Research, Springer, vol. 308(1), pages 63-92, January.
    13. Francesco Cusano & Giuseppe Marinelli & Stefano Piermattei, 2022. "Learning from revisions: an algorithm to detect errors in banks’ balance sheet statistical reporting," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(6), pages 4025-4059, December.
    14. Irfan Nurfalah & Aam Slamet Rusydiana & Nisful Laila & Eko Fajar Cahyono, 2018. "Early Warning to Banking Crises in the Dual Financial System in Indonesia: The Markov Switching Approach التحذير المبكر من الأزمات المصرفية في النظام المالي المزدوج في إندونيسيا: مقاربة ماركوف للتحويل," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 31(2), pages 133-156, July.
    15. Fu, Junhui & Zhou, Qingling & Liu, Yufang & Wu, Xiang, 2020. "Predicting stock market crises using daily stock market valuation and investor sentiment indicators," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    16. Mirjana Jemović & Srđan Marinković, 2021. "Determinants of financial crises—An early warning system based on panel logit regression," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 103-117, January.
    17. Alexandr Patalaha & Maria A. Shchepeleva, 2023. "Bank Crisis Management Policies and the New Instability," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 43-60, December.
    18. Asyrofa Rahmi & Hung-Yuan Lu & Deron Liang & Dinda Novitasari & Chih-Fong Tsai, 2023. "Role of Comprehensive Income in Predicting Bankruptcy," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 689-720, August.
    19. Deng, Shangkun & Huang, Xiaoru & Zhu, Yingke & Su, Zhihao & Fu, Zhe & Shimada, Tatsuro, 2023. "Stock index direction forecasting using an explainable eXtreme Gradient Boosting and investor sentiments," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    20. Ronghua Xu & Yiran Liu & Meng Liu & Chengang Ye, 2023. "Sustainability of Shipping Logistics: A Warning Model," Sustainability, MDPI, vol. 15(14), pages 1-15, July.
    21. Wang, Peiwan & Zong, Lu, 2023. "Does machine learning help private sectors to alarm crises? Evidence from China’s currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
    22. Mohammad S. Uddin & Guotai Chi & Mazin A. M. Al Janabi & Tabassum Habib, 2022. "Leveraging random forest in micro‐enterprises credit risk modelling for accuracy and interpretability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3713-3729, July.
    23. Hitoshi Hamori & Shigeyuki Hamori, 2020. "Does Ensemble Learning Always Lead to Better Forecasts?," Applied Economics and Finance, Redfame publishing, vol. 7(2), pages 51-56, March.
    24. Li Xian Liu & Shuangzhe Liu & Milind Sathye, 2021. "Predicting Bank Failures: A Synthesis of Literature and Directions for Future Research," JRFM, MDPI, vol. 14(10), pages 1-24, October.
    25. Alessandro Bitetto & Paola Cerchiello & Charilaos Mertzanis, 2021. "A data-driven approach to measuring financial soundness throughout the world," DEM Working Papers Series 199, University of Pavia, Department of Economics and Management.
    26. Takuo Higashide & Katsuyuki Tanaka & Takuji Kinkyo & Shigeyuki Hamori, 2021. "New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?," JRFM, MDPI, vol. 14(5), pages 1-18, May.
    27. Kwon, Yujin & Park, Sung Y., 2023. "Modeling an early warning system for household debt risk in Korea: A simple deep learning approach," Journal of Asian Economics, Elsevier, vol. 84(C).
    28. Manthoulis, Georgios & Doumpos, Michalis & Zopounidis, Constantin & Galariotis, Emilios, 2020. "An ordinal classification framework for bank failure prediction: Methodology and empirical evidence for US banks," European Journal of Operational Research, Elsevier, vol. 282(2), pages 786-801.
    29. Xianglong Liu, 2023. "Towards Better Banking Crisis Prediction: Could an Automatic Variable Selection Process Improve the Performance?," The Economic Record, The Economic Society of Australia, vol. 99(325), pages 288-312, June.
    30. Beutel, Johannes & List, Sophia & von Schweinitz, Gregor, 2019. "Does machine learning help us predict banking crises?," Journal of Financial Stability, Elsevier, vol. 45(C).
    31. Kristóf, Tamás & Virág, Miklós, 2022. "EU-27 bank failure prediction with C5.0 decision trees and deep learning neural networks," Research in International Business and Finance, Elsevier, vol. 61(C).
    32. Jiaming Liu & Chengzhang Li & Peng Ouyang & Jiajia Liu & Chong Wu, 2023. "Interpreting the prediction results of the tree‐based gradient boosting models for financial distress prediction with an explainable machine learning approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1112-1137, August.
    33. Susanna Levantesi & Gabriella Piscopo, 2020. "The Importance of Economic Variables on London Real Estate Market: A Random Forest Approach," Risks, MDPI, vol. 8(4), pages 1-17, October.
    34. Buch, Claudia M. & Vogel, Edgar & Weigert, Benjamin, 2018. "Evaluating macroprudential policies," ESRB Working Paper Series 76, European Systemic Risk Board.
    35. Lanbiao Liu & Chen Chen & Bo Wang, 2022. "Predicting financial crises with machine learning methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 871-910, August.
    36. Bitetto, Alessandro & Cerchiello, Paola & Mertzanis, Charilaos, 2023. "Measuring financial soundness around the world: A machine learning approach," International Review of Financial Analysis, Elsevier, vol. 85(C).
    37. Maria Ludovica Drudi & Stefano Nobili, 2021. "A liquidity risk early warning indicator for Italian banks: a machine learning approach," Temi di discussione (Economic working papers) 1337, Bank of Italy, Economic Research and International Relations Area.
    38. Dichtl, Hubert & Drobetz, Wolfgang & Otto, Tizian, 2023. "Forecasting Stock Market Crashes via Machine Learning," Journal of Financial Stability, Elsevier, vol. 65(C).
    39. Antulov-Fantulin, Nino & Lagravinese, Raffaele & Resce, Giuliano, 2021. "Predicting bankruptcy of local government: A machine learning approach," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 681-699.
    40. Sreenivasulu Puli & Nagaraju Thota & A. C. V. Subrahmanyam, 2024. "Assessing Machine Learning Techniques for Predicting Banking Crises in India," JRFM, MDPI, vol. 17(4), pages 1-16, March.
    41. Yu Xia & Ta Xu & Ming-Xia Wei & Zhen-Ke Wei & Lian-Jie Tang, 2023. "Predicting Chain’s Manufacturing SME Credit Risk in Supply Chain Finance Based on Machine Learning Methods," Sustainability, MDPI, vol. 15(2), pages 1-18, January.
    42. Jinxi Chen & Bowen Cai, 2024. "AIIB Investment and Economic Development of India: The Case of the Gujarat Road Project," JRFM, MDPI, vol. 17(2), pages 1-25, February.

  68. Xiao Jing Cai & Shuairu Tian & Shigeyuki Hamori, 2016. "Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets," Applied Economics, Taylor & Francis Journals, vol. 48(40), pages 3789-3803, August.

    Cited by:

    1. Lv, Fei & Yang, Chen & Fang, Libing, 2020. "Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?," International Review of Financial Analysis, Elsevier, vol. 71(C).
    2. Roberto Louis Forestal & Shih Ming Pi, 2021. "Dynamic Equicorrelation Analysis of Financial Contagion: Evidence from Latin America Markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(3), pages 1-2.
    3. Akhtaruzzaman, Md & Shamsuddin, Abul, 2016. "International contagion through financial versus non-financial firms," Economic Modelling, Elsevier, vol. 59(C), pages 143-163.
    4. Prince Osei Mensah & Anokye M. Adam, 2020. "Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana," Risks, MDPI, vol. 8(2), pages 1-20, June.
    5. Saker Sabkha & Christian de Peretti, 2022. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Post-Print hal-01710398, HAL.
    6. Thai Hung, Ngo & Nguyen, Linh Thi My & Vinh Vo, Xuan, 2022. "Exchange rate volatility connectedness during Covid-19 outbreak: DECO-GARCH and Transfer Entropy approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    7. Marco Tronzano, 2021. "Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)," JRFM, MDPI, vol. 14(3), pages 1-25, March.
    8. Mori Kogid & Jaratin Lily & Rozilee Asid & James M. Alin & Dullah Mulok, 2022. "Volatility spillover and dynamic co-movement of foreign direct investment between Malaysia and China and developed countries," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(1), pages 131-148, February.

  69. T. Tamakoshi & S. Hamori, 2016. "Testing cointegration between health care expenditure and GDP in Japan with the presence of a regime shift," Applied Economics Letters, Taylor & Francis Journals, vol. 23(2), pages 151-155, February.

    Cited by:

    1. Lars Hultkrantz, 2021. "Discounting in economic evaluation of healthcare interventions: what about the risk term?," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 22(3), pages 357-363, April.
    2. Muhammad Arshad Khan & Muhammad Iftikhar Ul Husnain, 2019. "Is health care a luxury or necessity good? Evidence from Asian countries," International Journal of Health Economics and Management, Springer, vol. 19(2), pages 213-233, June.
    3. Rezwanul Hasan Rana & Khorshed Alam & Jeff Gow, 2020. "Health expenditure and gross domestic product: causality analysis by income level," International Journal of Health Economics and Management, Springer, vol. 20(1), pages 55-77, March.

  70. Tian, Shuairu & Hamori, Shigeyuki, 2016. "Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 163-171.

    Cited by:

    1. Shanghui Jia & Xinhui Chen & Liyan Han & Jiayu Jin, 2023. "Global climate change and commodity markets: A hedging perspective," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1393-1422, October.
    2. Morales-Zumaquero, Amalia & Sosvilla-Rivero, Simón, 2018. "Volatility spillovers between foreign exchange and stock markets in industrialized countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 121-136.
    3. Yin, Libo & Ma, Xiyuan, 2018. "Causality between oil shocks and exchange rate: A Bayesian, graph-based VAR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 434-453.
    4. Rim Ammar Lamouchi & Ruba Khalid Shira, 2023. "Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(3), pages 1-3.
    5. Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2017. "Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 536-547.
    6. Yin, Libo & Su, Zhi & Lu, Man, 2022. "Is oil risk important for commodity-related currency returns?," Research in International Business and Finance, Elsevier, vol. 60(C).
    7. Bouri, Elie & Lei, Xiaojie & Jalkh, Naji & Xu, Yahua & Zhang, Hongwei, 2021. "Spillovers in higher moments and jumps across US stock and strategic commodity markets," Resources Policy, Elsevier, vol. 72(C).
    8. Nekhili, Ramzi & Mensi, Walid & Vo, Xuan Vinh, 2021. "Multiscale spillovers and connectedness between gold, copper, oil, wheat and currency markets," Resources Policy, Elsevier, vol. 74(C).
    9. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Fed’s unconventional monetary policy and risk spillover in the US financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 42-52.
    10. Singh, Vipul Kumar & Kumar, Pawan & Nishant, Shreyank, 2019. "Feedback spillover dynamics of crude oil and global assets indicators: A system-wide network perspective," Energy Economics, Elsevier, vol. 80(C), pages 321-335.
    11. Wen, Shaobo & An, Haizhong & Huang, Shupei & Liu, Xueyong, 2019. "Dynamic impact of China's stock market on the international commodity market," Resources Policy, Elsevier, vol. 61(C), pages 564-571.
    12. Bhuiyan, Rubaiyat Ahsan & Rahman, Maya Puspa & Saiti, Buerhan & Ghani, Gairuzazmi Bin Mat, 2019. "Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 675-687.
    13. Saadati, Alireza & Honarmandi, Zahra & Zarei, Samira, 2020. "Real Exchange Rate Shocks and Export-Oriented Businesses in Iran: An Empirical Analysis Using NARDL Model," MPRA Paper 101554, University Library of Munich, Germany, revised 30 Jun 2020.
    14. Xie He & Xiao-Jing Cai & Shigeyuki Hamori, 2018. "Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility," JRFM, MDPI, vol. 11(4), pages 1-16, December.
    15. Zhang, Yulian & He, Xie & Nakajima, Tadahiro & Hamori, Shigeyuki, 2020. "Oil, Gas, or Financial Conditions-Which One Has a Stronger Link with Growth?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    16. Ozdemir, Huseyin & Ozdemir, Zeynel Abidin, 2021. "A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic," IZA Discussion Papers 14888, Institute of Labor Economics (IZA).
    17. Hu, Haiqing & Chen, Di & Sui, Bo & Zhang, Lang & Wang, Yinyin, 2020. "Price volatility spillovers between supply chain and innovation of financial pledges in China," Economic Modelling, Elsevier, vol. 89(C), pages 397-413.
    18. Jiang, Yong & Liu, Cenjie & Xie, Rui, 2021. "Oil price shocks and credit spread: Structural effect and dynamic spillover," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    19. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    20. Chowdhury, Kushal Banik & Garg, Bhavesh, 2022. "Has COVID-19 intensified the oil price–exchange rate nexus?," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 280-298.
    21. Liu, Xueyong & An, Haizhong & Li, Huajiao & Chen, Zhihua & Feng, Sida & Wen, Shaobo, 2017. "Features of spillover networks in international financial markets: Evidence from the G20 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 265-278.
    22. Sokhanvar, Amin & Çiftçioğlu, Serhan & Lee, Chien-Chiang, 2023. "The effect of energy price shocks on commodity currencies during the war in Ukraine," Resources Policy, Elsevier, vol. 82(C).
    23. Pagnottoni, Paolo & Spelta, Alessandro & Pecora, Nicolò & Flori, Andrea & Pammolli, Fabio, 2021. "Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    24. Vo, Xuan Vinh & Ellis, Craig, 2018. "International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries," Emerging Markets Review, Elsevier, vol. 36(C), pages 19-27.
    25. Wenting Zhang & Xie He & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe," Energies, MDPI, vol. 13(3), pages 1-26, February.
    26. Mensi, Walid & Aslan, Aylin & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 219-232.
    27. Zhang, Weiping & Zhuang, Xintian & Lu, Yang & Wang, Jian, 2020. "Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework," International Review of Financial Analysis, Elsevier, vol. 71(C).
    28. Sohag, Kazi & Shams, S.M. Riad & Gainetdinova, Anna & Nappo, Fabio, 2023. "Frequency connectedness and cross-quantile dependence among medicare, medicine prices and health-tech equity," Technovation, Elsevier, vol. 120(C).
    29. Amin Sokhanvar & Chien-Chiang Lee, 2023. "How do energy price hikes affect exchange rates during the war in Ukraine?," Empirical Economics, Springer, vol. 64(5), pages 2151-2164, May.

  71. Yang, Lu & Cai, Xiao Jing & Zhang, Huimin & Hamori, Shigeyuki, 2016. "Interdependence of foreign exchange markets: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 55(C), pages 6-14.

    Cited by:

    1. Singh, Jitendra & Ahmad, Wasim & Mishra, Anil, 2019. "Coherence, connectedness and dynamic hedging effectiveness between emerging markets equities and commodity index funds," Resources Policy, Elsevier, vol. 61(C), pages 441-460.
    2. Hathroubi, Salem & Aloui, Chaker, 2022. "Oil price dynamics and fiscal policy cyclicality in Saudi Arabia: New evidence from partial and multiple wavelet coherences," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 149-160.
    3. Zhicheng Liang & Junwei Wang & Kin Keung Lai, 2020. "Dependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 169-193, February.
    4. Yang, Lu & Tian, Shuairu & Yang, Wei & Xu, Mingli & Hamori, Shigeyuki, 2018. "Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 116-137.
    5. Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
    6. Umar, Zaghum & Gubareva, Mariya, 2020. "A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    7. Bejaoui, Azza & Frikha, Wajdi & Jeribi, Ahmed & Bariviera, Aurelio F., 2023. "Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
    8. Gong, Yuting & Ma, Chao & Chen, Qiang, 2022. "Exchange rate dependence and economic fundamentals: A Copula-MIDAS approach," Journal of International Money and Finance, Elsevier, vol. 123(C).
    9. Maneejuk, Paravee & Kaewtathip, Nuttaphong & Jaipong, Peemmawat & Yamaka, Woraphon, 2022. "The transition of the global financial markets' connectedness during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    10. Aktham Maghyereh & Basel Awartani & Abul Hassan, 2018. "Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management," Journal of Asset Management, Palgrave Macmillan, vol. 19(6), pages 394-412, October.
    11. Ngo Thai Hung, 2020. "Identifying the Dynamic Connectedness between Propane and Oil Prices: Evidence from Wavelet Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 315-326.
    12. Cai, Xiao Jing & Tian, Shuairu & Yuan, Nannan & Hamori, Shigeyuki, 2017. "Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 206-223.
    13. Concepción González-Concepción & María Candelaria Gil-Fariña & Celina Pestano-Gabino, 2018. "Wavelet power spectrum and cross-coherency of Spanish economic variables," Empirical Economics, Springer, vol. 55(2), pages 855-882, September.
    14. Tong, Yuan & Wan, Ning & Dai, Xingyu & Bi, Xiaoyi & Wang, Qunwei, 2022. "China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?," Energy Economics, Elsevier, vol. 109(C).
    15. Pattnaik, Debidutta & Kumar, Satish & Burton, Bruce & Lim, Weng Marc, 2022. "Economic Modelling at thirty-five: A retrospective bibliometric survey," Economic Modelling, Elsevier, vol. 107(C).
    16. Sangram Keshari Jena & Aviral Kumar Tiwari & Shawkat Hammoudeh & Muhammad Shahbaz, 2020. "Dynamics of FII flows and stock market returns in a major developing country: How does economic uncertainty matter?," The World Economy, Wiley Blackwell, vol. 43(8), pages 2263-2284, August.
    17. Mpoha, Salifya & Bonga-Bonga, Lumengo, 2021. "Spillover effects from China and the US to global emerging markets: a dynamic analysis," MPRA Paper 109349, University Library of Munich, Germany.
    18. Xiuwen Chen, 2023. "Are the shocks of EPU, VIX, and GPR indexes on the oil-stock nexus alike? A time-frequency analysis," Applied Economics, Taylor & Francis Journals, vol. 55(48), pages 5637-5652, October.
    19. Saba Qureshi & Muhammad Aftab, 2023. "Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis," Global Business Review, International Management Institute, vol. 24(6), pages 1180-1204, December.
    20. Muhammad Abubakr Naeem & Saqib Farid & Fiza Qureshi & Farhad Taghizadeh‐Hesary, 2023. "Global factors and the transmission between United States and emerging stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3488-3510, October.
    21. Ngo Thai Hung, 2021. "Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model," Global Business Review, International Management Institute, vol. 22(1), pages 36-56, February.
    22. Yoshito Funashima, 2018. "Macroeconomic policy coordination between Japanese central and local governments," Empirical Economics, Springer, vol. 54(4), pages 1631-1651, June.
    23. Funashima, Yoshito, 2016. "Governmentally amplified output volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 469-478.
    24. Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020. "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    25. Alexandru Chiriluș & Adrian Costea, 2023. "The Effect of FDI on Environmental Degradation in Romania: Testing the Pollution Haven Hypothesis," Sustainability, MDPI, vol. 15(13), pages 1-16, July.
    26. Syed Jawad Hussain Shahzad & Jose Arreola‐Hernandez & Md Lutfur Rahman & Gazi Salah Uddin & Muhammad Yahya, 2021. "Asymmetric interdependence between currency markets' volatilities across frequencies and time scales," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2436-2457, April.
    27. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    28. Azza Bejaoui & Wajdi Frikha & Ahmed Jeribi, 2023. "On the dynamic connectedness between the G7 stock market indices and different asset classes: Fresh insights from the COVID-19 pandemic and Russia–Ukraine war," SN Business & Economics, Springer, vol. 3(11), pages 1-21, November.
    29. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    30. Socaciu, Erzsébet-Mirjám & Nagy, Bálint-Zsolt & Benedek, Botond, 2023. "No place like home: Home bias and flight-to-quality in Group of Seven countries," Economic Modelling, Elsevier, vol. 129(C).
    31. Wang, Haiying & Yuan, Ying & Li, Yiou & Wang, Xunhong, 2021. "Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory," Economic Modelling, Elsevier, vol. 94(C), pages 401-414.
    32. Bhattacherjee, Purba & Mishra, Sibanjan & Kang, Sang Hoon, 2023. "Does market sentiment and global uncertainties influence ESG-oil nexus? A time-frequency analysis," Resources Policy, Elsevier, vol. 86(PA).
    33. Xingxing He & Korhan K. Gokmenoglu & Dervis Kirikkaleli & Syed Kumail Abbas Rizvi, 2023. "Co‐movement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1994-2005, April.
    34. Meng, Xiangcai & Huang, Chia-Hsing, 2019. "The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 131-148.
    35. Devendra Kumar Jain & Naqeeb Ur-Rehman & Omonjon Ganiev & Kapil Arora, 2023. "Currencies of greater interest for central Asian economies: an analysis of exchange market pressure amid global and regional interdependence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-18, December.
    36. Neha Seth & Monica Sighania, 2017. "Financial market contagion: selective review of reviews," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(4), pages 391-408, November.

  72. T. Miyazaki & S. Hamori, 2016. "Asymmetric correlations in gold and other financial markets," Applied Economics, Taylor & Francis Journals, vol. 48(46), pages 4419-4425, October.

    Cited by:

    1. Hoang, Thi-Hong-Van & Zhu, Zhenzhen & El Khamlichi, Abdelbari & Wong, Wing-Keung, 2019. "Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis," Resources Policy, Elsevier, vol. 61(C), pages 617-626.
    2. Dagher, Leila & Jamali, Ibrahim & badra, nasser, 2018. "The Predictive Power of Oil and Commodity Prices for Equity Markets," MPRA Paper 116055, University Library of Munich, Germany.
    3. Takashi Miyazaki, 2019. "Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions," JRFM, MDPI, vol. 12(1), pages 1-18, February.
    4. Meraz, M. & Alvarez-Ramirez, J. & Echeverria, J.C., 2017. "Asymmetric correlations in the ozone concentration dynamics of the Mexico City Metropolitan Area," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 377-386.
    5. Naeem, Muhammad Abubakr & Qureshi, Fiza & Arif, Muhammad & Balli, Faruk, 2021. "Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions," Resources Policy, Elsevier, vol. 72(C).

  73. Lu Yang & Shigeyuki Hamori, 2016. "Hot Money and Business Cycle Volatility: Evidence from Selected ASEAN Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(2), pages 351-363, February.

    Cited by:

    1. Zhang, Yihao & Chen, Fang & Huang, Jian & Shenoy, Catherine, 2019. "Hot money flows and production uncertainty: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    2. Qureshi, Fiza & Kutan, Ali M. & Ismail, Izlin & Gee, Chan Sok, 2017. "Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 176-192.
    3. Mohamed Ibrahim Nor & Tajul Ariffin Masron & Tariq Tawfeeq Yousif Alabdullah, 2020. "Macroeconomic Fundamentals and the Exchange Rate Volatility: Empirical Evidence From Somalia," SAGE Open, , vol. 10(1), pages 21582440198, January.
    4. Yıldırım-Karaman, Secil, 2017. "Uncertainty shocks, central bank characteristics and business cycles," Economic Systems, Elsevier, vol. 41(3), pages 379-388.

  74. Takeshi Inoue & Shigeyuki Hamori, 2016. "Do Workers’ Remittances Promote Access to Finance? Evidence from Asia-Pacific Developing Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(3), pages 765-774, March.

    Cited by:

    1. Chrysost Bangake & Jude Eggoh, 2021. "Remittances and financial inclusion: Does financial developemnt matter?," Post-Print hal-03271429, HAL.
    2. Ranjan Kumar Dash, 2020. "Impact of Remittances on Domestic Investment: A Panel Study of Six South Asian Countries," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 21(1), pages 7-30, March.
    3. Abba Yadou Barnabé & Ningaye Paul & Bangake Chrysost, 2021. "Do remittances spur financial inclusion in Africa? a multi-dimensional approach," Economics Bulletin, AccessEcon, vol. 41(2), pages 328-341.
    4. Addai, Bismark & Tang, Wenjin & Twumasi, Martinson Ankrah & Asante, Dennis & Agyeman, Annette Serwaa, 2022. "Access to financial services and lighting energy consumption: Empirical evidence from rural Ghana," Energy, Elsevier, vol. 253(C).
    5. Le Thanh Tung, 2018. "The Impact Of Remittances On Domestic Investment In Developing Countries: Fresh Evidence From The Asia-Pacific Region," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 9(2).
    6. Emara, Noha & Zhang, Yuanhao, 2021. "The non-linear impact of digitization on remittances inflow: Evidence from the BRICS," Telecommunications Policy, Elsevier, vol. 45(4).
    7. Jianmu Ye & KMMCB Kulathunga, 2019. "How Does Financial Literacy Promote Sustainability in SMEs? A Developing Country Perspective," Sustainability, MDPI, vol. 11(10), pages 1-21, May.

  75. Takeshi Inoue & Shigeyuki Hamori, 2016. "Financial Access and Economic Growth: Evidence from Sub-Saharan Africa," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(3), pages 743-753, March.

    Cited by:

    1. Isaac Ofoeda & Lordina Amoah & Ebenezer Bugri Anarfo & Joshua Yindenaba Abor, 2024. "Financial inclusion and economic growth: What roles do institutions and financial regulation play?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 832-848, January.
    2. Admasu A. Maruta & Habtamu T. Edjigu & Woubet Kassa, 2023. "Does financial inclusion empower women in Africa?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 52(3), November.
    3. Dakhlia, Sami & Diallo, Boubacar & Temimi, Akram, 2021. "Financial inclusion and ethnic development: Evidence from satellite light density at night," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    4. Tarna Silue, 2021. "Financial Inclusion and Economic Growth : Evidence in the Digital Environment of Developing Countries," Working Papers hal-03281843, HAL.
    5. Mahamat Ibrahim Ahmat Tidjani, 2020. "An exploratory analysis of financial inclusion in Chad," Post-Print hal-03322905, HAL.
    6. Amon Simba & Mahdi Tajeddin & Léo-Paul Dana & Domingo E. Ribeiro Soriano, 2024. "Deconstructing involuntary financial exclusion: a focus on African SMEs," Small Business Economics, Springer, vol. 62(1), pages 285-305, January.
    7. Rashmi Umesh Arora & Tapan Sarker, 2023. "Financing for Sustainable Development Goals (SDGs) in the Era of COVID-19 and Beyond," The European Journal of Development Research, Palgrave Macmillan;European Association of Development Research and Training Institutes (EADI), vol. 35(1), pages 1-19, February.
    8. US Thathsarani & Jianguo Wei & GRSRC Samaraweera, 2021. "Financial Inclusion’s Role in Economic Growth and Human Capital in South Asia: An Econometric Approach," Sustainability, MDPI, vol. 13(8), pages 1-18, April.
    9. Masoud Mohammed Albiman & Hamad Omar Bakar, 2022. "The Role of Financial Inclusion on Economic Growth in Sub Saharan African (SSA) Region," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 8(4), pages 363-384, October.
    10. Nigo, Ayine R.S. & Gibogwe, Vincent, 2023. "Empirical Research on Financial Efficiency and Economic Growth in Sub-Saharan Africa," MPRA Paper 116041, University Library of Munich, Germany, revised 14 Dec 2022.
    11. EZZAHID, Elhadj & ELOUAOURTI, Zakaria, 2017. "Financial development and total factors productivity channel: Evidence from Africa," MPRA Paper 81764, University Library of Munich, Germany.
    12. Md Nur Alam Siddik, 2021. "Does Financial Permeation Induce Economic Growth? Evidence from SAARC Countries," Global Business Review, International Management Institute, vol. 22(4), pages 893-905, August.
    13. Md. Nur Alam Siddik & Tanveer Ahsan & Sajal Kabiraj, 2019. "Does Financial Permeation Promote Economic Growth? Some Econometric Evidence From Asian Countries," SAGE Open, , vol. 9(3), pages 21582440198, July.
    14. Yakubu, Ibrahim Nandom & Bunyaminu, Alhassan, 2021. "Financial Inclusion and Economic Growth in West Africa: The Moderating Effect of Financial Openness," MPRA Paper 115183, University Library of Munich, Germany.
    15. Chengjuan Xia & Md. Qamruzzaman & Anass Hamadelneel Adow, 2022. "An Asymmetric Nexus: Remittance-Led Human Capital Development in the Top 10 Remittance-Receiving Countries: Are FDI and Gross Capital Formation Critical for a Road to Sustainability?," Sustainability, MDPI, vol. 14(6), pages 1-24, March.
    16. Aman Pushp & Rahul Singh Gautam & Vikas Tripathi & Jagjeevan Kanoujiya & Shailesh Rastogi & Venkata Mrudula Bhimavarapu & Neha Parashar, 2023. "Impact of Financial Inclusion on India’s Economic Development under the Moderating Effect of Internet Subscribers," JRFM, MDPI, vol. 16(5), pages 1-15, May.
    17. Tarna Silue, 2021. "Financial Inclusion and Economic Growth : Evidence in the Digital Environment of Developing Countries," CERDI Working papers hal-03281843, HAL.
    18. de Moraes, Claudio Oliveira & Roquete, Raphael Moses & Gawryszewski, Gustavo, 2023. "Who needs cash? Digital finance and income inequality," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 84-93.
    19. Morgan, Peter J. & Long, Trinh Quang, 2020. "Financial literacy, financial inclusion, and savings behavior in Laos," Journal of Asian Economics, Elsevier, vol. 68(C).
    20. Josephat Lotto, 2022. "Understanding financial inclusion in East Africa: How does Tanzania compare?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1075-1084, January.

  76. Tomoko Tamakoshi & Shigeyuki Hamori, 2015. "Health-care expenditure, GDP and share of the elderly in Japan: a panel cointegration analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 22(9), pages 725-729, June.

    Cited by:

    1. Yang Yang & Han Lin Shang & Joel E. Cohen, 2022. "Temporal and spatial Taylor's law: Application to Japanese subnational mortality rates," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(4), pages 1979-2006, October.
    2. Kabaya, Kei, 2021. "Empirical analysis of associations between health expenditure and forest environments: A case of Japan," Ecological Economics, Elsevier, vol. 181(C).
    3. Alberto Bucci & Lorenzo Carbonari & Monia Ranalli & Giovanni Trovato, 2019. "Health and Development," CEIS Research Paper 470, Tor Vergata University, CEIS, revised 24 Mar 2021.
    4. Yang, Zhenshan & Jia, Peng & Liu, Weidong & Yin, Hongchun, 2017. "Car ownership and urban development in Chinese cities: A panel data analysis," Journal of Transport Geography, Elsevier, vol. 58(C), pages 127-134.
    5. Deepak Kumar BEHERA & Umakant DASH, 2017. "Impact of GDP and tax revenue on health care financing: An empirical investigation from Indian states," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(611), S), pages 249-262, Summer.

  77. Tian, Shuairu & Hamori, Shigeyuki, 2015. "Modeling interest rate volatility: A Realized GARCH approach," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 158-171.

    Cited by:

    1. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020. "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    2. Wu, Xinyu & Xia, Michelle & Zhang, Huanming, 2020. "Forecasting VaR using realized EGARCH model with skewness and kurtosis," Finance Research Letters, Elsevier, vol. 32(C).
    3. Wang, Tianyi & Liang, Fang & Huang, Zhuo & Yan, Hong, 2022. "Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model," Economic Modelling, Elsevier, vol. 109(C).
    4. Li, Dongxin & Zhang, Li & Li, Lihong, 2023. "Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model," International Review of Financial Analysis, Elsevier, vol. 88(C).
    5. Ehsan Hajizadeh & Masoud Mahootchi, 2019. "Developing a Risk-Based Approach for American Basket Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1593-1612, April.
    6. Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Econometrics, MDPI, vol. 11(3), pages 1-36, August.
    7. Jiang, Wei & Ruan, Qingsong & Li, Jianfeng & Li, Ye, 2018. "Modeling returns volatility: Realized GARCH incorporating realized risk measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 249-258.
    8. Tian, Shuairu & Hamori, Shigeyuki, 2016. "Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 163-171.
    9. Liu, Tao & Guan, Xinyue & Wei, Yigang & Xue, Shan & Xu, Liang, 2023. "Impact of economic policy uncertainty on the volatility of China's emission trading scheme pilots," Energy Economics, Elsevier, vol. 121(C).
    10. Yusui Tang & Feng Ma & Yaojie Zhang & Yu Wei, 2022. "Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4770-4783, October.
    11. Lin, Saiyan & Chen, Rongda & Lv, Zhihong & Zhou, Tianqing & Jin, Chenglu, 2019. "Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    12. Wei, Yu & Liu, Jing & Lai, Xiaodong & Hu, Yang, 2017. "Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?," Energy Economics, Elsevier, vol. 68(C), pages 141-150.
    13. Mozumder, Sharif & Dempsey, Michael & Kabir, M. Humayun & Choudhry, Taufiq, 2016. "An improved framework for approximating option prices with application to option portfolio hedging," Economic Modelling, Elsevier, vol. 59(C), pages 285-296.
    14. Xiafei Li & Yu Wei & Xiaodan Chen & Feng Ma & Chao Liang & Wang Chen, 2022. "Which uncertainty is powerful to forecast crude oil market volatility? New evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4279-4297, October.
    15. Jui‐Cheng Hung & Hung‐Chun Liu & J. Jimmy Yang, 2023. "Does the tail risk index matter in forecasting downside risk?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3451-3466, July.
    16. Stavroula P. Fameliti & Vasiliki D. Skintzi, 2020. "Predictive ability and economic gains from volatility forecast combinations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 200-219, March.
    17. Emel Siklar & Ilyas Siklar, 2021. "Time Series Dynamics of Short Term Interest Rates in Turkey," Business and Economic Research, Macrothink Institute, vol. 11(1), pages 92-108, March.
    18. Hasanov, Akram Shavkatovich & Poon, Wai Ching & Al-Freedi, Ajab & Heng, Zin Yau, 2018. "Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions," Energy Economics, Elsevier, vol. 70(C), pages 307-333.

  78. Yang, Lu & Hamori, Shigeyuki, 2015. "Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 124-138.

    Cited by:

    1. Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016. "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 118-139.
    2. Chaker Aloui & Rania Jammazi & Hela Ben Hamida, 2018. "Multivariate Co-movement Between Islamic Stock and Bond Markets Among the GCC: A Wavelet-Based View," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 603-626, August.
    3. Vukovic, Darko B. & Lapshina, Kseniya A. & Maiti, Moinak, 2021. "Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    4. Yang, Lu & Tian, Shuairu & Yang, Wei & Xu, Mingli & Hamori, Shigeyuki, 2018. "Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 116-137.
    5. Stoupos, Nikolaos & Kiohos, Apostolos, 2022. "Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    6. Jammazi, Rania & Tiwari, Aviral Kr. & Ferrer, Román & Moya, Pablo, 2015. "Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 74-93.
    7. Karkowska, Renata & Urjasz, Szczepan, 2021. "Connectedness structures of sovereign bond markets in Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 74(C).
    8. Yang, Lu & Yang, Lei & Hamori, Shigeyuki, 2018. "Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 19-34.
    9. Zhu, Huiming & Meng, Liang & Ge, Yajing & Hau, Liya, 2020. "Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    10. Funashima Yoshito, 2021. "Time–Frequency Regression," Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 21-32, January.
    11. Bhuiyan, Rubaiyat Ahsan & Rahman, Maya Puspa & Saiti, Buerhan & Ghani, Gairuzazmi Bin Mat, 2019. "Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 675-687.
    12. Lu Yang & Jason Z. Ma & Shigeyuki Hamori, 2018. "Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach," Sustainability, MDPI, vol. 10(2), pages 1-23, January.
    13. Xiao Jing Cai & Zheng Fang & Youngho Chang & Shuairu Tian & Shigeyuki Hamori, 2020. "Co-movements in commodity markets and implications in diversification benefits," Empirical Economics, Springer, vol. 58(2), pages 393-425, February.
    14. Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020. "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    15. Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
    16. Shabeer Khan & Niaz Ahmed Bhutto & Uzair Abdullah Khan & Mohd Ziaur Rehman & Wadi B. Alonazi & Abdullah Ludeen, 2022. "Ṣukūk or Bond, Which Is More Sustainable during COVID-19? Global Evidence from the Wavelet Coherence Model," Sustainability, MDPI, vol. 14(17), pages 1-20, August.
    17. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    18. Meng, Xiangcai & Huang, Chia-Hsing, 2019. "The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 131-148.

  79. Yang, Lu & Cai, Xiao Jing & Li, Mengling & Hamori, Shigeyuki, 2015. "Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas," Economic Modelling, Elsevier, vol. 51(C), pages 308-314.

    Cited by:

    1. Mensah, Jones Odei & Alagidede, Paul, 2017. "How are Africa's emerging stock markets related to advanced markets? Evidence from copulas," Economic Modelling, Elsevier, vol. 60(C), pages 1-10.
    2. Sehgal, Sanjay & Pandey, Piyush & Diesting, Florent, 2017. "Examining dynamic currency linkages amongst South Asian economies: An empirical study," Research in International Business and Finance, Elsevier, vol. 42(C), pages 173-190.
    3. Phong Nguyen & Wei-han Liu, 2017. "Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 43-76, March.
    4. Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2017. "Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study," Working Papers hal-01885142, HAL.
    5. Nguyen, Cuong & Bhatti, M. Ishaq & Komorníková, Magda & Komorník, Jozef, 2016. "Gold price and stock markets nexus under mixed-copulas," Economic Modelling, Elsevier, vol. 58(C), pages 283-292.
    6. Zhu, Xiaoqian & Wei, Lu & Li, Jianping, 2021. "A two-stage general approach to aggregate multiple bank risks," Finance Research Letters, Elsevier, vol. 40(C).
    7. A. Ford Ramsey & Barry K. Goodwin, 2019. "Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program," JRFM, MDPI, vol. 12(2), pages 1-21, April.
    8. Bellenzier, Lucia & Vitting Andersen, Jørgen & Rotundo, Giulia, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Economic Modelling, Elsevier, vol. 59(C), pages 224-236.
    9. Labidi, Chiaz & Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Bekiros, Stelios, 2018. "Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 179-211.
    10. Yang, Lu & Yang, Lei & Hamori, Shigeyuki, 2018. "Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 19-34.
    11. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    12. Lin, Saiyan & Chen, Rongda & Lv, Zhihong & Zhou, Tianqing & Jin, Chenglu, 2019. "Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    13. Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022. "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, vol. 114(C).
    14. Prince Osei Mensah & Anokye M. Adam, 2020. "Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana," Risks, MDPI, vol. 8(2), pages 1-20, June.
    15. Nguyen, Cuong & Ishaq Bhatti, M. & Henry, Darren, 2017. "Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 480(C), pages 10-21.
    16. Benlagha, Noureddine, 2020. "Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade," Research in International Business and Finance, Elsevier, vol. 54(C).
    17. Mokni, Khaled & Mansouri, Faysal, 2017. "Conditional dependence between international stock markets: A long memory GARCH-copula model approach," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 116-131.
    18. Yunsong Xu & Hanying Qi & Jiaqi Li & Ning Ding, 2021. "The Risk Spillover Effects of the Real Estate Industry on the Financial Industry: A GARCH-Time-Varying-Copula-CoVaR Approach on China," SAGE Open, , vol. 11(4), pages 21582440211, December.
    19. Jiang, Kunliang & Ye, Wuyi, 2022. "Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?," Economic Modelling, Elsevier, vol. 117(C).
    20. Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2018. "Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 389-425, June.
    21. Charfeddine, Lanouar & Al Refai, Hisham, 2019. "Political tensions, stock market dependence and volatility spillover: Evidence from the recent intra-GCC crises," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    22. Lei, Lei & Peng, Yijie & Fu, Michael C. & Hu, Jian-Qiang, 2023. "Copula sensitivity analysis for portfolio credit derivatives," European Journal of Operational Research, Elsevier, vol. 308(1), pages 455-466.
    23. Mo, Guoli & Zhang, Weiguo & Tan, Chunzhi & Liu, Xing, 2022. "Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    24. Abakah, Emmanuel Joel Aikins & Addo, Emmanuel & Gil-Alana, Luis A. & Tiwari, Aviral Kumar, 2021. "Re-examination of international bond market dependence: Evidence from a pair copula approach," International Review of Financial Analysis, Elsevier, vol. 74(C).

  80. Takeshi Inoue & Shigeyuki Hamori, 2014. "Market efficiency of commodity futures in India," Applied Economics Letters, Taylor & Francis Journals, vol. 21(8), pages 522-527, May.
    See citations under working paper version above.
  81. Yang, Lu & Hamori, Shigeyuki, 2014. "Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 145-155.

    Cited by:

    1. Solikin M. Juhro & Bernard N. Iyke & Paresh K. Narayan, 2020. "Interdependence Between Monetary Policy And Asset Prices In Asean-5 Countries," Working Papers WP/01/2020, Bank Indonesia.
    2. Bosupeng, Mpho, 2015. "The Impossible Trinity and Financial Markets – An Examination of Inflation Volatility Spillovers," MPRA Paper 77923, University Library of Munich, Germany, revised 2015.
    3. Sophio Togonidze & Evzen Kocenda, 2020. "Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: Analysis by Region and Resource Profile," Working Papers IES 2020/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2020.
    4. Chandra Utama & Insukindro & Ardyanto Fitrady, 2022. "Fiscal And Monetary Policy Interactions In Indonesia During Periods Of Economic Turmoil In The Us: 2001q1-2014q4," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 25(1), pages 97-116, June.
    5. Ahmad Maulin Naufa & Mamduh M. Hanafi & I Wayan Nuka Lantara, 2021. "Foreign Ownership, Stock Performance-Risk, And Macroeconomic Factors In Asean Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 24(1), pages 151-168, March.
    6. Benson, Karen & Faff, Robert & Smith, Tom, 2015. "Injecting liquidity into liquidity research," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 533-540.
    7. , & Hwa, Yen Siew & Chua, Soo Y. & Hooi, Lean Hooi, 2015. "Do Indian Economic Activities Impact ASEAN-5 Stock Markets?," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 49(2), pages 61-76.
    8. Sun, Xinxin & Lu, Xinsheng & Yue, Gongzheng & Li, Jianfeng, 2017. "Cross-correlations between the US monetary policy, US dollar index and crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 326-344.

  82. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "Spillovers among CDS indexes in the US financial sector," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 104-113.

    Cited by:

    1. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Spillover effects in oil-related CDS markets during and after the sub-prime crisis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    2. Ahmed, Walid M.A., 2018. "On the interdependence of natural gas and stock markets under structural breaks," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 149-161.
    3. Ahmed, Walid M.A., 2019. "Islamic and conventional equity markets: Two sides of the same coin, or not?," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 191-205.
    4. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
    5. Marlene Amstad & Eli M Remolona & Jimmy Shek, 2016. "How do global investors differentiate between sovereign risks? The new normal versus the old," BIS Working Papers 541, Bank for International Settlements.
    6. Zhang, Yulian & He, Xie & Nakajima, Tadahiro & Hamori, Shigeyuki, 2020. "Oil, Gas, or Financial Conditions-Which One Has a Stronger Link with Growth?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    7. Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2015. "Interdependence between Sovereign and Bank CDS Spreads in Eurozone during the European Debt Crisis - The PSI Effect," MPRA Paper 68037, University Library of Munich, Germany.
    8. Bouri, Elie & Awartani, Basel & Maghyereh, Aktham, 2016. "Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010," Energy Economics, Elsevier, vol. 56(C), pages 205-214.
    9. Tamakoshi, Go & Hamori, Shigeyuki, 2016. "Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK," Research in International Business and Finance, Elsevier, vol. 36(C), pages 288-296.

  83. Yasunori Yoshizaki & Shigeyuki Haomori, 2014. "The effects of oil price shocks on expenditure category CPI," Applied Economics, Taylor & Francis Journals, vol. 46(14), pages 1652-1664, May.

    Cited by:

    1. Claudiu Tiberiu Albulescu & Aviral Kumar Tiwari & Cornel Oros, 2017. "Oil price-inflation pass-through in Romania during the inflation targeting regime," Post-Print hal-01434319, HAL.
    2. Zhou, Ying-Zhe & Huang, Jian-Bai & Chen, Jin-Yu, 2019. "Time-varying effect of the financialization of nonferrous metals markets on China's industrial sector," Resources Policy, Elsevier, vol. 64(C).
    3. Naurin, Abida & Qayyum, Abdul, 2016. "Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model," MPRA Paper 69774, University Library of Munich, Germany.
    4. Jinyu Chen & Xuehong Zhu, 2021. "The Effects of Different Types of Oil Price Shocks on Industrial PPI: Evidence from 36 Sub-industries in China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(12), pages 3411-3434, September.
    5. Zhang, Yulian & He, Xie & Nakajima, Tadahiro & Hamori, Shigeyuki, 2020. "Oil, Gas, or Financial Conditions-Which One Has a Stronger Link with Growth?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    6. Zhang, Yulian & Hamori, Shigeyuki, 2022. "A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 182-203.

  84. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads," Research in International Business and Finance, Elsevier, vol. 30(C), pages 83-90.

    Cited by:

    1. Kai-Hua Wang & Chi-Wei Su & Ran Tao, 2019. "Does the Mundell-Fleming model fit in China?," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(1), pages 11-28.
    2. Pedro Pires Ribeiro & José Dias Curto, 2017. "Volatility spillover effects in interbank money markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 105-136, February.
    3. Bhuyan, Rafiqul & Robbani, Mohammad G. & Talukdar, Bakhtear & Jain, Ajeet, 2016. "Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 180-195.

  85. Go Tamakoshi & Shigeyuki Hamori, 2014. "Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 627-642, October.

    Cited by:

    1. Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019. "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, vol. 77(C), pages 23-33.
    2. Jin Guo & Tetsuji Tanaka, 2020. "The Effectiveness of Self-Sufficiency Policy: International Price Transmissions in Beef Markets," Sustainability, MDPI, vol. 12(15), pages 1-23, July.
    3. Tetsuji Tanaka & Jin Guo, 2020. "How does the self-sufficiency rate affect international price volatility transmissions in the wheat sector? Evidence from wheat-exporting countries," Palgrave Communications, Palgrave Macmillan, vol. 7(1), pages 1-13, December.
    4. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics Discussion Papers 2014-9, Kiel Institute for the World Economy (IfW Kiel).
    5. Jin Guo & Tetsuji Tanaka, 2019. "Determinants of international price volatility transmissions: the role of self-sufficiency rates in wheat-importing countries," Palgrave Communications, Palgrave Macmillan, vol. 5(1), pages 1-13, December.
    6. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    7. Jammazi, Rania & Ferrer, Román & Jareño, Francisco & Hammoudeh, Shawkat M., 2017. "Main driving factors of the interest rate-stock market Granger causality," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 260-280.
    8. Umar, Zaghum & Yousaf, Imran & Aharon, David Y., 2021. "The relationship between yield curve components and equity sectorial indices: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    9. Yuki Toyoshima, 2018. "Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-10, April.
    10. Román Ferrer & Syed Jawad Hussain Shahzad & Adrián Maizonada, 2019. "Nonlinear and extreme dependence between long-term sovereign bond yields and the stock market: A quantile-on-quantile analysis," Economics Bulletin, AccessEcon, vol. 39(2), pages 969-981.
    11. Umar, Zaghum & Riaz, Yasir & Shahab, Yasir & Teplova, Tamara, 2023. "Network connectedness of the term structure of yield curve and global Sukuks," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).

  86. Shenglong Liu & Guifu Chen & Shigeyuki Hamori, 2014. "Empirical research on monetary policy, asset prices and inflation: an analysis based on provincial panel data in China," Applied Economics, Taylor & Francis Journals, vol. 46(34), pages 4190-4204, December.

    Cited by:

    1. Chi-Wei Su & Jiao-Jiao Fan & Hsu-Ling Chang & Xiao-Lin Li, 2016. "Is there Causal Relationship between Money Supply Growth and Inflation in China? Evidence from Quantity Theory of Money," Review of Development Economics, Wiley Blackwell, vol. 20(3), pages 702-719, August.

  87. Yang, Lu & Hamori, Shigeyuki, 2014. "Dependence structure between CEEC-3 and German government securities markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 109-125.

    Cited by:

    1. Yang, Lu, 2019. "Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective," Energy Economics, Elsevier, vol. 80(C), pages 219-233.
    2. Karkowska, Renata & Urjasz, Szczepan, 2021. "Connectedness structures of sovereign bond markets in Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 74(C).
    3. Yang, Lu & Yang, Lei & Ho, Kung-Cheng & Hamori, Shigeyuki, 2020. "Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach," Journal of Asian Economics, Elsevier, vol. 68(C).
    4. Yang, Lu & Yang, Lei & Hamori, Shigeyuki, 2018. "Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 19-34.
    5. Wenming Shi & Kevin X. Li & Zhongzhi Yang & Ganggang Wang, 2017. "Time-varying copula models in the shipping derivatives market," Empirical Economics, Springer, vol. 53(3), pages 1039-1058, November.
    6. Jalan, Akanksha & Matkovskyy, Roman & Yarovaya, Larisa, 2021. "“Shiny” crypto assets: A systemic look at gold-backed cryptocurrencies during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 78(C).
    7. Wohlmann, Monika, 2015. "Finanzmarktintegration in Mittelosteuropa: Eine empirische Analyse der integrativen Wirkung des Euro," Arbeitspapiere der FOM 55, FOM Hochschule für Oekonomie & Management.
    8. Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers 2013/14, Czech National Bank.
    9. Lu Yang & Jason Z. Ma & Shigeyuki Hamori, 2018. "Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach," Sustainability, MDPI, vol. 10(2), pages 1-23, January.
    10. Guizhou Liu & Shigeyuki Hamori, 2020. "Can One Reinforce Investments in Renewable Energy Stock Indices with the ESG Index?," Energies, MDPI, vol. 13(5), pages 1-19, March.
    11. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "The conditional dependence structure of insurance sector credit default swap indices," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 122-132.
    12. Huang, MeiChi & Wu, Chih-Chiang & Liu, Shih-Min & Wu, Chang-Che, 2016. "Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 54-71.
    13. Yang, Lu & Hamori, Shigeyuki, 2015. "Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 124-138.

  88. Takuji Kinkyo & Shigeyuki Hamori, 2014. "Exchange Rate Flexibility and the Integration of the Securities Market in East Asia," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 293-309.

    Cited by:

    1. Wan, Xiaoli & Yan, Yuruo & Zeng, Zhixiong, 2020. "Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).

  89. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "The conditional dependence structure of insurance sector credit default swap indices," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 122-132.

    Cited by:

    1. Phong Nguyen & Wei-han Liu, 2017. "Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 43-76, March.
    2. Atil, Ahmed & Bradford, Marc & Elmarzougui, Abdelaziz & Lahiani, Amine, 2016. "Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation," Finance Research Letters, Elsevier, vol. 19(C), pages 42-53.
    3. A. Ford Ramsey & Barry K. Goodwin, 2019. "Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program," JRFM, MDPI, vol. 12(2), pages 1-21, April.
    4. Yang, Lu & Yang, Lei & Hamori, Shigeyuki, 2018. "Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 19-34.
    5. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    6. Lin, Saiyan & Chen, Rongda & Lv, Zhihong & Zhou, Tianqing & Jin, Chenglu, 2019. "Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    7. Oussama Kchaou & Makram Bellalah & Sofiane Tahi, 2022. "Transmission of the Greek crisis on the sovereign debt markets in the euro area," Annals of Operations Research, Springer, vol. 313(2), pages 1117-1139, June.
    8. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    9. Lei, Lei & Peng, Yijie & Fu, Michael C. & Hu, Jian-Qiang, 2023. "Copula sensitivity analysis for portfolio credit derivatives," European Journal of Operational Research, Elsevier, vol. 308(1), pages 455-466.
    10. Krupskii, Pavel & Joe, Harry, 2020. "Flexible copula models with dynamic dependence and application to financial data," Econometrics and Statistics, Elsevier, vol. 16(C), pages 148-167.

  90. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 105-113.

    Cited by:

    1. Sehgal, Sanjay & Pandey, Piyush & Diesting, Florent, 2017. "Examining dynamic currency linkages amongst South Asian economies: An empirical study," Research in International Business and Finance, Elsevier, vol. 42(C), pages 173-190.
    2. de Truchis, Gilles & Dell’Eva, Cyril & Keddad, Benjamin, 2017. "On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 82-98.
    3. Değerli, Ahmet & Fendoğlu, Salih, 2015. "Reserve option mechanism as a stabilizing policy tool: Evidence from exchange rate expectations," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 166-179.
    4. Marco Tronzano, 2020. "Safe-Haven Assets, Financial Crises, and Macroeconomic Variables: Evidence from the Last Two Decades (2000–2018)," JRFM, MDPI, vol. 13(3), pages 1-21, February.
    5. Kim, In Joon & Kim, So Jung & Yoon, Sun-Joong, 2014. "A dark side of international capital market integration: Domestic investors' view," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 238-256.
    6. Lu Yang & Lei Yang & Kung-Cheng Ho & Shigeyuki Hamori, 2019. "Determinants of the Long-Term Correlation between Crude Oil and Stock Markets," Energies, MDPI, vol. 12(21), pages 1-15, October.
    7. Antonio Portugal Duarte & Nuno Baetas da Silva, 2022. "Exchange Rate Synchronization for a Set of Currencies from Different Monetary Areas," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 69(2), pages 163-189, June.
    8. Fuinhas, José Alberto & Marques, António Cardoso & Nogueira, David Coito, 2014. "Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA [Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach]," MPRA Paper 62092, University Library of Munich, Germany, revised 10 Feb 2015.
    9. Tetsuji Tanaka & Jin Guo, 2020. "International price volatility transmission and structural change: a market connectivity analysis in the beef sector," Palgrave Communications, Palgrave Macmillan, vol. 7(1), pages 1-13, December.
    10. Bong-Han Kim & Hyeongwoo Kim & Bong-Soo Lee, 2012. "Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries," Auburn Economics Working Paper Series auwp2012-06, Department of Economics, Auburn University.
    11. Yang, Lu & Cai, Xiao Jing & Zhang, Huimin & Hamori, Shigeyuki, 2016. "Interdependence of foreign exchange markets: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 55(C), pages 6-14.
    12. Mo, Guoli & Tan, Chunzhi & Zhang, Weiguo & Liu, Fang, 2019. "International portfolio of stock indices with spatiotemporal correlations: Can investors still benefit from portfolio, when and where?," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 168-183.
    13. Li, Jingwen & Wang, Yue & Song, Yubing & Su, Chi Wei, 2023. "How resistant is gold to stress? New evidence from global supply chain," Resources Policy, Elsevier, vol. 85(PB).
    14. Prince Osei Mensah & Anokye M. Adam, 2020. "Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana," Risks, MDPI, vol. 8(2), pages 1-20, June.
    15. Dr. Fabian Fink & Dr. Lukas Frei & Dr. Oliver Gloede, 2020. "Short-term determinants of bilateral exchange rates: A decomposition model for the Swiss franc," Working Papers 2020-21, Swiss National Bank.
    16. Saba Qureshi & Muhammad Aftab, 2023. "Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis," Global Business Review, International Management Institute, vol. 24(6), pages 1180-1204, December.
    17. Kamaruzdin, Thaqif & Masih, Mansur, 2014. "An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT Wavelet approaches," MPRA Paper 60248, University Library of Munich, Germany.
    18. Leroi RAPUTSOANE, 2016. "Real Effective Exchange Rates Comovements and the South African Currency," Journal of Economics Library, KSP Journals, vol. 3(1), pages 57-68, March.
    19. Anwer, Zaheer & Naeem, Muhammad Abubakr & Hassan, M. Kabir & Karim, Sitara, 2022. "Asymmetric connectedness across Asia-Pacific currencies: Evidence from time-frequency domain analysis," Finance Research Letters, Elsevier, vol. 47(PB).
    20. Boakye, Robert Owusu & Mensah, Lord Kwaku & Kang, Sang Hoon & Osei, Kofi Acheampong, 2023. "Foreign exchange market return spillovers and connectedness among African countries," International Review of Financial Analysis, Elsevier, vol. 86(C).
    21. Simona Moagăr-Poladian & Dorina Clichici & Cristian-Valeriu Stanciu, 2019. "The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe," Sustainability, MDPI, vol. 11(14), pages 1-22, July.
    22. Ain Shahrier, Nur, 2022. "Contagion effects in ASEAN-5 exchange rates during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    23. Albulescu, Claudiu Tiberiu & Aubin, Christian & Goyeau, Daniel & Tiwari, Aviral Kumar, 2018. "Extreme co-movements and dependencies among major international exchange rates: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 56-69.
    24. Krapl, Alain A., 2020. "The time-varying diversifiability of corporate foreign exchange exposure," Journal of Corporate Finance, Elsevier, vol. 65(C).
    25. Siaw Frimpong, 2022. "On the Macroeconomic Conditions of West African Economies to External Uncertainty Shocks," Risks, MDPI, vol. 10(7), pages 1-27, July.
    26. Sevda Kuşkaya & Nurhan Toğuç & Faik Bilgili, 2022. "Wavelet coherence analysis and exchange rate movements," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(6), pages 4675-4692, December.
    27. Szafranek, Karol, 2021. "Disentangling the sources of inflation synchronization. Evidence from a large panel dataset," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 229-245.
    28. Gu, Huaying & Liu, Zhixue & Weng, Yingliang, 2017. "Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 460-472.
    29. Costas Karfakis & Theodore Panagiotidis, 2015. "The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 795-811, November.
    30. Costas Karfakis & Theodore Panagiotidis, 2014. "The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets," Discussion Paper Series 2014_01, Department of Economics, University of Macedonia, revised Sep 2014.
    31. Peterson Owusu Junior & Anokye M. Adam & George Tweneboah, 2017. "Co-movement of real exchange rates in the West African Monetary Zone," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1351807-135, January.
    32. Owusu Junior, Peterson & Tweneboah, George, 2020. "Are there asymmetric linkages between African stocks and exchange rates?," Research in International Business and Finance, Elsevier, vol. 54(C).
    33. Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2020. "Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis," International Review of Financial Analysis, Elsevier, vol. 72(C).
    34. Anwer, Zaheer & Khan, Ashraf & Kabir Hassan, M. & Rashid, Mamunur, 2022. "Does the regional proximity lead to exchange rate spillover?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    35. El Abed, Riadh & Zardoub, Amna, 2017. "Time varying and asymmetric effect between sovereign credit market and financial market: The asymmetric DCC model," Economics Discussion Papers 2017-97, Kiel Institute for the World Economy (IfW Kiel).
    36. Guoli Mo & Chunzhi Tan & Weiguo Zhang & Xuezeng Yu, 2023. "Dynamic spatiotemporal correlation coefficient based on adaptive weight," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-43, December.
    37. Riadh Abed & Amna Zardoub, 2019. "On the co-movements among gold and other financial markets: a multivariate time-varying asymmetric approach," International Economics and Economic Policy, Springer, vol. 16(4), pages 701-719, October.
    38. Das, Suman & Roy, Saikat Sinha, 2023. "Following the leaders? A study of co-movement and volatility spillover in BRICS currencies," Economic Systems, Elsevier, vol. 47(2).
    39. Fink, Fabian & Frei, Lukas & Gloede, Oliver, 2022. "Global risk sentiment and the Swiss franc: A time-varying daily factor decomposition model," Journal of International Money and Finance, Elsevier, vol. 122(C).
    40. Wang, Xiangning & Huang, Qian & Zhang, Shuguang, 2023. "Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    41. Feng, Yun & Yang, Jie & Huang, Qian, 2023. "Multiscale correlation analysis of Sino-US corn futures markets and the impact of international crude oil price: A new perspective from the multifractal method," Finance Research Letters, Elsevier, vol. 53(C).
    42. Gong, Pu & Weng, Yingliang, 2016. "Value-at-Risk forecasts by a spatiotemporal model in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 441(C), pages 173-191.
    43. Jung-Bin Su & Jui-Cheng Hung, 2018. "The Value-At-Risk Estimate of Stock and Currency-Stock Portfolios’ Returns," Risks, MDPI, vol. 6(4), pages 1-42, November.
    44. Sriananthakumar, Sivagowry & Narayan, Seema, 2015. "Are prolonged conflict and tension deterrents for stock market integration? The case of Sri Lanka," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 504-520.
    45. Mo, Guoli & Zhang, Weiguo & Tan, Chunzhi & Liu, Xing, 2022. "Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    46. Jianxu Liu & Mengjiao Wang & Songsak Sriboonchitta, 2019. "Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach," Sustainability, MDPI, vol. 11(19), pages 1-20, October.
    47. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2021. "The impact of Euro through time: Exchange rate dynamics under different regimes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1375-1408, January.
    48. Meng, Xiangcai & Huang, Chia-Hsing, 2019. "The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 131-148.
    49. Mészáros Mercédesz & Kiss Gábor Dávid, 2020. "Spillover effects of unconventional monetary policy on capital markets in the shadow of the Eurozone: A sample of non-Eurozone countries," Review of Economic Perspectives, Sciendo, vol. 20(2), pages 171-195, June.
    50. Joscha Beckmann & Dionysius Glycopantis & Keith Pilbeam, 2018. "The dollar–euro exchange rate and monetary fundamentals," Empirical Economics, Springer, vol. 54(4), pages 1389-1410, June.

  91. Chen, Wang & Hamori, Shigeyuki & Kinkyo, Takuji, 2014. "Macroeconomic impacts of oil prices and underlying financial shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 1-12.

    Cited by:

    1. Naveed Raza & Syed Jawad Hussain Shahzad & Aviral Kumar Tiwari & Muhammad Shahbaz, 2016. "Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets," Post-Print hal-02013747, HAL.
    2. Rufei Zhang & Haizhen Zhang & Wang Gao & Ting Li & Shixiong Yang, 2022. "The Dynamic Effects of Oil Price Shocks on Exchange Rates—From a Time-Varying Perspective," Sustainability, MDPI, vol. 14(14), pages 1-20, July.
    3. Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2017. "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," MPRA Paper 80435, University Library of Munich, Germany.
    4. Niaz Bashiri Behmiri, Maryam Ahmadi, Juha-Pekka Junttila, and Matteo Manera, 2021. "Financial Stress and Basis in Energy Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
    5. Mohammad I. Elian & Khalid M. Kisswani, 2018. "Oil price changes and stock market returns: cointegration evidence from emerging market," Economic Change and Restructuring, Springer, vol. 51(4), pages 317-337, November.
    6. Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2020. "The theory of storage in the crude oil futures market, the role of financial conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1160-1175, July.
    7. Hong, Yanran & Wang, Lu & Liang, Chao & Umar, Muhammad, 2022. "Impact of financial instability on international crude oil volatility: New sight from a regime-switching framework," Resources Policy, Elsevier, vol. 77(C).
    8. Bei Zhang & Xiaoqing Ai & Xingming Fang & Shi Chen, 2022. "The Transmission Mechanisms and Impacts of Oil Price Fluctuations: Evidence from DSGE Model," Energies, MDPI, vol. 15(16), pages 1-20, August.
    9. Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015. "US stock market regimes and oil price shocks," MPRA Paper 80436, University Library of Munich, Germany.
    10. Gupta, Rangan & Kanda, Patrick & Tiwari, Aviral Kumar & Wohar, Mark E., 2019. "Time-varying predictability of oil market movements over a century of data: The role of US financial stress," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    11. Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023. "Financial stress and commodity price volatility," Energy Economics, Elsevier, vol. 125(C).
    12. Alexey Mikhaylov & Ishaq M. Bhatti & Hasan Dinçer & Serhat Yüksel, 2024. "Integrated decision recommendation system using iteration-enhanced collaborative filtering, golden cut bipolar for analyzing the risk-based oil market spillovers," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 305-338, January.
    13. Barrales-Ruiz, Jose & Mohammed, Mikidadu, 2021. "Financial regimes and oil prices," Resources Policy, Elsevier, vol. 74(C).
    14. Hong Thai Le & Marta Disegna, 2018. "Responses of macroeconomy and stock markets to structural oil price shocks: New evidence from Asian oil refinery," BAFES Working Papers BAFES25, Department of Accounting, Finance & Economic, Bournemouth University.
    15. Singhal, Shelly & Ghosh, Sajal, 2016. "Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models," Resources Policy, Elsevier, vol. 50(C), pages 276-288.
    16. Liu, Zhenhua & Tseng, Hui-Kuan & Wu, Jy S. & Ding, Zhihua, 2020. "Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects," Resources Policy, Elsevier, vol. 66(C).
    17. Liang Wang & Tingjia Xu, 2022. "Bidirectional Risk Spillovers between Exchange Rate of Emerging Market Countries and International Crude Oil Price–Based on Time-varing Copula-CoVaR," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 383-414, January.
    18. Hong, Yanran & Li, Pan & Wang, Lu & Zhang, Yaojie, 2023. "New evidence of extreme risk transmission between financial stress and international crude oil markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    19. Broadstock, David C. & Filis, George, 2014. "Oil price shocks and stock market returns: New evidence from the United States and China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 417-433.
    20. Belhassine, Olfa, 2020. "Volatility spillovers and hedging effectiveness between the oil market and Eurozone sectors: A tale of two crises," Research in International Business and Finance, Elsevier, vol. 53(C).
    21. Zhishuang Zhu & Huaming Zhang & Gege Tao & Feng Yu, 2016. "Effects of gas pricing reform on China’s price level and total output," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 84(1), pages 167-178, November.
    22. Nazlioglu, Saban & Soytas, Ugur & Gupta, Rangan, 2015. "Oil prices and financial stress: A volatility spillover analysis," Energy Policy, Elsevier, vol. 82(C), pages 278-288.
    23. Andrea Cipollini & Ieva Mikaliunaite, 2021. "Financial distress and real economic activity in Lithuania: a Granger causality test based on mixed-frequency VAR," Empirical Economics, Springer, vol. 61(2), pages 855-881, August.
    24. Brahim Gaies, Khaled Guesmi, Thomas Porcher, Raphael Boroumand, 2020. "Financial instability and oil price fluctuations: evidence from oil exporting developing countries," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 17(1), pages 55-71, June.
    25. Zouheir Ahmed Mighri & Majid Ibrahim Alsaggaf, 2019. "Asymmetric Threshold Cointegration and Nonlinear Adjustment between Oil Prices and Financial Stress," International Journal of Energy Economics and Policy, Econjournals, vol. 9(3), pages 87-105.
    26. Jiang, Yong & Wang, Gang-Jin & Ma, Chaoqun & Yang, Xiaoguang, 2021. "Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 1-15.
    27. Zhang, Yulian & He, Xie & Nakajima, Tadahiro & Hamori, Shigeyuki, 2020. "Oil, Gas, or Financial Conditions-Which One Has a Stronger Link with Growth?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    28. Ding, Qian & Huang, Jianbai & Zhang, Hongwei, 2021. "The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis," Resources Policy, Elsevier, vol. 72(C).
    29. Wan, Jer-Yuh & Kao, Chung-Wei, 2015. "Interactions between oil and financial markets — Do conditions of financial stress matter?," Energy Economics, Elsevier, vol. 52(PA), pages 160-175.
    30. Yin, Libo & Nie, Jing & Han, Liyan, 2021. "Understanding cryptocurrency volatility: The role of oil market shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 233-253.
    31. Giray Gozgor & Ender Demir, 2017. "Excess stock returns, oil shocks, and policy uncertainty in the U.S," Economics Bulletin, AccessEcon, vol. 37(2), pages 741-755.
    32. Dagher, Leila & Hasanov, Fakhri, 2022. "Oil Market Shocks and Financial Instability in Asian Countries," MPRA Paper 116079, University Library of Munich, Germany.
    33. Onur POLAT, 2018. "The Interaction between Oil Price and Financial Stress: Evidence from the U.S. Data," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3.
    34. Das, Debojyoti & Maitra, Debasish & Dutta, Anupam & Basu, Sankarshan, 2022. "Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework," Energy Economics, Elsevier, vol. 115(C).
    35. Yuki Toyoshima & Shigeyuki Hamori, 2018. "Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets," Energies, MDPI, vol. 11(11), pages 1-18, October.
    36. Chen, Wang & Hamori, Shigeyuki & Kinkyo, Takuji, 2019. "Complexity of financial stress spillovers: Asymmetry and interaction effects of institutional quality and foreign bank ownership," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 567-581.
    37. Filippidis, Michail & Filis, George & Kizys, Renatas, 2020. "Oil price shocks and EMU sovereign yield spreads," Energy Economics, Elsevier, vol. 86(C).
    38. Liu, Renren & Chen, Jianzhong & Wen, Fenghua, 2021. "The nonlinear effect of oil price shocks on financial stress: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    39. Bhattacherjee, Purba & Mishra, Sibanjan & Kang, Sang Hoon, 2023. "Does market sentiment and global uncertainties influence ESG-oil nexus? A time-frequency analysis," Resources Policy, Elsevier, vol. 86(PA).
    40. Debojyoti Das & Anupam Dutta & Rabin K. Jana & Indranil Ghosh, 2023. "The asymmetric impact of oil price uncertainty on emerging market financial stress: A quantile regression approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4299-4323, October.
    41. Li Ping & Li Jie & Zhang Ziyi, 2021. "The Dynamic Impact of Structural Oil Price Shocks on the Macroeconomy," Journal of Systems Science and Information, De Gruyter, vol. 9(5), pages 469-497, October.

  92. Nannan Yuan & Shigeyuki Hamori, 2014. "Crowding-out effects of affordable and unaffordable housing in China, 1999-2010," Applied Economics, Taylor & Francis Journals, vol. 46(35), pages 4318-4333, December.

    Cited by:

    1. Yi Wu & Yunong Li, 2018. "Impact of government intervention in the housing market: evidence from the housing purchase restriction policy in China," Applied Economics, Taylor & Francis Journals, vol. 50(6), pages 691-705, February.
    2. Hongbo Wang & Dan Rickman, 2017. "Regional Growth Differences in China for 1995-2013: An Empirical Integrative Analysis of their Sources," Economics Working Paper Series 1709, Oklahoma State University, Department of Economics and Legal Studies in Business.
    3. Xie He & Xiao-Jing Cai & Shigeyuki Hamori, 2018. "Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility," JRFM, MDPI, vol. 11(4), pages 1-16, December.
    4. Yang Hu & Rory Coulter, 2017. "Living space and psychological well-being in urban China: Differentiated relationships across socio-economic gradients," Environment and Planning A, , vol. 49(4), pages 911-929, April.

  93. Go Tamakoshi & Shigeyuki Hamori, 2014. "Greek sovereign bond index, volatility, and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 687-697, October.

    Cited by:

    1. Valerio Filoso & Carlo Panico & Erasmo Papagni & Francesco Purificato & Marta Vázquez Suarez, 2017. "Causes and timing of the European debt crisis: An econometric evaluation," EERI Research Paper Series EERI RP 2017/03, Economics and Econometrics Research Institute (EERI), Brussels.
    2. Tunio, Mohsin Waheed, 2023. "What Explains the Volatility in Pakistan’s Sovereign Bond Yields?," MPRA Paper 116030, University Library of Munich, Germany.
    3. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics Discussion Papers 2014-9, Kiel Institute for the World Economy (IfW Kiel).
    4. Cró, Susana & Martins, António Miguel, 2017. "Structural breaks in international tourism demand: Are they caused by crises or disasters?," Tourism Management, Elsevier, vol. 63(C), pages 3-9.
    5. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    6. Izzeldin, Marwan & Muradoğlu, Yaz Gülnur & Pappas, Vasileios & Sivaprasad, Sheeja, 2021. "The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model," International Review of Financial Analysis, Elsevier, vol. 74(C).
    7. Ibhagui, Oyakhilome, 2018. "Interrelations among cross-currency basis swap spreads: Pre-and post-crisis analysis," MPRA Paper 89024, University Library of Munich, Germany.
    8. Mariagrazia Fallanca & Antonio Fabio Forgione & Edoardo Otranto, 2021. "Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach," JRFM, MDPI, vol. 14(1), pages 1-15, January.
    9. Kin-Boon Tang & Shao-Jye Wong & Shih-Kuei Lin & Szu-Lang Liao, 2020. "Excess volatility and market efficiency in government bond markets: the ASEAN-5 context," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 154-165, March.
    10. Davide De Gaetano, 2018. "Forecast Combinations for Structural Breaks in Volatility: Evidence from BRICS Countries," JRFM, MDPI, vol. 11(4), pages 1-13, October.
    11. Gustavo Freire & Marcelo Resende, 2020. "Conditional growth volatility and sectoral comovement in U.S. industrial production, 1828–1915," Empirical Economics, Springer, vol. 59(6), pages 3063-3084, December.
    12. Bhuyan, Rafiqul & Robbani, Mohammad G. & Talukdar, Bakhtear & Jain, Ajeet, 2016. "Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 180-195.

  94. Takashi Miyazaki & Shigeyuki Hamori, 2014. "Cointegration with Regime Shift between Gold and Financial Variables," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(4), pages 90-97, October.

    Cited by:

    1. Massimo Guidolin & Francesco Melloni & Manuela Pedio, 2019. "A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle," BAFFI CAREFIN Working Papers 19121, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    2. Walid Bakry & Audil Rashid & Somar Al-Mohamad & Nasser El-Kanj, 2021. "Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach," JRFM, MDPI, vol. 14(7), pages 1-24, June.
    3. Takashi Miyazaki & Shigeyuki Hamori, 2016. "The determinants of a simultaneous crash in gold and stock markets: An ordered logit approach," Discussion Papers 1603, Graduate School of Economics, Kobe University.
    4. T. Miyazaki & S. Hamori, 2016. "Asymmetric correlations in gold and other financial markets," Applied Economics, Taylor & Francis Journals, vol. 48(46), pages 4419-4425, October.
    5. Takashi Miyazaki, 2019. "Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions," JRFM, MDPI, vol. 12(1), pages 1-18, February.
    6. Riadh Abed & Amna Zardoub, 2019. "On the co-movements among gold and other financial markets: a multivariate time-varying asymmetric approach," International Economics and Economic Policy, Springer, vol. 16(4), pages 701-719, October.

  95. G. Tamakoshi & S. Hamori, 2013. "Dynamic linkages among cross-currency swap markets under stress," Applied Economics Letters, Taylor & Francis Journals, vol. 20(4), pages 404-409, March.

    Cited by:

    1. Mitra, Sovan & Date, Paresh & Mamon, Rogemar & Wang, I-Chieh, 2013. "Pricing and risk management of interest rate swaps," European Journal of Operational Research, Elsevier, vol. 228(1), pages 102-111.
    2. Szafranek, Karol, 2021. "Evidence on time-varying inflation synchronization," Economic Modelling, Elsevier, vol. 94(C), pages 1-13.

  96. Go Tamakoshi & Shigeyuki Hamori, 2013. "Volatility and mean spillovers between sovereign and banking sector CDS markets: a note on the European sovereign debt crisis," Applied Economics Letters, Taylor & Francis Journals, vol. 20(3), pages 262-266, February.

    Cited by:

    1. Burkhard Raunig, 2018. "Economic Policy Uncertainty and the Volatility of Sovereign CDS Spreads," Working Papers 219, Oesterreichische Nationalbank (Austrian Central Bank).
    2. Maria E. de Boyrie & Ivelina Pavlova, 2016. "Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries," Applied Economics, Taylor & Francis Journals, vol. 48(7), pages 563-575, February.
    3. Daragh Clancy & Carmine Gabriele & Diana Zigraiova, 2020. "Sovereign bond market spillovers from crisis-time developments in Greece," Working Papers 45, European Stability Mechanism.
    4. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    5. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2017. "Sovereign default risk linkage: Implication for portfolio diversification," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 1-16.
    6. Antonakakis, Nikolaos & Vergos, Konstantinos, 2013. "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 258-272.
    7. Apergis, Nicholas & Baruník, Jozef & Lau, Marco Chi Keung, 2017. "Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?," Energy Economics, Elsevier, vol. 66(C), pages 108-115.
    8. Murad A.Bein & Gulcay TUNA, 2015. "Volatility Transmission and Dynamic Correlation Analysis between Developed and Emerging European Stock Markets during Sovereign Debt Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 61-80, June.
    9. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "Spillovers among CDS indexes in the US financial sector," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 104-113.
    10. Zhou, Zhongbao & Lin, Ling & Li, Shuxian, 2018. "International stock market contagion: A CEEMDAN wavelet analysis," Economic Modelling, Elsevier, vol. 72(C), pages 333-352.
    11. Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2015. "Interdependence between Sovereign and Bank CDS Spreads in Eurozone during the European Debt Crisis - The PSI Effect," MPRA Paper 68037, University Library of Munich, Germany.
    12. Liu, Xueyong & An, Haizhong & Li, Huajiao & Chen, Zhihua & Feng, Sida & Wen, Shaobo, 2017. "Features of spillover networks in international financial markets: Evidence from the G20 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 265-278.
    13. Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2020. "The effect of the PSI in the relationship between sovereign and bank credit risk: Evidence from the Euro Area," MPRA Paper 98182, University Library of Munich, Germany.
    14. Ahmad, Wasim & Sehgal, Sanjay & Bhanumurthy, N.R., 2013. "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?," Economic Modelling, Elsevier, vol. 33(C), pages 209-225.
    15. Wasim Ahmad & N.R. Bhanumurthy & Sanjay Sehgal, 2014. "The Eurozone crisis and its contagion effects on the European stock markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 31(3), pages 325-352, July.
    16. Go Tamakoshi & Shigeyuki Hamori, 2014. "Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 627-642, October.
    17. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads," Research in International Business and Finance, Elsevier, vol. 30(C), pages 83-90.

  97. Guifu Chen & Shigeyuki Hamori, 2013. "Formal And Informal Employment And Income Differentials In Urban China," Journal of International Development, John Wiley & Sons, Ltd., vol. 25(7), pages 987-1004, October.

    Cited by:

    1. Mohamed Amara, 2016. "The linkages between formal and informal employment growth in Tunisia: a spatial simultaneous equations approach," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 203-227, January.
    2. Nie, Peng & Otterbach, Steffen & Sousa-Poza, Alfonso, 2015. "Long work hours and health in China," China Economic Review, Elsevier, vol. 33(C), pages 212-229.
    3. Rahul Menon, 2019. "Short-term contracts and their effect on wages in Indian regular wage employment," The Economic and Labour Relations Review, , vol. 30(1), pages 142-164, March.
    4. Feeny, Simon & Mishra, Ankita & Trinh, Trong-Anh & Ye, Longfeng & Zhu, Anna, 2021. "Early-Life exposure to rainfall shocks and gender gaps in employment: Findings from Vietnam," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 533-554.
    5. Kritkorn Nawakitphaitoon & Can Tang, 2021. "Nonstandard Employment and Job Satisfaction across Time in China: Evidence from the Chinese General Social Survey (2006–2012)," Work, Employment & Society, British Sociological Association, vol. 35(3), pages 411-431, June.
    6. Almeida, Eloiza R.F. & Araújo, Veneziano & Gonçalves, Solange L., 2022. "Urban wage premium for women: evidence across the wage distribution," World Development, Elsevier, vol. 159(C).
    7. Asian Bank, 2018. "Asian Development Outlook (ADO) 2018: How Technology Affects Jobs," Working Papers id:12717, eSocialSciences.

  98. Nakajima, Tadahiro & Hamori, Shigeyuki, 2013. "Testing causal relationships between wholesale electricity prices and primary energy prices," Energy Policy, Elsevier, vol. 62(C), pages 869-877.

    Cited by:

    1. Baxter Williams & Daniel Bishop & Patricio Gallardo & J. Geoffrey Chase, 2023. "Demand Side Management in Industrial, Commercial, and Residential Sectors: A Review of Constraints and Considerations," Energies, MDPI, vol. 16(13), pages 1-28, July.
    2. Tadahiro Nakajima & Yuki Toyoshima, 2020. "Examination of the Spillover Effects among Natural Gas and Wholesale Electricity Markets Using Their Futures with Different Maturities and Spot Prices," Energies, MDPI, vol. 13(7), pages 1-14, March.
    3. Xia, Tongshui & Ji, Qiang & Geng, Jiang-Bo, 2020. "Nonlinear dependence and information spillover between electricity and fuel source markets: New evidence from a multi-scale analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    4. Scarcioffolo, Alexandre R. & Etienne, Xiaoli, 2021. "Testing directional predictability between energy prices: A quantile-based analysis," Resources Policy, Elsevier, vol. 74(C).
    5. Uddin, Gazi Salah & Tang, Ou & Sahamkhadam, Maziar & Taghizadeh-Hesary, Farhad & Yahya, Muhammad & Cerin, Pontus & Rehme, Jakob, 2021. "Analysis of Forecasting Models in an Electricity Market under Volatility," ADBI Working Papers 1212, Asian Development Bank Institute.
    6. Uribe, Jorge M. & Guillen, Montserrat & Mosquera-López, Stephania, 2018. "Uncovering the nonlinear predictive causality between natural gas and electricity prices," Energy Economics, Elsevier, vol. 74(C), pages 904-916.
    7. de Menezes, Lilian M. & Houllier, Melanie A. & Tamvakis, Michael, 2016. "Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices," Energy Policy, Elsevier, vol. 88(C), pages 613-627.
    8. Moon, Jongwoo & Jung, Tae Yong, 2020. "A critical review of Korea's long-term contract for renewable energy auctions: The relationship between the import price of liquefied natural gas and system marginal price," Utilities Policy, Elsevier, vol. 67(C).
    9. Bouri, Elie & Chen, Qian & Lien, Donald & Lv, Xin, 2017. "Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 34-48.
    10. Ohler, Adrienne & Mohammadi, Hassan & Loomis, David G., 2020. "Electricity restructuring and the relationship between fuel costs and electricity prices for industrial and residential customers," Energy Policy, Elsevier, vol. 142(C).
    11. Alexopoulos, Thomas A., 2017. "The growing importance of natural gas as a predictor for retail electricity prices in US," Energy, Elsevier, vol. 137(C), pages 219-233.
    12. Okhrin, Yarema & Uddin, Gazi Salah & Yahya, Muhammad, 2023. "Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets," Energy Economics, Elsevier, vol. 125(C).
    13. Abdurrahman Nazif ÇATIK, 2020. "A Time-varying VAR Investigation of the Relationship among Electricity, Fossil Fuel Prices and Exchange Rate in Turkey," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 60-77, September.
    14. Tadahiro Nakajima & Yuki Toyoshima, 2019. "Measurement of Connectedness and Frequency Dynamics in Global Natural Gas Markets," Energies, MDPI, vol. 12(20), pages 1-15, October.
    15. Melanie Houllier & Lilian M. De Menezes & Michael Tamvakis, 2014. "Time Varying Long Run Dynamics And Convergence In The Uk Energy Market," EcoMod2014 6970, EcoMod.
    16. Mao, Xuegeng & Yang, Albert C. & Peng, Chung-Kang & Shang, Pengjian, 2020. "Analysis of economic growth fluctuations based on EEMD and causal decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
    17. Uribe, Jorge M. & Mosquera-López, Stephania & Arenas, Oscar J., 2022. "Assessing the relationship between electricity and natural gas prices in European markets in times of distress," Energy Policy, Elsevier, vol. 166(C).
    18. Bouri, Elie & Awartani, Basel & Maghyereh, Aktham, 2016. "Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010," Energy Economics, Elsevier, vol. 56(C), pages 205-214.
    19. Bhuyan, Rafiqul & Robbani, Mohammad G. & Talukdar, Bakhtear & Jain, Ajeet, 2016. "Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 180-195.

  99. Go Tamakoshi & Shigeyuki Hamori, 2013. "On the Time-varying Linkages among the London Interbank Offer Rates for Major European Currencies," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(1), pages 46-53, January.

    Cited by:

    1. Aviral Kumar Tiwari & Mihai Ioan Mutascu & Claudiu Tiberiu Albulescu, 2016. "Continuous wavelet transform and rolling correlation of European stock markets," Post-Print hal-03528475, HAL.
    2. Pedro Pires Ribeiro & José Dias Curto, 2017. "Volatility spillover effects in interbank money markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 105-136, February.
    3. Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwari, 2015. "Contagion and Dynamic Correlation of the Main European Stock Index Futures Markets: A Time-frequency Approach," Post-Print hal-01376756, HAL.

  100. Lu Yang & Shigeyuki Hamori, 2013. "EU Accession, Financial Integration, and Contagion Effects: Dynamic Correlation Analysis of CEEC-3 Bond Markets," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 20(2), pages 179-189, October.

    Cited by:

    1. Wei Zhou, 2017. "Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 207-230, August.
    2. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 105-113.
    3. Iwasaki, Ichiro, 2018. "International Presence of the Japanese Study of Russian and East European Economies," RRC Working Paper Series 74, Russian Research Center, Institute of Economic Research, Hitotsubashi University.
    4. Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers 2013/14, Czech National Bank.
    5. Lu Yang & Jason Z. Ma & Shigeyuki Hamori, 2018. "Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach," Sustainability, MDPI, vol. 10(2), pages 1-23, January.
    6. Yang, Lu & Hamori, Shigeyuki, 2014. "Dependence structure between CEEC-3 and German government securities markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 109-125.
    7. Yang, Lu & Hamori, Shigeyuki, 2015. "Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 124-138.

  101. Yasunori Yoshizaki & Shigeyuki Hamori, 2013. "On the Influence of Oil Price Shocks on Economic Activity, Inflation, and Exchange Rates," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(2), pages 33-41, April.

    Cited by:

    1. Mansur, Alfan, 2015. "The Endogeneity of Oil Price Shocks and Their Effects on Indonesia: A Structural Vector Autoregression Model," MPRA Paper 93627, University Library of Munich, Germany, revised 20 Dec 2015.
    2. Jin Shang & Shigeyuki Hamori, 2020. "The Response of US Macroeconomic Aggregates to Price Shocks in Crude Oil vs. Natural Gas," Energies, MDPI, vol. 13(10), pages 1-17, May.
    3. Mirzosaid Sultonov, 2016. "Dynamic conditional correlation and causality relationship among foreign exchange, stock and commodity markets: Evidence from 2014 Russian financial crisis," Economics Bulletin, AccessEcon, vol. 36(2), pages 949-962.
    4. Jabir Esmaeil & Husam Rjoub & Wing-Keung Wong, 2020. "Do Oil Price Shocks and Other Factors Create Bigger Impacts on Islamic Banks than Conventional Banks?," Energies, MDPI, vol. 13(12), pages 1-16, June.
    5. Chen, Wang & Hamori, Shigeyuki & Kinkyo, Takuji, 2014. "Macroeconomic impacts of oil prices and underlying financial shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 1-12.

  102. Wanjun Yao & Tomoko Kinugasa & Shigeyuki Hamori, 2013. "An empirical analysis of the relationship between economic development and population growth in China," Applied Economics, Taylor & Francis Journals, vol. 45(33), pages 4651-4661, November.

    Cited by:

    1. Md. Saiful Islam & Saleh Saud Alsaif & Talal Alsaif, 2022. "Trade Openness, Government Consumption, and Economic Growth Nexus in Saudi Arabia: ARDL Cointegration Approach," SAGE Open, , vol. 12(2), pages 21582440221, May.
    2. Supper Roland Okijie & Ubong Edem Effiong, 2021. "Ascertaining the Optimal Population Growth Threshold for Nigeria’s Economic Development," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 5(6), pages 43-50, June.
    3. Ajit Kumar Singh, 2021. "Population Growth and Economic Development: Theoretical Arguments and Empirical Findings— A Survey of Literature," Indian Journal of Human Development, , vol. 15(3), pages 486-502, December.
    4. Meng, Xin, 2023. "China's 40 Years Demographic Dividend and Labor Supply: The Quantity Myth," IZA Discussion Papers 16207, Institute of Labor Economics (IZA).
    5. Zhang Wei-Bin, 2014. "Land Value and Rent Dynamics in an Integrated Walrasian General Equilibrium and Neoclassical Growth Theory," Scientific Annals of Economics and Business, Sciendo, vol. 61(2), pages 235-258, December.
    6. Mkadmi, Jamel Eddine & Bakari, Sayef & Msai, Achwak, 2021. "Assessing the Impact of Tax Policies on Economic Growth in Tunisia: New Empirical and Policy Analysis," MPRA Paper 109023, University Library of Munich, Germany.
    7. Tsangyao Chang & Hsiao-Ping Chu & Frederick W. Deale & Rangan Gupta & Stephen M. Miller, 2017. "The relationship between population growth and standard-of-living growth over 1870–2013: evidence from a bootstrapped panel Granger causality test," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(1), pages 175-201, February.
    8. Sayef Bakari & Mohamed Mabrouki & Abdelhafidh Othmani, 2018. "The Six Linkages Between Foreign Direct Investment, Domestic Investment, Exports, Imports, Labor Force And Economic Growth: New Empirical And Policy Analysis From Nigeria," Journal of Smart Economic Growth, , vol. 3(1), pages 25-43, Juin.
    9. Wei-Bin Zhang, 2014. "Capital and Knowledge: Integrating Arrow’s Learning-by-Doing, the Walrasian Equilibrium Theory and Neoclassical Growth Theory," South Asian Journal of Macroeconomics and Public Finance, , vol. 3(2), pages 267-293, December.
    10. Wei-Bin Zhang, 2014. "Environmental Dynamics in an Integrated Walrasian-General Equilibrium and Neoclassical-Growth Theory," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 39(3), pages 51-80, September.
    11. Silvia London & Gastón Cayssials & Fernando Antonio Ignacio González, 2022. "Population growth and economic growth: a panel causality analysis," Asociación Argentina de Economía Política: Working Papers 4574, Asociación Argentina de Economía Política.
    12. Zhang, W.-B., 2014. "Ethnic Human Capital Externalities and Inequality in a General Equilibrium Growth Model," Journal of the New Economic Association, New Economic Association, vol. 21(1), pages 33-54.
    13. Md. Saiful Islam & Ibrahim A. Alhamad, 2023. "Do personal remittance outflows impede economic growth in Saudi Arabia? The role of trade, labor force, human, and physical capital," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-9, December.
    14. Wei-Bin Zhang, 2014. "Growth and inequality examined by integrating the Walrasian general equilibrium and neoclassical growth theories," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 7(1), pages 7-32, April.
    15. Aribah Aslam, 2020. "The hotly debate of human capital and economic growth: why institutions may matter?," Quality & Quantity: International Journal of Methodology, Springer, vol. 54(4), pages 1351-1362, August.
    16. Marinko Škare & Sanja Blaževic, 2015. "Population and Economic Growth: A Review Essay," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 17(40), pages 1036-1036, August.
    17. Chen Kong San & Lee Chin, 2023. "Impact of Public Debt on Economic Growth: A Quantile Regression Approach," South Asian Journal of Macroeconomics and Public Finance, , vol. 12(2), pages 250-278, December.
    18. Wei-Bin ZHANG, 2015. "Tourism, Trade And Wealth Accumulation With Endogenous Income And Wealth Distribution Among Countries," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 4(1), pages 1-1, January.
    19. Prof. Wei-Bin Zhang, 2015. "Economic Oscillations in a Multi-Country Growth Model with Free Trade and Tourism," Eurasian Business & Economics Journal, Eurasian Academy Of Sciences, vol. 2(2), pages 1-19, July.
    20. E. Wesley F. Peterson, 2017. "The Role of Population in Economic Growth," SAGE Open, , vol. 7(4), pages 21582440177, October.
    21. Tsangyao Chang & Hsiao-Ping Chu & Frederick W. Deale & Rangan Gupta & Stephen M. Miller, 2014. "The Relationship between Population Growth and Economic Growth Over 1870-2013: Evidence from a Bootstrapped Panel-Granger Causality Test," Working Papers 201431, University of Pretoria, Department of Economics.
    22. Fumitaka Furuoka, 2018. "Is population beneficial to economic growth? An empirical study of China," Quality & Quantity: International Journal of Methodology, Springer, vol. 52(1), pages 209-225, January.

  103. Yasunori Yoshizaki & Yuki Toyoshima & Shigeyuki Haomori, 2013. "The causal relationships between sovereign CDS premiums for Japan and selected EU countries," Applied Economics Letters, Taylor & Francis Journals, vol. 20(8), pages 742-747, May.

    Cited by:

    1. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics Discussion Papers 2014-9, Kiel Institute for the World Economy (IfW Kiel).
    2. Boonlert Jitmaneeroj & John Ogwang, 2016. "An Empirical Analysis of Sovereign Credit Risk Co-movement between Japan and ASEAN Countries," Journal of Economics and Behavioral Studies, AMH International, vol. 8(4), pages 6-16.

  104. Toyoshima, Yuki & Hamori, Shigeyuki, 2013. "Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore," Journal of Asian Economics, Elsevier, vol. 24(C), pages 117-123.

    Cited by:

    1. Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel, 2015. "Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 7-18.
    2. Linyu Cao & Ruili Sun & Tiefeng Ma & Conan Liu, 2023. "On Asymmetric Correlations and Their Applications in Financial Markets," JRFM, MDPI, vol. 16(3), pages 1-18, March.
    3. Payal Jain & Sanjay Sehgal, 2019. "An examination of return and volatility spillovers between mature equity markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 180-210, January.
    4. Nianling Wang & Lijie Zhang & Zhuo Huang & Yong Li, 2021. "Asymmetric Correlations in Predicting Portfolio Returns," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 97-120, March.
    5. Lu Yang & Shigeyuki Hamori, 2013. "EU Accession, Financial Integration, and Contagion Effects: Dynamic Correlation Analysis of CEEC-3 Bond Markets," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 20(2), pages 179-189, October.
    6. Seema Narayan, 2019. "The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks," JRFM, MDPI, vol. 12(4), pages 1-26, October.
    7. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Kang, Sang Hoon, 2016. "Global financial crisis and spillover effects among the U.S. and BRICS stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 257-276.
    8. El Abed, Riadh & Zardoub, Amna, 2017. "Time varying and asymmetric effect between sovereign credit market and financial market: The asymmetric DCC model," Economics Discussion Papers 2017-97, Kiel Institute for the World Economy (IfW Kiel).
    9. Riadh Abed & Amna Zardoub, 2019. "On the co-movements among gold and other financial markets: a multivariate time-varying asymmetric approach," International Economics and Economic Policy, Springer, vol. 16(4), pages 701-719, October.
    10. Jin Yong Yang & Sang-Heon Lee & In-Sung Yeo, 2017. "Long and Short-term Volatility Comovements in the East Asian Stock," Applied Economics and Finance, Redfame publishing, vol. 4(3), pages 14-29, May.

  105. Go Tamakoshi & Shigeyuki Hamori, 2013. "An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis," The European Journal of Finance, Taylor & Francis Journals, vol. 19(10), pages 939-950, November.

    Cited by:

    1. Go Tamakoshi & Shigeyuki Hamori, 2013. "On the Time-varying Linkages among the London Interbank Offer Rates for Major European Currencies," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(1), pages 46-53, January.
    2. Weibo Li & Wei Liu & Lei Wu & Xue Guo, 2021. "Risk spillover networks in financial system based on information theory," PLOS ONE, Public Library of Science, vol. 16(6), pages 1-20, June.
    3. Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019. "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, vol. 77(C), pages 23-33.
    4. Tetsuji Tanaka & Jin Guo, 2020. "How does the self-sufficiency rate affect international price volatility transmissions in the wheat sector? Evidence from wheat-exporting countries," Palgrave Communications, Palgrave Macmillan, vol. 7(1), pages 1-13, December.
    5. Lu Yang & Lei Yang & Kung-Cheng Ho & Shigeyuki Hamori, 2019. "Determinants of the Long-Term Correlation between Crude Oil and Stock Markets," Energies, MDPI, vol. 12(21), pages 1-15, October.
    6. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 105-113.
    7. Handika, Rangga & Soepriyanto, Gatot & Havidz, Shinta Amalina Hazrati, 2019. "Are cryptocurrencies contagious to Asian financial markets?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 416-429.
    8. Bellenzier, Lucia & Vitting Andersen, Jørgen & Rotundo, Giulia, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Economic Modelling, Elsevier, vol. 59(C), pages 224-236.
    9. Jin Guo & Tetsuji Tanaka, 2019. "Determinants of international price volatility transmissions: the role of self-sufficiency rates in wheat-importing countries," Palgrave Communications, Palgrave Macmillan, vol. 5(1), pages 1-13, December.
    10. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2018. "Debt Crisis in Europe (2001-2015): A Network General Equilibrium GVAR approach," MPRA Paper 89998, University Library of Munich, Germany.
    11. Tetsuji Tanaka & Jin Guo, 2020. "International price volatility transmission and structural change: a market connectivity analysis in the beef sector," Palgrave Communications, Palgrave Macmillan, vol. 7(1), pages 1-13, December.
    12. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    13. Murad A. BEIN & Gulcay TUNA, 2016. "Comparing Spillover Effects Among Emerging Markets With A Higher (Lower) Share Of Commodity Exports: Evidence From The Two Major Crises," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(3), pages 265-284.
    14. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2018. "Debt dynamics in Europe: A Network General Equilibrium GVAR approach," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 175-202.
    15. Murad A.Bein & Gulcay TUNA, 2015. "Volatility Transmission and Dynamic Correlation Analysis between Developed and Emerging European Stock Markets during Sovereign Debt Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 61-80, June.
    16. Oussama Kchaou & Makram Bellalah & Sofiane Tahi, 2022. "Transmission of the Greek crisis on the sovereign debt markets in the euro area," Annals of Operations Research, Springer, vol. 313(2), pages 1117-1139, June.
    17. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    18. Choi, Sun-Yong, 2022. "Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 179-193.
    19. Costas Karfakis & Theodore Panagiotidis, 2015. "The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 795-811, November.
    20. Costas Karfakis & Theodore Panagiotidis, 2014. "The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets," Discussion Paper Series 2014_01, Department of Economics, University of Macedonia, revised Sep 2014.
    21. Anokye M. Adam & Kwabena Kyei & Simiso Moyo & Ryan Gill & Emmanuel N. Gyamfi, 2022. "Multifrequency network for SADC exchange rate markets using EEMD-based DCCA," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 145-166, January.
    22. Wang, Xiangning & Huang, Qian & Zhang, Shuguang, 2023. "Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    23. Feng, Yun & Yang, Jie & Huang, Qian, 2023. "Multiscale correlation analysis of Sino-US corn futures markets and the impact of international crude oil price: A new perspective from the multifractal method," Finance Research Letters, Elsevier, vol. 53(C).
    24. Imran Yousaf & Shoaib Ali & Muhammad Naveed & Ifraz Adeel, 2021. "Risk and Return Transmissions From Crude Oil to Latin American Stock Markets During the Crisis: Portfolio Implications," SAGE Open, , vol. 11(2), pages 21582440211, April.

  106. Toyoshima, Yuki & Tamakoshi, Go & Hamori, Shigeyuki, 2012. "Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 381-394.

    Cited by:

    1. Go Tamakoshi & Shigeyuki Hamori, 2013. "On the Time-varying Linkages among the London Interbank Offer Rates for Major European Currencies," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(1), pages 46-53, January.
    2. Roumpis, Efthymios & Syriopoulos, Theodore, 2014. "Dynamics and risk factors in hedge funds returns: Implications for portfolio construction and performance evaluation," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 58-77.
    3. Lu Yang & Shigeyuki Hamori, 2013. "EU Accession, Financial Integration, and Contagion Effects: Dynamic Correlation Analysis of CEEC-3 Bond Markets," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 20(2), pages 179-189, October.
    4. Toyoshima, Yuki & Hamori, Shigeyuki, 2013. "Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore," Journal of Asian Economics, Elsevier, vol. 24(C), pages 117-123.
    5. Mitra, Sovan & Date, Paresh & Mamon, Rogemar & Wang, I-Chieh, 2013. "Pricing and risk management of interest rate swaps," European Journal of Operational Research, Elsevier, vol. 228(1), pages 102-111.
    6. El Abed, Riadh & Zardoub, Amna, 2017. "Time varying and asymmetric effect between sovereign credit market and financial market: The asymmetric DCC model," Economics Discussion Papers 2017-97, Kiel Institute for the World Economy (IfW Kiel).
    7. Anokye M. Adam & Kwabena Kyei & Simiso Moyo & Ryan Gill & Emmanuel N. Gyamfi, 2022. "Multifrequency network for SADC exchange rate markets using EEMD-based DCCA," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 145-166, January.
    8. Riadh Abed & Amna Zardoub, 2019. "On the co-movements among gold and other financial markets: a multivariate time-varying asymmetric approach," International Economics and Economic Policy, Springer, vol. 16(4), pages 701-719, October.

  107. Shigeyuki Hamori & Yoshihiro Hashiguchi, 2012. "Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity," Economics Bulletin, AccessEcon, vol. 32(3), pages 2353-2365.
    See citations under working paper version above.
  108. Go Tamakoshi & Shigeyuki Hamori, 2012. "Real Oil Prices, Real Economic Activity, Real Interest Rates, and the US Dollar: A Cointegration Analysis with Structural Breaks," Journal of Reviews on Global Economics, Lifescience Global, vol. 1, pages 41-46.

    Cited by:

    1. Takashi Miyazaki & Shigeyuki Hamori, 2014. "Cointegration with Regime Shift between Gold and Financial Variables," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(4), pages 90-97, October.

  109. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.

    Cited by:

    1. Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel, 2015. "Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 7-18.
    2. Yarovaya, Larisa & Lau, Marco Chi Keung, 2016. "Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 605-619.
    3. Payal Jain & Sanjay Sehgal, 2019. "An examination of return and volatility spillovers between mature equity markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 180-210, January.
    4. Morema, Kgotso & Bonga-Bonga, Lumengo, 2020. "The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications," Resources Policy, Elsevier, vol. 68(C).
    5. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics Discussion Papers 2014-9, Kiel Institute for the World Economy (IfW Kiel).
    6. Abu Bakar, Norhidayah & Masih, Abul Mansur M., 2014. "The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scale decomposition Analysis," MPRA Paper 56977, University Library of Munich, Germany.
    7. Bellenzier, Lucia & Vitting Andersen, Jørgen & Rotundo, Giulia, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Economic Modelling, Elsevier, vol. 59(C), pages 224-236.
    8. Reddy, Kotapati Srinivasa & Nangia, Vinay Kumar & Agrawal, Rajat, 2014. "The 2007-2008 global financial crisis, and cross-border mergers and acquisitions: A 26-nation exploratory study," MPRA Paper 60148, University Library of Munich, Germany.
    9. Tetsuji Tanaka & Jin Guo, 2020. "International price volatility transmission and structural change: a market connectivity analysis in the beef sector," Palgrave Communications, Palgrave Macmillan, vol. 7(1), pages 1-13, December.
    10. Reddy, Kotapati Srinivasa, 2015. "The impact of the global financial crisis on border-crossing mergers and acquisitions: A continental/industry analysis," MPRA Paper 63563, University Library of Munich, Germany, revised 2015.
    11. Chin-Hong Puah & Rayenda Khresna Brahmana & Kai-Hung Wong, 2015. "Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 61, pages 120-130, August.
    12. Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.
    13. Iman Adeinat & Naseem Al Rahahleh & Peihwang Wei, 2018. "Did crisis alter trading of two major oil futures markets?," Review of Derivatives Research, Springer, vol. 21(1), pages 45-61, April.
    14. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Kang, Sang Hoon, 2016. "Global financial crisis and spillover effects among the U.S. and BRICS stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 257-276.
    15. Narendar Rao & K. Reddy, 2015. "The impact of the global financial crisis on cross-border mergers and acquisitions: a continental and industry analysis," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 5(2), pages 309-341, December.
    16. Kotapati Srinivasa Reddy & Vinay Kumar Nangia & Rajat Agrawal, 2014. "The 2007–2008 Global Financial Crisis, and Cross-border Mergers and Acquisitions," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 6(3), pages 257-281, September.
    17. Gagan Sharma & Parthajit Kayal & Piyush Pandey, 2019. "Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 263-289, December.
    18. Moinak Maiti & Darko Vukovic & Yaroslav Vyklyuk & Zoran Grubisic, 2022. "BRICS Capital Markets Co-Movement Analysis and Forecasting," Risks, MDPI, vol. 10(5), pages 1-13, April.
    19. David Roubaud & Bouri Elie & Qiang Ji, 2018. "Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities," Post-Print hal-02081506, HAL.
    20. Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Emerging Markets Review, Elsevier, vol. 19(C), pages 1-17.
    21. Lumengo Bonga-Bonga, 2017. "Assessing the readiness of the BRICS grouping for mutually beneficial financial integration," Review of Development Economics, Wiley Blackwell, vol. 21(4), pages 204-219, November.
    22. Delcoure, Natalya (Natasha) & Singh, Harmeet, 2016. "BRIC or CBRI: It just doesn’t sound as sexy, does it?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 230-239.
    23. Kazi Sohag & Rogneda Vasilyeva & Alina Urazbaeva & Valentin Voytenkov, 2022. "Stock Market Synchronization: The Role of Geopolitical Risk," JRFM, MDPI, vol. 15(5), pages 1-15, April.
    24. Zhang, Yulian & Hamori, Shigeyuki, 2022. "A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 182-203.
    25. McIver, Ron P. & Kang, Sang Hoon, 2020. "Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 54(C).
    26. Riadh Abed & Amna Zardoub, 2019. "On the co-movements among gold and other financial markets: a multivariate time-varying asymmetric approach," International Economics and Economic Policy, Springer, vol. 16(4), pages 701-719, October.
    27. Go Tamakoshi & Shigeyuki Hamori, 2014. "Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 627-642, October.
    28. Lei Ruan, 2018. "Research on Sustainable Development of the Stock Market Based on VIX Index," Sustainability, MDPI, vol. 10(11), pages 1-12, November.
    29. Su, Xianfang, 2020. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    30. Bhuyan, Rafiqul & Robbani, Mohammad G. & Talukdar, Bakhtear & Jain, Ajeet, 2016. "Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 180-195.
    31. Kang, Sang Hoon & Uddin, Gazi Salah & Troster, Victor & Yoon, Seong-Min, 2019. "Directional spillover effects between ASEAN and world stock markets," Journal of Multinational Financial Management, Elsevier, vol. 52.
    32. Morema, Kgotso & Bonga-Bonga, Lumengo, 2018. "The impact of oil and gold price fluctuations on the South African equity market: volatility spillovers and implications for portfolio management," MPRA Paper 87637, University Library of Munich, Germany.

  110. Go Tamakoshi & Shigeyuki Hamori, 2012. "Informational roles of commodity prices for monetary policy: evidence from the Euro area," Economics Bulletin, AccessEcon, vol. 32(2), pages 1282-1290.

    Cited by:

    1. Sara Boni & Massimiliano Caporin & Francesco Ravazzolo, 2024. "Nowcasting Inflation at Quantiles: Causality from Commodities," BEMPS - Bozen Economics & Management Paper Series BEMPS102, Faculty of Economics and Management at the Free University of Bozen.
    2. Andreasson, Pierre & Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2016. "Impact of speculation and economic uncertainty on commodity markets," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 115-127.

  111. Takashi Miyazaki & Yuki Toyoshima & Shigeyuki Hamori, 2012. "Exploring the dynamic interdependence between gold and other financial markets," Economics Bulletin, AccessEcon, vol. 32(1), pages 37-50.

    Cited by:

    1. Choudhry, Taufiq & Hassan, Syed S. & Shabi, Sarosh, 2015. "Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 247-256.
    2. Jamal Bouoiyour & Refk Selmi & Mark Wohar, 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Post-Print hal-01817067, HAL.
    3. Refk Selmi & Walid Mensi & Shawkat Hammoudeh & Jamal Bouoiyour, 2018. "Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold," Post-Print hal-01879667, HAL.
    4. Muhammad Mansoor Baig & Muhammad Shahbaz & Muhammad Imran & Mehwish Jabbar & Qurat Ul Ain, 2013. "Relationship between Gold and Oil Prices and Stock Market Returns," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 5(5), pages 28-39, October.
    5. Muhammad Shafiullah & Sajid M. Chaudhry & Muhammad Shahbaz & Juan C. Reboredo, 2021. "Quantile causality and dependence between crude oil and precious metal prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6264-6280, October.
    6. Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
    7. S. Maria Immanuvel & D. Lazar, 2023. "Does Information Spillover and Leverage Effect Exist in World Gold Markets?," Global Business Review, International Management Institute, vol. 24(3), pages 475-487, June.
    8. Takashi Miyazaki & Shigeyuki Hamori, 2016. "The determinants of a simultaneous crash in gold and stock markets: An ordered logit approach," Discussion Papers 1603, Graduate School of Economics, Kobe University.
    9. Reboredo, Juan C., 2013. "Is gold a safe haven or a hedge for the US dollar? Implications for risk management," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2665-2676.
    10. Ali, Sajid & Raza, Naveed & Vinh Vo, Xuan & Le, Van, 2022. "Modelling the joint dynamics of financial assets using MGARCH family models: Insights into hedging and diversification strategies," Resources Policy, Elsevier, vol. 78(C).
    11. Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014. "Can gold hedge and preserve value when the US dollar depreciates?," Economic Modelling, Elsevier, vol. 39(C), pages 168-173.
    12. T. Miyazaki & S. Hamori, 2016. "Asymmetric correlations in gold and other financial markets," Applied Economics, Taylor & Francis Journals, vol. 48(46), pages 4419-4425, October.
    13. Walid Chkili, 2015. "Gold–oil prices co-movements and portfolio diversification implications," Economics Bulletin, AccessEcon, vol. 35(4), pages 2832-2845.
    14. Ayinde, Taofeek O. & Olaniran, Abeeb O. & Abolade, Onomeabure C. & Ogbonna, Ahamuefula Ephraim, 2023. "Technology shocks - Gold market connection: Is the effect episodic to business cycle behaviour?," Resources Policy, Elsevier, vol. 84(C).
    15. Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014. "Gold and exchange rates: Downside risk and hedging at different investment horizons," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 267-279.
    16. Chkili, Walid, 2016. "Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries," Research in International Business and Finance, Elsevier, vol. 38(C), pages 22-34.
    17. Chkili, Walid, 2015. "Gold-oil prices co-movements and portfolio diversification implications," MPRA Paper 68110, University Library of Munich, Germany.
    18. Mohamed Arbi Madani & Zied Ftiti, 2019. "The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold," Papers 1912.12590, arXiv.org.
    19. Takashi Miyazaki, 2019. "Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions," JRFM, MDPI, vol. 12(1), pages 1-18, February.
    20. Mohamed Arbi Madani & Zied Ftiti, 2022. "Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach," Annals of Operations Research, Springer, vol. 313(1), pages 367-400, June.
    21. Nguyen, Quynh Nga & Bedoui, Rihab & Majdoub, Najemeddine & Guesmi, Khaled & Chevallier, Julien, 2020. "Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theory," Resources Policy, Elsevier, vol. 68(C).
    22. Roman Mestre, 2019. "Time-Frequency Multi-Betas Model-An Application with Gold and Oil -," Cahiers de recherche 19-05, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.

  112. Yoshihiro Hashiguchi & Shigeyuki Hamori, 2012. "The sustainability of trade balances in sub-Saharan Africa: panel cointegration tests with cross-section dependence," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 161-165, February.
    See citations under working paper version above.
  113. Go Tamakoshi & Yuki Toyoshima & Shigeyuki Hamori, 2012. "A dynamic conditional correlation analysis of European stock markets from the perspective of the Greek sovereign debt crisis," Economics Bulletin, AccessEcon, vol. 32(1), pages 437-448.

    Cited by:

    1. Irfan Akbar Kazi & Suzanne Salloy, 2013. "Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis - From the perspective of the Credit Default Swaps’ G14 dealers," Working Papers hal-04141216, HAL.
    2. Irfan Akbar Kazi & Suzanne Salloy, 2013. "Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis - From the perspective of the Credit Default Swaps’ G14 dealers," EconomiX Working Papers 2013-6, University of Paris Nanterre, EconomiX.
    3. Suzanne Salloy & Irfan Akbar Kazi, 2013. "Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis: From the perspective of the Credit Default Swaps’ G14 dealers," Erudite Working Paper 2013-02, Erudite.
    4. Irfan Akbar Kazi & Hakimzadi Wagan, 2014. "Are emerging markets exposed to contagion from U.S.: Evidence from stock and sovereign bond markets," Working Papers 2014-58, Department of Research, Ipag Business School.
    5. Irfan Akbar Kazi & Mohamed Mehanaoui & Farhan Akbar, 2014. "The shift-contagion effect of global financial crisis and the European debt crisis on OECD Countries," Working Papers 2014-128, Department of Research, Ipag Business School.
    6. Zhou, Zhongbao & Lin, Ling & Li, Shuxian, 2018. "International stock market contagion: A CEEMDAN wavelet analysis," Economic Modelling, Elsevier, vol. 72(C), pages 333-352.
    7. Costas Karfakis & Theodore Panagiotidis, 2015. "The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 795-811, November.
    8. Irfan Akbar Kazi & Suzanne Salloy, 2014. "Dynamics in the correlations of the Credit Default Swaps’ G14 dealers: Are there any contagion effects due to Lehman Brothers’ bankruptcy and the global financial crisis?," Working Papers 2014-237, Department of Research, Ipag Business School.
    9. Costas Karfakis & Theodore Panagiotidis, 2014. "The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets," Discussion Paper Series 2014_01, Department of Economics, University of Macedonia, revised Sep 2014.
    10. Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwari, 2017. "Co-movements and contagion between international stock index futures markets," Empirical Economics, Springer, vol. 52(4), pages 1529-1568, June.
    11. Gomes, Pedro & Taamouti, Abderrahim, 2016. "In search of the determinants of European asset market comovements," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 103-117.

  114. Hamori, Shigeyuki & Hashiguchi, Yoshihiro, 2012. "The effect of financial deepening on inequality: Some international evidence," Journal of Asian Economics, Elsevier, vol. 23(4), pages 353-359.

    Cited by:

    1. Philipp Heimberger, 2019. "Beeinflusst die ökonomische Globalisierung die Einkommensungleichheit? Eine Meta-Analyse," Wirtschaft und Gesellschaft - WuG, Kammer für Arbeiter und Angestellte für Wien, Abteilung Wirtschaftswissenschaft und Statistik, vol. 45(4), pages 497-529.
    2. Sudeshna Ghosh, 2020. "Impact of economic growth volatility on income inequality: ASEAN experience," Quality & Quantity: International Journal of Methodology, Springer, vol. 54(3), pages 807-850, June.
    3. Boukraine, Wissem, 2020. "The finance-inequality nexus in the BRICS countries: evidence from an ARDL bound testing approach," MPRA Paper 101976, University Library of Munich, Germany.
    4. Salwa Trabelsi, 2019. "The governance threshold effect on the relationship between public education financing and income inequality," Economics Bulletin, AccessEcon, vol. 39(2), pages 1057-1075.
    5. de Haan, Jakob & Sturm, Jan-Egbert, 2017. "Finance and income inequality: A review and new evidence," European Journal of Political Economy, Elsevier, vol. 50(C), pages 171-195.
    6. Vanessa S. Tchamyou & Danny Cassimon & Guido Erreygers, 2018. "Inequality, ICT and Financial Access in Africa," Working Papers 2 4006, Office Of The Chief Economist, Development Bank of Nigeria.
    7. Jelson Serafim, 2021. "Financial deepening, Stock market, Inequality and Poverty: Some African Evidence," Working Papers REM 2021/0177, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    8. Li, Xiang & Su, Dan, 2020. "Capital account liberalisation does worsen income inequality," IWH Discussion Papers 7/2020, Halle Institute for Economic Research (IWH).
    9. Philipp Heimberger, 2019. "Does Economic Globalisation Affect Income Inequality? A Meta-analysis," wiiw Working Papers 165, The Vienna Institute for International Economic Studies, wiiw.
    10. Yousef Makhlouf & Neil M. Kellard & Dmitri V. Vinogradov, 2020. "Finance‐Inequality Nexus: The Long And The Short Of It," Economic Inquiry, Western Economic Association International, vol. 58(4), pages 1977-1994, October.
    11. Ho, Sin-Yu & Njindan Iyke, Bernard, 2017. "Does Financial Development Lead to Poverty Reduction in China? Time Series Evidence," MPRA Paper 78922, University Library of Munich, Germany.
    12. Günay ÖZCAN, 2020. "Financial development and income inequality: An empirical analysis on the emerging market economies," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(624), A), pages 85-96, Autumn.
    13. Blau, Benjamin M., 2018. "Income inequality, poverty, and the liquidity of stock markets," Journal of Development Economics, Elsevier, vol. 130(C), pages 113-126.
    14. Kebede, Jeleta & Naranpanawa, Athula & Selvanathan, Saroja, 2023. "Financial inclusion and income inequality nexus: A case of Africa," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 539-557.
    15. Kamel Bel hadj Miled & Jalel-Eddine Ben Rejeb, 2018. "Can Microfinance Help to Reduce Poverty? A Review of Evidence for Developing Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 9(2), pages 613-635, June.
    16. Ongena, Steven & Delis, Manthos & Fringuellotti, Fulvia, 2019. "Credit and Income," CEPR Discussion Papers 13468, C.E.P.R. Discussion Papers.
    17. Ghulam Rasool Madni & Awais Anwar, 2021. "Meditation for level of institutional quality to combat income inequality through financial development," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2766-2775, April.
    18. Samouel Beji, 2019. "Financial Openness and Income Inequality: Do Institutions matter for Africa?," Economics Bulletin, AccessEcon, vol. 39(1), pages 104-114.
    19. Chu, Lan Khanh & Hoang, Dung Phuong, 2020. "How does economic complexity influence income inequality? New evidence from international data," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 44-57.
    20. Thang Cong Nguyen & Tan Ngoc Vu & Duc Hong Vo & Dao Thi-Thieu Ha, 2019. "Financial Development and Income Inequality in Emerging Markets: A New Approach," JRFM, MDPI, vol. 12(4), pages 1-14, November.
    21. Kamel Bel Hadj Miled & Moheddine Younsi & Monia Landolsi, 2022. "Does microfinance program innovation reduce income inequality? Cross-country and panel data analysis," Journal of Innovation and Entrepreneurship, Springer, vol. 11(1), pages 1-15, December.
    22. Prao Yao Séraphin & Kongoza Kouassi Cyrille, 2023. "Nonlinear Effect of Financial Development on Income Inequality: The Case of Ivory Coast," International Journal of Business and Management, Canadian Center of Science and Education, vol. 17(6), pages 1-57, February.
    23. Irwan Trinugroho & Agusman Agusman & Mochammad Doddy Ariefianto & Darsono Darsono & Amine Tarazi, 2015. "Determinants of cross regional disparity in financial deepening: Evidence from Indonesian provinces," Economics Bulletin, AccessEcon, vol. 35(2), pages 896-910.
    24. Yongfen Shi & Sudeshna Paul & Sudharshan Reddy Paramati, 2022. "The impact of financial deepening on income inequality: Empirical evidence from Australia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3564-3579, July.
    25. Xiang Li & Dan Su, 2021. "Does Capital Account Liberalization Affect Income Inequality?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 377-410, April.
    26. Muhammad, Shahbaz & Tiwari, Aviral & Reza, Sherafatian-Jahromi, 2012. "Financial Development and Income Inequality: Is there any Financial Kuznets curve in Iran?," MPRA Paper 40899, University Library of Munich, Germany, revised 26 Aug 2012.
    27. Bolarinwa, Segun Thompson & Akinlo, Anthony Enisan, 2021. "Is there a nonlinear relationship between financial development and income inequality in Africa? Evidence from dynamic panel threshold," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    28. Sugiyanto Catur & Yolanda Zefania, 2020. "The Effect of Financial Deepening on Economic Growth, Inequality, and Poverty: Evidence from 73 Countries," South East European Journal of Economics and Business, Sciendo, vol. 15(2), pages 15-27, December.
    29. Sin-Yu Ho & Bernard Njindan Iyke, 2018. "Finance-growth-poverty nexus: a re-assessment of the trickle-down hypothesis in China," Economic Change and Restructuring, Springer, vol. 51(3), pages 221-247, August.
    30. de Moraes, Claudio Oliveira & Roquete, Raphael Moses & Gawryszewski, Gustavo, 2023. "Who needs cash? Digital finance and income inequality," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 84-93.
    31. Akisik, Orhan & Gal, Graham, 2023. "IFRS, financial development and income inequality: An empirical study using mediation analysis," Economic Systems, Elsevier, vol. 47(2).
    32. Gravina, Antonio Francesco & Lanzafame, Matteo, 2021. "Finance, globalisation, technology and inequality: Do nonlinearities matter?," Economic Modelling, Elsevier, vol. 96(C), pages 96-110.
    33. Zare , Roohollah, 2019. "Globalization and Income Inequality: Does the Level of Financial Development Matter?," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 14(2), pages 159-175, April.
    34. Maosheng Ran & Liang Chen & Wanli Li, 2020. "Financial Deepening, Spatial Spillover, and Urban–Rural Income Disparity: Evidence from China," Sustainability, MDPI, vol. 12(4), pages 1-16, February.
    35. Mesut Alper GEZER, 2018. "The relationship between financial deepening and economic growth: Bootstrap causality approach for the selected upper middle income countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(614), S), pages 95-112, Spring.
    36. Sturm, Jan-Egbert & De Haan, Jakob, 2016. "Finance and income inequality revisited," VfS Annual Conference 2016 (Augsburg): Demographic Change 145660, Verein für Socialpolitik / German Economic Association.
    37. Manthos D. Delis & Fulvia Fringuellotti & Steven Ongena, 2020. "Credit and Income Inequality," Staff Reports 929, Federal Reserve Bank of New York.
    38. Madhu Sehrawat & A. Giri, 2016. "Financial development, poverty and rural-urban income inequality: evidence from South Asian countries," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(2), pages 577-590, March.
    39. Bahamonde, Hector & Trasberg, Mart, 2021. "Inclusive institutions, unequal outcomes: Democracy, state capacity, and income inequality," European Journal of Political Economy, Elsevier, vol. 70(C).
    40. Roya Taherifar & Mark J. Holmes & Gazi M. Hassan, 2023. "Does economic openness matter in the impact of financial development on income inequality?," Working Papers in Economics 23/04, University of Waikato.
    41. Thornton, John & Tommaso, Caterina Di, 2020. "The long-run relationship between finance and income inequality: Evidence from panel data," Finance Research Letters, Elsevier, vol. 32(C).
    42. Passant M. B. Selim & Hasan Güngör, 2021. "Inequality and financial development: Evidence from selected MENA region countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2732-2747, April.
    43. Ọláyínká Oyèkọ́lá, 2021. "Finance and inequality in a panel of US States," Empirical Economics, Springer, vol. 61(5), pages 2739-2795, November.
    44. Armand Fouejieu & Ratna Sahay & Martin Cihak & Shiyuan Chen, 2020. "Financial inclusion and inequality: A cross-country analysis," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 29(8), pages 1018-1048, November.
    45. Ayesha Naz, 2023. "Linkages between different types of globalization and socio-economic variables: panel data analysis for 129 countries," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 12(1), pages 1-23, December.
    46. Nahid Farnaz, 2023. "Does Financial Development Relieve or Exacerbate Income Inequality? A Quantile Regression Approach," Economics Discussion Paper Series 2311, Economics, The University of Manchester.
    47. Mansor Ibrahim, 2018. "Finance And Inequality In Eight Asian Countries: Does Size Matter," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(1), pages 1-24, July.

  115. Zhang, Yu & Song, Junghyun & Hamori, Shigeyuki, 2011. "Impact of subsidy policies on diffusion of photovoltaic power generation," Energy Policy, Elsevier, vol. 39(4), pages 1958-1964, April.

    Cited by:

    1. Kahia, Montassar & Ben Aissa, Mohamed Safouane & kadria, Mohamed, 2014. "Do renewable energy policies promote economic growth? A nonparametric approach," MPRA Paper 80751, University Library of Munich, Germany.
    2. Juárez-Luna, David & Urdiales, Eduardo, 2021. "Participación de la capacidad fotovoltaica instalada en México: un análisis benchmarking [Share of installed photovoltaic capacity in Mexico: a benchmarking analysis]," MPRA Paper 114589, University Library of Munich, Germany.
    3. Xiaodan Guo & Dongxiao Niu & Bowen Xiao, 2016. "Assessment of Air-Pollution Control Policy’s Impact on China’s PV Power: A System Dynamics Analysis," Energies, MDPI, vol. 9(5), pages 1-23, May.
    4. Shuai Wang & Yao Li & Junjun Jia, 2022. "How to promote sustainable adoption of residential distributed photovoltaic generation in China? An employment of incentive and punitive policies," Mitigation and Adaptation Strategies for Global Change, Springer, vol. 27(2), pages 1-26, February.
    5. Karakaya, Emrah, 2016. "Finite Element Method for forecasting the diffusion of photovoltaic systems: Why and how?," Applied Energy, Elsevier, vol. 163(C), pages 464-475.
    6. Yuan, Chaoqing & Liu, Sifeng & Yang, Yingjie & Chen, Ding & Fang, Zhigeng & Shui, Lulu, 2014. "An analysis on investment policy effect of China’s photovoltaic industry based on feedback model," Applied Energy, Elsevier, vol. 135(C), pages 423-428.
    7. Chowdhury, Sanjeeda & Sumita, Ushio & Islam, Ashraful & Bedja, Idriss, 2014. "Importance of policy for energy system transformation: Diffusion of PV technology in Japan and Germany," Energy Policy, Elsevier, vol. 68(C), pages 285-293.
    8. Anna Créti & Jérôme Joaug, 2012. "Let the sun shine: Optimal deployment of photovoltaics in Germany," Working Papers hal-00751743, HAL.
    9. Yamashiro, Ririka & Mori, Akihisa, 2023. "Combined third-party ownership and aggregation business model for the adoption of rooftop solar PV–battery systems: Implications from the case of Miyakojima Island, Japan," Energy Policy, Elsevier, vol. 173(C).
    10. Zhou, Dequn & Chong, Zhaotian & Wang, Qunwei, 2020. "What is the future policy for photovoltaic power applications in China? Lessons from the past," Resources Policy, Elsevier, vol. 65(C).
    11. Karakaya, Emrah & Hidalgo, Antonio & Nuur, Cali, 2015. "Motivators for adoption of photovoltaic systems at grid parity: A case study from Southern Germany," Renewable and Sustainable Energy Reviews, Elsevier, vol. 43(C), pages 1090-1098.
    12. Lan, Haifeng & Gou, Zhonghua & Yang, Linchuan, 2020. "House price premium associated with residential solar photovoltaics and the effect from feed-in tariffs: A case study of Southport in Queensland, Australia," Renewable Energy, Elsevier, vol. 161(C), pages 907-916.
    13. Anita M. Bunea & Pietro Manfredi & Pompeo Della Posta & Mariangela Guidolin, 2019. "What do adoption patterns of solar panels observed so far tell about governments' incentive? insight from diffusion models," Papers 1909.10017, arXiv.org.
    14. Iwona Zdonek & Anna Mularczyk & Marian Turek & Stanisław Tokarski, 2023. "Perception of Prosumer Photovoltaic Technology in Poland: Usability, Ease of Use, Attitudes, and Purchase Intentions," Energies, MDPI, vol. 16(12), pages 1-18, June.
    15. Morini, Mirko & Pinelli, Michele & Spina, Pier Ruggero & Venturini, Mauro, 2013. "Optimal allocation of thermal, electric and cooling loads among generation technologies in household applications," Applied Energy, Elsevier, vol. 112(C), pages 205-214.
    16. Shao, Yanmin & Chen, Zhongfei, 2022. "Can government subsidies promote the green technology innovation transformation? Evidence from Chinese listed companies," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 716-727.
    17. Lan, Haifeng & Gou, Zhonghua & Lu, Yi, 2021. "Machine learning approach to understand regional disparity of residential solar adoption in Australia," Renewable and Sustainable Energy Reviews, Elsevier, vol. 136(C).
    18. Tetiana Kurbatova & Iryna Sotnyk & Olha Prokopenko & Iryna Bashynska & Uliana Pysmenna, 2023. "Improving the Feed-in Tariff Policy for Renewable Energy Promotion in Ukraine’s Households," Energies, MDPI, vol. 16(19), pages 1-18, September.
    19. Gui, Xuechen & Gou, Zhonghua, 2022. "Household energy technologies in New South Wales, Australia: Regional differences and renewables adoption rates," Renewable and Sustainable Energy Reviews, Elsevier, vol. 160(C).
    20. Bunea, Anita M. & Della Posta, Pompeo & Guidolin, Mariangela & Manfredi, Piero, 2020. "What do adoption patterns of solar panels observed so far tell about governments’ incentive? Insights from diffusion models," Technological Forecasting and Social Change, Elsevier, vol. 160(C).
    21. Movilla, Santiago & Miguel, Luis J. & Blázquez, L. Felipe, 2013. "A system dynamics approach for the photovoltaic energy market in Spain¤," Energy Policy, Elsevier, vol. 60(C), pages 142-154.
    22. Takanobu Kosugi & Yoshiyuki Shimoda & Takayuki Tashiro, 2019. "Neighborhood influences on the diffusion of residential photovoltaic systems in Kyoto City, Japan," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 21(4), pages 477-505, October.
    23. Dong, Changgui & Wiser, Ryan & Rai, Varun, 2018. "Incentive pass-through for residential solar systems in California," Energy Economics, Elsevier, vol. 72(C), pages 154-165.
    24. Xin-gang, Zhao & Wei, Wang & Ling, Wu, 2021. "A dynamic analysis of research and development incentive on China's photovoltaic industry based on system dynamics model," Energy, Elsevier, vol. 233(C).
    25. Karakaya, Emrah & Nuur, Cali & Hidalgo, Antonio, 2016. "Business model challenge: Lessons from a local solar company," Renewable Energy, Elsevier, vol. 85(C), pages 1026-1035.
    26. Johanna Fink, 2023. "Can the creation of separate bidding zones within countries create imbalances in PV uptake? Evidence from Sweden," Papers 2312.16161, arXiv.org.
    27. Cucchiella, Federica & D’Adamo, Idiano, 2012. "Feasibility study of developing photovoltaic power projects in Italy: An integrated approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 16(3), pages 1562-1576.
    28. Coffman, Makena & Wee, Sherilyn & Bonham, Carl & Salim, Germaine, 2016. "A policy analysis of Hawaii's solar tax credit," Renewable Energy, Elsevier, vol. 85(C), pages 1036-1043.
    29. Liu, Dunnan & Liu, Mingguang & Xu, Erfeng & Pang, Bo & Guo, Xiaodan & Xiao, Bowen & Niu, Dongxiao, 2018. "Comprehensive effectiveness assessment of renewable energy generation policy: A partial equilibrium analysis in China," Energy Policy, Elsevier, vol. 115(C), pages 330-341.
    30. Ling Chu & Kenji Takeuchi, 2021. "The Non-operating Solar Projects: Examining the Impact of the Feed-in Tariff Amendment in Japan," Discussion Papers 2105, Graduate School of Economics, Kobe University.
    31. Karakaya, Emrah & Sriwannawit, Pranpreya, 2015. "Barriers to the adoption of photovoltaic systems: The state of the art," Renewable and Sustainable Energy Reviews, Elsevier, vol. 49(C), pages 60-66.
    32. Elzbieta Rynska, 2022. "Review of PV Solar Energy Development 2011–2021 in Central European Countries," Energies, MDPI, vol. 15(21), pages 1-18, November.
    33. Zhang, Yanquan & Chang, Ruidong & Zuo, Jian & Shabunko, Veronika & Zheng, Xian, 2023. "Regional disparity of residential solar panel diffusion in Australia: The roles of socio-economic factors," Renewable Energy, Elsevier, vol. 206(C), pages 808-819.
    34. Yu-Ling Hsiao, Cody & Ai, Dan & Wei, Xinyang & Sheng, Ni, 2021. "The contagious effect of China’s energy policy on stock markets: The case of the solar photovoltaic industry," Renewable Energy, Elsevier, vol. 164(C), pages 74-86.
    35. Lei Li & Ting Chi & Meng Zhang & Shi Wang, 2016. "Multi-Layered Capital Subsidy Policy for the PV Industry in China Considering Regional Differences," Sustainability, MDPI, vol. 8(1), pages 1-14, January.
    36. Liu, Diyi & Qi, Suntong & Xu, Tiantong, 2023. "In the post-subsidy era: How to encourage mere consumers to become prosumers when subsidy reduced?," Energy Policy, Elsevier, vol. 174(C).
    37. Jeon, Chanwoong & Lee, Jeongjin & Shin, Juneseuk, 2015. "Optimal subsidy estimation method using system dynamics and the real option model: Photovoltaic technology case," Applied Energy, Elsevier, vol. 142(C), pages 33-43.
    38. Chesser, Michael & Hanly, Jim & Cassells, Damien & Apergis, Nicholas, 2018. "The positive feedback cycle in the electricity market: Residential solar PV adoption, electricity demand and prices," Energy Policy, Elsevier, vol. 122(C), pages 36-44.
    39. Mirzahosseini, Alireza Hajiseyed & Taheri, Taraneh, 2012. "Environmental, technical and financial feasibility study of solar power plants by RETScreen, according to the targeting of energy subsidies in Iran," Renewable and Sustainable Energy Reviews, Elsevier, vol. 16(5), pages 2806-2811.
    40. Balta-Ozkan, Nazmiye & Yildirim, Julide & Connor, Peter M. & Truckell, Ian & Hart, Phil, 2021. "Energy transition at local level: Analyzing the role of peer effects and socio-economic factors on UK solar photovoltaic deployment," Energy Policy, Elsevier, vol. 148(PB).
    41. Chen, Zhisong & Su, Shong-Iee Ivan, 2014. "Photovoltaic supply chain coordination with strategic consumers in China," Renewable Energy, Elsevier, vol. 68(C), pages 236-244.
    42. Shrimali, Gireesh & Agarwal, Navin & Donovan, Charles, 2020. "Drivers of solar deployment in India: A state-level econometric analysis," Renewable and Sustainable Energy Reviews, Elsevier, vol. 133(C).
    43. Guo, Xiaodan & Guo, Xiaopeng, 2015. "China's photovoltaic power development under policy incentives: A system dynamics analysis," Energy, Elsevier, vol. 93(P1), pages 589-598.
    44. Jan Paul Baginski & Christoph Weber, "undated". "Coherent estimations for residential photovoltaic uptake in Germany including spatial spillover effects," EWL Working Papers 1902, University of Duisburg-Essen, Chair for Management Science and Energy Economics.
    45. Klingler, Anna-Lena, 2017. "Self-consumption with PV+Battery systems: A market diffusion model considering individual consumer behaviour and preferences," Applied Energy, Elsevier, vol. 205(C), pages 1560-1570.
    46. Balta-Ozkan, Nazmiye & Yildirim, Julide & Connor, Peter M., 2015. "Regional distribution of photovoltaic deployment in the UK and its determinants: A spatial econometric approach," Energy Economics, Elsevier, vol. 51(C), pages 417-429.
    47. Collier, Samuel H.C. & House, Jo I. & Connor, Peter M. & Harris, Richard, 2023. "Distributed local energy: Assessing the determinants of domestic-scale solar photovoltaic uptake at the local level across England and Wales," Renewable and Sustainable Energy Reviews, Elsevier, vol. 171(C).

  116. Fengbao Yin & Shigeyuki Hamori, 2011. "Estimating the import demand function in the autoregressive distributed lag framework: The case of China," Economics Bulletin, AccessEcon, vol. 31(2), pages 1576-1591.

    Cited by:

    1. Gozgor, Giray, 2014. "Aggregated and disaggregated import demand in China: An empirical study," Economic Modelling, Elsevier, vol. 43(C), pages 1-8.
    2. Muhammad Ahad & Adeel Ahmad Dar, 2018. "A Dynamic Relationship between Financial Development and Import Demand for Bangladesh: An Evidence from Combine Cointegration and Granger Causality Approach," Global Business Review, International Management Institute, vol. 19(3), pages 543-555, June.
    3. Ercan Yasar & Güray Akalin & Sinan Erdogan & Samuel Asumadu Sarkodie, 2022. "Trading Kuznets curve: empirical analysis for China," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(3), pages 741-768, August.
    4. Francesco Aiello & Graziella Bonanno & Alessia Via, 2015. "Again on trade elasticities: evidence from a selected sample of countries," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 5(2), pages 259-287, December.
    5. Ngomba Bodi, Francis Ghislain, 2018. "Estimation des élasticités du commerce extérieur dans des économies en développement riches en ressources naturelles : le cas des pays de la CEMAC [Estimation of trade elasticities in resources ric," MPRA Paper 116378, University Library of Munich, Germany.
    6. Bernhardt, Thomas, 2014. "How promising is South-South trade as a contributor to economic development in Asia and South America? Insights from estimating income elasticities of import demand," MPRA Paper 56413, University Library of Munich, Germany.
    7. Francesco Aiello & Graziella Bonanno & Alessia Via, 2015. "New Evidence on Export Price Elasticity from China and Six OECD Countries," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 23(6), pages 56-78, November.
    8. Vinh Nguyen Thi Thuy & Duong Trinh Thi Thuy, 2019. "The Impact of Exchange Rate Volatility on Exports in Vietnam: A Bounds Testing Approach," JRFM, MDPI, vol. 12(1), pages 1-14, January.
    9. Ertan Oktay & Giray Gozgor, 2013. "Estimation of disaggregated import demand functions for Turkey," Economics Bulletin, AccessEcon, vol. 33(1), pages 575-585.
    10. Sadaf Majeed & Abdul Waheed, 2012. "Analyzing the Import Demand Function with Expenditure Components: Evidence from Pakistan," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 19(2), pages 245-259, November.
    11. Bernhardt, Thomas, 2016. "South-South trade and South-North trade: which contributes more to development in Asia and South America? Insights from estimating income elasticities of import demand," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
    12. Aiello, Francesco & Bonanno, Graziella & Via, Alessia, 2014. "Do export price elasticities support tensions in currency markets? Evidence from China and six OECD countries," MPRA Paper 56727, University Library of Munich, Germany.

  117. Shigeyuki Hamori & Naoko Hamori, 2011. "An empirical analysis of real exchange rate movements in the euro," Applied Economics, Taylor & Francis Journals, vol. 43(10), pages 1187-1191.

    Cited by:

    1. Diana Barros, Aurora A.C. Teixeira, 2021. "The technology balance of payments and international competitiveness: a panel data analysis of southern European countries, 2000-2017," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 18(1), pages 105-136, June.
    2. Kia, Amir, 2013. "Determinants of the real exchange rate in a small open economy: Evidence from Canada," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 163-178.
    3. Shigeyuki Hamori & Naoko Hamori, 2009. "Introduction of the Euro and the Monetary Policy of the European Central Bank," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7169.
    4. Chen, Chuanglian & Yao, Shujie & Ou, Jinghua, 2017. "Exchange rate dynamics in a Taylor rule framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 158-173.

  118. Go Tamakoshi & Shigeyuki Hamori, 2011. "Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis," Economics Bulletin, AccessEcon, vol. 31(4), pages 3339-3353.

    Cited by:

    1. Aviral Kumar Tiwari & Mihai Ioan Mutascu & Claudiu Tiberiu Albulescu, 2016. "Continuous wavelet transform and rolling correlation of European stock markets," Post-Print hal-03528475, HAL.
    2. Michael A. Goldstein & Joseph McCarthy & Alexei G. Orlov, 2019. "The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries," The Financial Review, Eastern Finance Association, vol. 54(1), pages 5-56, February.
    3. Loh, Lixia, 2013. "Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 29(C), pages 1-13.
    4. Polanco-Martínez, J.M. & Fernández-Macho, J. & Neumann, M.B. & Faria, S.H., 2018. "A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1211-1227.

  119. Kaoru Kawamoto & Shigeyuki Hamori, 2011. "Market efficiency among futures with different maturities: Evidence from the crude oil futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(5), pages 487-501, May.

    Cited by:

    1. Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019. "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, vol. 77(C), pages 23-33.
    2. Delphine Lautier & Franck Raynaud & Michel Robe, 2017. "Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices," Post-Print hal-01781761, HAL.
    3. Xianfang Su & Huiming Zhu & Xinxia Yang, 2019. "Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis," Sustainability, MDPI, vol. 11(5), pages 1-17, March.
    4. Chang, Chun-Ping & Lee, Chien-Chiang, 2015. "Do oil spot and futures prices move together?," Energy Economics, Elsevier, vol. 50(C), pages 379-390.
    5. You-How Go & Wee-Yeap Lau, 2019. "Palm oil spot-futures relation: Evidence from unrefined and refined products," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(3), pages 133-142.
    6. Stuart Snaith & Neil M. Kellard & Norzalina Ahmad, 2018. "Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 673-695, June.
    7. Delphine Lautier & Franck Raynaud & Michel Robe, 2019. "Shock propagation across the futures term structure: evidence from crude oil prices," Post-Print hal-02307118, HAL.
    8. Hammami Algia & Bouri Abdelfatteh, 2016. "The Volatility of Oil Prices: What Factors?," Bulletin of Energy Economics (BEE), The Economics and Social Development Organization (TESDO), vol. 4(1), pages 98-110, March.
    9. Javier Garcia-Verdugo & Meliyara Sirex Consuegra, 2013. "Estimating functional efficiency in energy futures markets," Economics and Business Letters, Oviedo University Press, vol. 2(3), pages 105-115.
    10. Onder Buberkoku, 2017. "Examining Energy Futures Market Efficiency Under Multiple Regime Shifts," International Journal of Energy Economics and Policy, Econjournals, vol. 7(6), pages 61-71.

  120. Yuki Toyoshima & Shigeyuki Hamori, 2011. "Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan," Economics Bulletin, AccessEcon, vol. 31(3), pages 2674-2682.

    Cited by:

    1. Bosupeng, Mpho & Biza-Khupe, Simangaliso, 2015. "The Impact of Money Supply Volatility on the Fisher Effect –A Botswana Empirical Perspective," MPRA Paper 77920, University Library of Munich, Germany, revised 2015.
    2. Ismet Gocer & Serdar Ongan, 2020. "The Relationship between Inflation and Interest Rates in the UK: The Nonlinear ARDL Approach," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(3), pages 77-86.
    3. Navoda Edirisinghe & Selliah Sivarajasingham & John Nigel, 2015. "An Empirical Study of the Fisher Effect and the Dynamic Relationship between Inflation and Interest Rate in Sri Lanka," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 5(1), pages 47-62, January.
    4. Navoda Edirisinghe & Selliah Sivarajasingham & John Nigel, 2015. "An Empirical Study of the Fisher Effect and the Dynamic Relationship between Inflation and Interest Rate in Sri Lanka," International Journal of Business and Social Research, LAR Center Press, vol. 5(1), pages 47-62, January.
    5. Sunal, Onur, 2022. "The efficiency of primary sovereign bond markets in Turkey: The so-called Fisher puzzle reconsidered," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 255-261.
    6. İsmet Göçer & Serdar Ongan, 2020. "Asymmetric Impacts of Inflation on the US Bond Rates and FED’s Pre-Emptive Policy," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 5(2), pages 143-157, December.
    7. Bosupeng, Mpho, 2016. "On The Fisher Effect: A Review," MPRA Paper 77916, University Library of Munich, Germany, revised 2016.
    8. Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.

  121. Nakajima, Tadahiro & Hamori, Shigeyuki, 2010. "Change in consumer sensitivity to electricity prices in response to retail deregulation: A panel empirical analysis of the residential demand for electricity in the United States," Energy Policy, Elsevier, vol. 38(5), pages 2470-2476, May.

    Cited by:

    1. Hung, Ming-Feng & Huang, Tai-Hsin, 2015. "Dynamic demand for residential electricity in Taiwan under seasonality and increasing-block pricing," Energy Economics, Elsevier, vol. 48(C), pages 168-177.
    2. Upton, Gregory B. & Snyder, Brian F., 2017. "Funding renewable energy: An analysis of renewable portfolio standards," Energy Economics, Elsevier, vol. 66(C), pages 205-216.
    3. McDaniel, Tanga M. & Groothuis, Peter A., 2012. "Retail competition in electricity supply—Survey results in North Carolina," Energy Policy, Elsevier, vol. 48(C), pages 315-321.
    4. Bernstein, Ronald & Madlener, Reinhard, 2011. "Responsiveness of Residential Electricity Demand in OECD Countries: A Panel Cointegation and Causality Analysis," FCN Working Papers 8/2011, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    5. Theologos Dergiades & Lefteris Tsoulfidis, 2011. "Revisiting residential demand for electricity in Greece: new evidence from the ARDL approach to cointegration analysis," Empirical Economics, Springer, vol. 41(2), pages 511-531, October.
    6. Muhammad Shahid Mastoi & Hafiz Mudassir Munir & Shenxian Zhuang & Mannan Hassan & Muhammad Usman & Ahmad Alahmadi & Basem Alamri, 2022. "A Comprehensive Analysis of the Power Demand–Supply Situation, Electricity Usage Patterns, and the Recent Development of Renewable Energy in China," Sustainability, MDPI, vol. 14(6), pages 1-34, March.
    7. Favero, Filippo & Grossi, Luigi, 2023. "Analysis of individual natural gas consumption and price elasticity: Evidence from billing data in Italy," Energy Economics, Elsevier, vol. 118(C).
    8. Desiderio Romero-Jordán & Pablo del Río & Cristina Peñasco, 2014. "Household electricity demand in Spanish regions. Public policy implications," Working Papers 2014/24, Institut d'Economia de Barcelona (IEB).
    9. Pasrun Adam & Usman Rianse & Edi Cahyono & Manat Rahim, 2015. "Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 550-557.
    10. Wang, Nan & Mogi, Gento, 2017. "Industrial and residential electricity demand dynamics in Japan: How did price and income elasticities evolve from 1989 to 2014?," Energy Policy, Elsevier, vol. 106(C), pages 233-243.
    11. Bilgili, Faik & Pamuk, Yalçın & Halıcı Tülüce, Nadide Sevil, 2010. "Short run and long run dynamics of residential electricity consumption: Homogeneous and heterogeneous panel estimations for OECD," MPRA Paper 33291, University Library of Munich, Germany, revised Jun 2011.
    12. Caroline Stiel & Astrid Cullmann & Maria Nieswand, 2018. "Do Private Utilities Outperform Local Government‐Owned Utilities? Evidence from German Retail Electricity," German Economic Review, Verein für Socialpolitik, vol. 19(4), pages 401-425, November.
    13. Lin, Boqiang & Wang, Yao, 2020. "Analyzing the elasticity and subsidy to reform the residential electricity tariffs in China," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 189-206.
    14. Okajima, Shigeharu & Okajima, Hiroko, 2013. "Estimation of Japanese price elasticities of residential electricity demand, 1990–2007," Energy Economics, Elsevier, vol. 40(C), pages 433-440.
    15. Martins, Luís Oscar Silva & Amorim, Inara Rosa & Mendes, Vinícius de Araújo & Silva, Marcelo Santana & Freires, Francisco Gaudêncio Mendonça & Teles, Eduardo Oliveira & Torres, Ednildo Andrade, 2021. "Price and income elasticities of residential electricity demand in Brazil and policy implications," Utilities Policy, Elsevier, vol. 71(C).
    16. Pellini, Elisabetta, 2021. "Estimating income and price elasticities of residential electricity demand with Autometrics," Energy Economics, Elsevier, vol. 101(C).
    17. Fotouhi Ghazvini, Mohammad Ali & Ramos, Sergio & Soares, João & Castro, Rui & Vale, Zita, 2019. "Liberalization and customer behavior in the Portuguese residential retail electricity market," Utilities Policy, Elsevier, vol. 59(C), pages 1-1.
    18. García-Gusano, Diego & Suárez-Botero, Jasson & Dufour, Javier, 2018. "Long-term modelling and assessment of the energy-economy decoupling in Spain," Energy, Elsevier, vol. 151(C), pages 455-466.
    19. Tiwari, Aviral Kumar & Menegaki, Angeliki N., 2019. "A time varying approach on the price elasticity of electricity in India during 1975–2013," Energy, Elsevier, vol. 183(C), pages 385-397.
    20. Aryanpur, V. & Ghahremani, M. & Mamipour, S. & Fattahi, M. & Ó Gallachóir, B. & Bazilian, M.D. & Glynn, J., 2022. "Ex-post analysis of energy subsidy removal through integrated energy systems modelling," Renewable and Sustainable Energy Reviews, Elsevier, vol. 158(C).
    21. Nikos Sakkas & Sofia Yfanti & Costas Daskalakis & Eduard Barbu & Marharyta Domnich, 2021. "Interpretable Forecasting of Energy Demand in the Residential Sector," Energies, MDPI, vol. 14(20), pages 1-17, October.
    22. Stiel, Caroline & Cullmann, Astrid & Nieswand, Maria, 2018. "Do Private Utilities Outperform Local Government-Owned Utilities? Evidence from German Retail Electricity," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(4), pages 401-425.
    23. Makena Coffman & Sherilyn Wee & Carl Bonham & Germaine Salim, 2013. "A Policy Analysis of Hawaii�s Solar Tax Credit Incentive," Working Papers 2013-11, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    24. L. (Lisa B.) Ryan & Sarah La Monaca & Linda Mastrandrea & Petr Spodniak, 2018. "Harnessing Electricity Retail Tariffs to Support Climate Change Policy," Working Papers 201822, School of Economics, University College Dublin.
    25. Coffman, Makena & Wee, Sherilyn & Bonham, Carl & Salim, Germaine, 2016. "A policy analysis of Hawaii's solar tax credit," Renewable Energy, Elsevier, vol. 85(C), pages 1036-1043.
    26. Simone Di Leo & Marta Chicca & Cinzia Daraio & Andrea Guerrini & Stefano Scarcella, 2022. "A Framework for the Analysis of the Sustainability of the Energy Retail Market," Sustainability, MDPI, vol. 14(12), pages 1-28, June.
    27. Leighty, Wayne & Meier, Alan, 2011. "Accelerated electricity conservation in Juneau, Alaska: A study of household activities that reduced demand 25%," Energy Policy, Elsevier, vol. 39(5), pages 2299-2309, May.
    28. Roula Inglesi-Lotz, 2012. "The sensitivity of the South African industrial sector’s electricity consumption to electricity price fluctuations," Working Papers 201225, University of Pretoria, Department of Economics.
    29. Eric L. Prentis, 2015. "Evidence on U.S. Electricity Prices: Regulated Utility vs. Restructured States," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 253-262.
    30. Pereira Uhr, Daniel de Abreu & Squarize Chagas, André Luis & Ziero Uhr, Júlia Gallego, 2019. "Estimation of elasticities for electricity demand in Brazilian households and policy implications," Energy Policy, Elsevier, vol. 129(C), pages 69-79.
    31. Halim Tatli, 2019. "Factors affecting industrial coal demand in Turkey," Energy & Environment, , vol. 30(6), pages 1027-1048, September.
    32. He, Yongxiu & Xu, Yang & Pang, Yuexia & Tian, Huiying & Wu, Rui, 2016. "A regulatory policy to promote renewable energy consumption in China: Review and future evolutionary path," Renewable Energy, Elsevier, vol. 89(C), pages 695-705.
    33. María del P. Pablo-Romero ,, & Rafael Pozo-Barajas & Javier Sánchez-Rivas, 2017. "Relationships between Tourism and Hospitality Sector Electricity Consumption in Spanish Provinces (1999–2013)," Sustainability, MDPI, vol. 9(4), pages 1-12, March.
    34. Caroline Stiel & Astrid Cullmann & Maria Nieswand, 2015. "Productivity in Electricity Retail after Market Liberalisation: Analysing the Effects of Ownership and Firm's Governance Structure," Discussion Papers of DIW Berlin 1531, DIW Berlin, German Institute for Economic Research.
    35. Xin-gang, Zhao & Shu-ran, Hu, 2020. "Does market-based electricity price affect China's energy efficiency?," Energy Economics, Elsevier, vol. 91(C).
    36. Filippini, Massimo & Hirl, Bettina & Masiero, Giuliano, 2018. "Habits and rational behaviour in residential electricity demand," Resource and Energy Economics, Elsevier, vol. 52(C), pages 137-152.
    37. Aslam, Misbah & Ahmad, Eatzaz, 2023. "Untangling electricity demand elasticities: Insights from heterogeneous household groups in Pakistan," Energy, Elsevier, vol. 282(C).
    38. Inglesi-Lotz, R., 2011. "The evolution of price elasticity of electricity demand in South Africa: A Kalman filter application," Energy Policy, Elsevier, vol. 39(6), pages 3690-3696, June.
    39. Sohag, Kazi & Begum, Rawshan Ara & Abdullah, Sharifah Mastura Syed & Jaafar, Mokhtar, 2015. "Dynamics of energy use, technological innovation, economic growth and trade openness in Malaysia," Energy, Elsevier, vol. 90(P2), pages 1497-1507.
    40. Shin, Kong Joo & Managi, Shunsuke, 2017. "Liberalization of a retail electricity market: Consumer satisfaction and household switching behavior in Japan," Energy Policy, Elsevier, vol. 110(C), pages 675-685.
    41. Paulun, Tobias & Feess, Eberhard & Madlener, Reinhard, 2010. "Why Higher Price Sensitivity of Consumers May Increase Average Prices: An Analysis of the European Electricity Market," FCN Working Papers 16/2010, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    42. Akihiro Otsuka, 2019. "Natural disasters and electricity consumption behavior: a case study of the 2011 Great East Japan Earthquake," Asia-Pacific Journal of Regional Science, Springer, vol. 3(3), pages 887-910, October.
    43. Miller, Mark & Alberini, Anna, 2016. "Sensitivity of price elasticity of demand to aggregation, unobserved heterogeneity, price trends, and price endogeneity: Evidence from U.S. Data," Energy Policy, Elsevier, vol. 97(C), pages 235-249.
    44. THAMAE Retselisitsoe Isaiah & THAMAE Leboli Zachia & THAMAE Thimothy Molefi, 2015. "Dynamics Of Electricity Demand In Lesotho: A Kalman Filter Approach," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 10(1), pages 130-139, April.
    45. Arisoy, Ibrahim & Ozturk, Ilhan, 2014. "Estimating industrial and residential electricity demand in Turkey: A time varying parameter approach," Energy, Elsevier, vol. 66(C), pages 959-964.
    46. Villareal, Maria José Charfuelan & Moreira, João Manoel Losada, 2016. "Household consumption of electricity in Brazil between 1985 and 2013," Energy Policy, Elsevier, vol. 96(C), pages 251-259.

  122. Chen, Guifu & Hamori, Shigeyuki, 2010. "Bivariate probit analysis of differences between male and female formal employment in urban China," Journal of Asian Economics, Elsevier, vol. 21(5), pages 494-501, October.

    Cited by:

    1. Zhanhui Fu & Hongqiang Jiang & Jiajun Qiao & Xiaojun Jiang & Weichun He, 2023. "Gender Differences in Migrant Workers’ Wages and Their Influencing Factors in the Central Hilly Regions of China," Land, MDPI, vol. 12(7), pages 1-16, July.
    2. Kwadwo Opoku & Francisco M.P. Mugizi & Emmanuel Adu Boahen, 2021. "Gender differences in formal wage employment in urban Tanzania," WIDER Working Paper Series wp-2021-99, World Institute for Development Economic Research (UNU-WIDER).

  123. Haifeng Xu & Shigeyuki Hamori, 2010. "Dynamic linkages of stock prices among G7 countries: effects of the American financial crisis," Economics Bulletin, AccessEcon, vol. 30(4), pages 2656-2667.

    Cited by:

    1. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2016. "The Chinese Stock Market Does not React to the Japanese Market: Using Intraday Data to Analyse Return and Volatility Spillover Effects," The Japanese Economic Review, Springer, vol. 67(3), pages 280-294, September.

  124. Koji KANAO & Shigeyuki HAMORI, 2010. "The size of the underground economy in Japan," Economics Bulletin, AccessEcon, vol. 30(1), pages 893-902.
    See citations under working paper version above.
  125. Hisako Kai & Shigeyuki Hamori, 2009. "Globalization, financial depth, and inequality in Sub-Saharan Africa," Economics Bulletin, AccessEcon, vol. 29(3), pages 2025-2037.
    See citations under working paper version above.
  126. Shigeyuki Hamori & Yoichi Matsubayashi, 2009. "Empirical analysis of export demand behavior of LDCs: Panel cointegration approach," Economics Bulletin, AccessEcon, vol. 29(3), pages 1990-1999.
    See citations under working paper version above.
  127. Takeshi Inoue & Shigeyuki Hamori, 2009. "What Explains Real and Nominal Exchange Rate Fluctuations?: Evidence from SVAR Analysis for India," Economics Bulletin, AccessEcon, vol. 29(4), pages 2803-2815.
    See citations under working paper version above.
  128. Yoshihiro Hashiguchi & Shigeyuki Hamori, 2009. "Saving-Investment Relationship and Capital Mobility: Evidence from Chinese Provincial Data, 1980—2007," Economics Bulletin, AccessEcon, vol. 29(3), pages 1981-1989.
    See citations under working paper version above.
  129. CHEN, Guifu & HAMORI, Shigeyuki, 2009. "Economic returns to schooling in urban China: OLS and the instrumental variables approach," China Economic Review, Elsevier, vol. 20(2), pages 143-152, June.

    Cited by:

    1. Vinod Mishra & Russell Smyth, 2012. "Returns to Schooling in Urban China: New Evidence Using Heteroskedasticity Restrictions to Obtain Identification Without Exclusion Restrictions," Monash Economics Working Papers 33-12, Monash University, Department of Economics.
    2. Lin, Carl & Sun, Yan & Xing, Chunbing, 2018. "Son Preference and Human Capital Investment among China's Rural-Urban Migrant Households," IZA Discussion Papers 11930, Institute of Labor Economics (IZA).
    3. Yao, Yao & Chen, George S. & Salim, Ruhul & Yu, Xiaojun, 2018. "Schooling returns for migrant workers in China: Estimations from the perspective of the institutional environment in a rural setting," China Economic Review, Elsevier, vol. 51(C), pages 240-256.
    4. Kentaro Shimada & Zeba Khan & Suguru Mizunoya & Ayako Wakano, 2016. "An Update of the Returns to Education in Kenya: Accounting both endogeneity and sample selection biases," Discussion Papers in Economics and Business 16-18, Osaka University, Graduate School of Economics.
    5. Xie, Shiqing & Mo, Taiping, 2014. "The impact of education on health in China," China Economic Review, Elsevier, vol. 29(C), pages 1-18.
    6. Chyi, Hau & Zhou, Bo, 2014. "The effects of tuition reforms on school enrollment in rural China," Economics of Education Review, Elsevier, vol. 38(C), pages 104-123.
    7. Wang, Le, 2011. "How Does Education Affect the Earnings Distribution in Urban China?," IZA Discussion Papers 6173, Institute of Labor Economics (IZA).
    8. Wang, Jun & Yang, Juan & Li, Bo, 2017. "Pain of disasters: The educational cost of exogenous shocks evidence from Tangshan Earthquake in 1976," China Economic Review, Elsevier, vol. 46(C), pages 27-49.
    9. Hou, Benyufang & Liu, Hong & Wang, Sophie Xuefei, 2020. "Returns to military service in off-farm wage employment: Evidence from rural China," China Economic Review, Elsevier, vol. 59(C).
    10. Chris SAKELLARIOU & Fang ZHENG, 2014. "Returns to Schooling for Urban Residents and Migrants in China: New IV Estimates and a Comprehensive Investigation," Economic Growth Centre Working Paper Series 1407, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    11. Ren, Weiwei & Miller, Paul W., 2012. "Changes over time in the return to education in urban China: Conventional and ORU estimates," China Economic Review, Elsevier, vol. 23(1), pages 154-169.
    12. Vinod Mishra & Russell Smyth, 2012. "It Pays to Be Happy (If You are a Man): Subjective Wellbeing and the Gender Wage Gap in Urban China," Monash Economics Working Papers 51-12, Monash University, Department of Economics.
    13. Chen, Guifu & Hamori, Shigeyuki, 2010. "Bivariate probit analysis of differences between male and female formal employment in urban China," Journal of Asian Economics, Elsevier, vol. 21(5), pages 494-501, October.
    14. Liu, Shenglong & Hu, Angang, 2013. "Demographic change and economic growth: Theory and evidence from China," Economic Modelling, Elsevier, vol. 35(C), pages 71-77.
    15. Yongwei Chen & Dahai Fu & Xinyue Ye, 2021. "Income comparison and happiness: The role of fair income distribution," Australian Economic Papers, Wiley Blackwell, vol. 60(1), pages 41-63, March.
    16. Mishra, Vinod & Smyth, Russell, 2015. "Estimating returns to schooling in urban China using conventional and heteroskedasticity-based instruments," Economic Modelling, Elsevier, vol. 47(C), pages 166-173.
    17. Su, Biwei & Heshmati, Almas, 2011. "Development and Sources of Labor Productivity in Chinese Provinces," IZA Discussion Papers 6263, Institute of Labor Economics (IZA).
    18. Liu, Min & Dries, Liesbeth & Heijman, Wim & Zhu, Xueqin & Deng, Xiangzheng & Huang, Jikun, 2019. "Land tenure reform and grassland degradation in Inner Mongolia, China," China Economic Review, Elsevier, vol. 55(C), pages 181-198.
    19. Guo, Qian & Sun, Wenkai, 2014. "Economic returns to English proficiency for college graduates in mainland China," China Economic Review, Elsevier, vol. 30(C), pages 290-300.
    20. Liu, Min & Dries, Liesbeth & Huang, Jikun & Min, Shi & Tang, Jianjun, 2019. "The impacts of the eco-environmental policy on grassland degradation and livestock production in Inner Mongolia, China: An empirical analysis based on the simultaneous equation model," Land Use Policy, Elsevier, vol. 88(C).
    21. Wang, Le, 2012. "Estimating Returns to Education when the IV Sample is Selective," IZA Discussion Papers 7103, Institute of Labor Economics (IZA).
    22. Weiwei Ren & Paul W. Miller, 2012. "Gender Differentials in the Payoff to Schooling in Rural China," Journal of Development Studies, Taylor & Francis Journals, vol. 48(1), pages 133-150, September.
    23. Martin Carnoy & Prashant Loyalka & Gregory Androushchak & Anna Proudnikova, 2012. "The Economic Returns to Higher Education in the BRIC Countries and their Implications for Higher Education Expansion," HSE Working papers WP BRP 02/EDU/2012, National Research University Higher School of Economics.
    24. Sefa Awaworyi Churchill & Vinod Mishra, 2018. "Returns to education in China: a meta-analysis," Applied Economics, Taylor & Francis Journals, vol. 50(54), pages 5903-5919, November.
    25. Juliet Elu & Gregory Price, 2013. "Does Ethnicity Matter for Access to Childhoodand Adolescent Health Capital in China? Evidence from the Wage-Height Relationship in the 2006 China Health and Nutrition Survey," The Review of Black Political Economy, Springer;National Economic Association, vol. 40(3), pages 315-339, September.
    26. Messinis, George, 2013. "Returns to education and urban-migrant wage differentials in China: IV quantile treatment effects," China Economic Review, Elsevier, vol. 26(C), pages 39-55.
    27. M Niaz Asadullah & Saizi Xiao, 2019. "Labor Market Returns to Education and English Language Skills in the People's Republic of China: An Update," Asian Development Review, MIT Press, vol. 36(1), pages 80-111, March.
    28. Beatriz Muriel Hernández, 2016. "An Analysis of Firm Characteristics as Earnings Determinants: The Urban Bolivia Case," Development Research Working Paper Series 04/2016, Institute for Advanced Development Studies.
    29. Xinxin Ma & Ichiro Iwasaki, 2021. "Does communist party membership bring a wage premium in China? a meta-analysis," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 19(1), pages 55-94, January.
    30. Zhong, Hai, 2011. "Returns to higher education in China: What is the role of college quality?," China Economic Review, Elsevier, vol. 22(2), pages 260-275, June.
    31. Sajjad Haider Bhatti & Muhammad Aslam & Jean Bourdon, 2018. "Market Returns to Education in Pakistan, Corrected for Endogeneity Bias," Post-Print halshs-01845506, HAL.
    32. Tom Coupe & Hanna Vakhitova, 2011. "Recent Dynamics of Returns to Education in Transition Countries," Discussion Papers 39, Kyiv School of Economics.
    33. Hu, Feng, 2015. "Return to Education for China’s Return Migrant Entrepreneurs," World Development, Elsevier, vol. 72(C), pages 296-307.
    34. Wang, Le, 2012. "Economic transition and college premium in urban China," China Economic Review, Elsevier, vol. 23(2), pages 238-252.
    35. Zhongkun Zhu & Wanglin Ma & Chenxin Leng, 2022. "ICT Adoption, Individual Income and Psychological Health of Rural Farmers in China," Applied Research in Quality of Life, Springer;International Society for Quality-of-Life Studies, vol. 17(1), pages 71-91, February.
    36. Gao, Wenshu & Smyth, Russell, 2011. "Economic returns to speaking 'standard Mandarin' among migrants in China's urban labour market," Economics of Education Review, Elsevier, vol. 30(2), pages 342-352, April.
    37. Sajjad Haider Bhatti & Muhammad Aslam & Jean Bourdon, 2018. "Market Returns to Education in Pakistan, Corrected for Endogeneity Bias," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 23(1), pages 79-96, Jan-June.
    38. Mishra, Vinod & Smyth, Russell, 2013. "Economic returns to schooling for China's Korean minority," Journal of Asian Economics, Elsevier, vol. 24(C), pages 89-102.
    39. Wenshu Gao & Russell Smyth, 2012. "Returns to Schooling in Urban China, 2001-2010: Evidence from Three Waves of the China Urban Labor Survey," Monash Economics Working Papers 50-12, Monash University, Department of Economics.
    40. Faqin Lin & Can Huang & Xiaobo He & Chao Zhang, 2013. "Do more highly educated entrepreneurs matter?," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 27(2), pages 104-116, November.
    41. Lin Xiu & Morley Gunderson, 2013. "Credential Effects and the Returns to Education in China," LABOUR, CEIS, vol. 27(2), pages 225-248, June.
    42. Chris Sakellariou & Zheng Fang, 2016. "Returns to schooling for urban and migrant workers in China: a detailed investigation," Applied Economics, Taylor & Francis Journals, vol. 48(8), pages 684-700, February.
    43. Kang, Lili & Peng, Fei, 2012. "Siblings, public facilities and education returns in China," MPRA Paper 38922, University Library of Munich, Germany.
    44. Wenwu Zhang & Jiayin Wang & Xi Ou, 2024. "Trade liberalization, city size, and urban wage premium: evidence from China’s city and individual micro-data," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-11, December.
    45. Castro Campos, Bente & Ren, Yanjun & Petrick, Martin, 2016. "The impact of education on income inequality between ethnic minorities and Han in China," China Economic Review, Elsevier, vol. 41(C), pages 253-267.

  130. Shigeyuki Hamori, 2009. "The sustainability of trade accounts of the G-7 countries," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1691-1694.

    Cited by:

    1. Fengbao Yin & Shigeyuki Hamori, 2011. "The Sustainability of Trade Balances in China," Economics Bulletin, AccessEcon, vol. 31(3), pages 2090-2097.
    2. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2013. "Global imbalances and the Intertemporal External Budget Constraint: A multicointegration approach," Working Papers 1303, Department of Applied Economics II, Universidad de Valencia.
    3. Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "The trade balance in euro countries: a natural case study of periodic integration with a changing mean," Working Papers 1321, Department of Applied Economics II, Universidad de Valencia.
    4. Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "An analysis of the trade balance for OECD countries using periodic integration and cointegration," Working Papers 1320, Department of Applied Economics II, Universidad de Valencia.
    5. Jakub Horak, 2021. "Sanctions as a Catalyst for Russia’s and China’s Balance of Trade: Business Opportunity," JRFM, MDPI, vol. 14(1), pages 1-26, January.
    6. Tomás Barrio & Mariam Camarero & Cecilio Tamarit, 2019. "Testing for Periodic Integration with a Changing Mean," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 45-75, June.
    7. HASHIGUCHI, Yoshihiro & HAMORI, Shigeyuki, 2010. "The sustainability of trade balances in Sub-Saharan Africa: panel cointegration tests with cross-section dependence," MPRA Paper 24054, University Library of Munich, Germany.
    8. Olufemi G. Onatunji, 2023. "Sustainability of current account deficits in Nigeria: evidence from the asymmetric NARDL approach," SN Business & Economics, Springer, vol. 3(10), pages 1-22, October.
    9. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2021. "Análisis de la sostenibilidad del sector exterior en la OCDE con técnicas de multicointegración," Working Papers 2112, Department of Applied Economics II, Universidad de Valencia.

  131. Hisashi Tanizaki & Shigeyuki Hamori, 2009. "Volatility transmission between Japan, UK and USA in daily stock returns," Empirical Economics, Springer, vol. 36(1), pages 27-54, February.

    Cited by:

    1. Viorica CHIRILA & Ciprian CHIRILA, 2018. "Effects of US Monetary Policy on Eastern European Financial Markets," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10(2), pages 149-166, August.
    2. Ekin Tokat & Hakkı Arda Tokat, 2010. "Shock and Volatility Transmission in the Futures and Spot Markets: Evidence from Turkish Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(4), pages 92-104, January.
    3. Borjigin, Sumuya & Gao, Ting & Sun, Yafei & An, Biao, 2020. "For evil news rides fast, while good news baits later?—A network based analysis in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    4. Kunlin Hsieh & Yuching Hsieh & Shigeyuki Hamori, 2010. "The Interdependence of Taiwanese and Japanese Stock Prices," Economics Bulletin, AccessEcon, vol. 30(1), pages 879-892.
    5. Athanasios Koulakiotis & Katerina Lyroudi & Nikos Thomaidis & Nicholas Papasyriopoulos, 2010. "The impact of cross‐listings on the UK and the German stock markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(1), pages 4-18, March.
    6. Koulakiotis, Athanasios & Kartalis, Nikos & Lyroudi, Katerina & Papasyriopoulos, Nicholas, 2012. "Asymmetric and threshold effects on comovements among Germanic cross-listed equities," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 327-342.
    7. Abdul Wahid & Muhammad Zubair Mumtaz, 2018. "The Paradigm Shift in the Pakistan Stock Exchange’s Financial Integration Post-FTA and CPEC," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 23(1), pages 21-50, Jan-June.
    8. Sinha, Pankaj & Sinha, Gyanesh, 2010. "Volatility Spillover in India, USA and Japan Investigation of Recession Effects," MPRA Paper 47190, University Library of Munich, Germany, revised 17 May 2013.
    9. Galin Todorov & Prasad Bidarkota, 2013. "On international financial spillovers to frontier markets," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 5(4), pages 433-452.
    10. Withanage, Yeshan & Jayasinghe, Prabhath, 2017. "Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan," MPRA Paper 82782, University Library of Munich, Germany, revised Nov 2017.
    11. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    12. Liu, Xueyong & An, Haizhong & Li, Huajiao & Chen, Zhihua & Feng, Sida & Wen, Shaobo, 2017. "Features of spillover networks in international financial markets: Evidence from the G20 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 265-278.
    13. Zhu, Hui-Ming & Li, ZhaoLai & You, WanHai & Zeng, Zhaofa, 2015. "Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 142-153.
    14. A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander, 2012. "Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation," Working Paper CRENoS 201214, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.

  132. Guifu Chen & Shigeyuki Hamori, 2009. "Solution to the Dilemma of the Migrant Labor Shortage and the Rural Labor Surplus in China," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 17(4), pages 53-71, July.

    Cited by:

    1. Xing Ji & Jia Chen & Hongxiao Zhang, 2023. "Agricultural Specialization Threatens Sustainable Mental Health: Implications for Chinese Farmers’ Subjective Well-Being," Sustainability, MDPI, vol. 15(20), pages 1-22, October.
    2. Qiao, Fangbin, 2017. "Increasing wage, mechanization, and agriculture production in China," China Economic Review, Elsevier, vol. 46(C), pages 249-260.
    3. John Knight & Deng Quheng and Li Shi, 2010. "The Puzzle of Migrant Labour Shortage and Rural Labour Surplus in China," Economics Series Working Papers 494, University of Oxford, Department of Economics.
    4. Lijian QIN & Shuangquan YU & Chenggang WANG & Zhongyi JIANG, 2013. "The impact of health on off-farm income of China's migrant workers," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 59(2), pages 90-99.
    5. Fangbin Qiao, 2020. "The Impact of Agricultural Service on Grain Production in China," Sustainability, MDPI, vol. 12(15), pages 1-18, August.
    6. Christoph Scherrer, 2018. "Labour surplus is here to stay: why ‘decent work for all’ will remain elusive," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 20(2), pages 293-307, October.
    7. Huasheng Zhu & Junwei Feng & Maojun Wang & Fan Xu, 2017. "Sustaining Regional Advantages in Manufacturing: Skill Accumulation of Rural–Urban Migrant Workers in the Coastal Area of China," Sustainability, MDPI, vol. 9(1), pages 1-23, January.
    8. Bai, Y. & Wang, W. & Zhang, L., 2018. "How long do returning migrants stay in their home county: Evidence from rural China during 1998 to 2015," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277380, International Association of Agricultural Economists.
    9. Yunli Bai & Weidong Wang & Linxiu Zhang, 2018. "How Long Do Return Migrants Stay in Their Home Counties? Trends and Causes," Sustainability, MDPI, vol. 10(11), pages 1-21, November.
    10. Lijian Qin & Zhen Wang, 2015. "Impact of Health Status and Related Factors on Labor Market Positions of Urban Mature Chinese," Journal of Labor Research, Springer, vol. 36(2), pages 224-231, June.
    11. Zhu, Hongfei & He, Lixin & Yuan, Tangjun, 2012. "Could Education Retain Farmers in the Local Area?," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 53(1), pages 39-47, June.

  133. Shigeyuki Hamori & Naoko Hamori, 2009. "International term structure of interest rates in the Euro area," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1113-1116.

    Cited by:

    1. Shigeyuki Hamori & Naoko Hamori, 2009. "Introduction of the Euro and the Monetary Policy of the European Central Bank," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7169.

  134. Shigeyuki Hamori & Naoko Hamori, 2009. "On the Sustainability of Budget Deficits in the Euro Area," Economics Bulletin, AccessEcon, vol. 29(1), pages 56-66.

    Cited by:

    1. Shigeyuki Hamori & Naoko Hamori, 2009. "Introduction of the Euro and the Monetary Policy of the European Central Bank," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7169.

  135. Yoichi Matsubayashi & Shigeyuki Hamori, 2009. "Empirical analysis of import demand behavior of least developed countries," Economics Bulletin, AccessEcon, vol. 29(2), pages 1443-1458.
    See citations under working paper version above.
  136. Takeshi Inoue & Shigeyuki Hamori, 2009. "An Empirical Analysis of the Money Demand Function in India," Economics Bulletin, AccessEcon, vol. 29(2), pages 1224-1245.
    See citations under working paper version above.
  137. Shigeyuki Hamori & Guifu Chen, 2008. "Do Chinese employers discriminate against females when hiring employees ?," Economics Bulletin, AccessEcon, vol. 10(14), pages 1-17.

    Cited by:

    1. Su, Biwei & Heshmati, Almas, 2011. "Analysis of Gender Wage Differential in China's Urban Labor Market," IZA Discussion Papers 6252, Institute of Labor Economics (IZA).
    2. Chen, Guifu & Hamori, Shigeyuki, 2010. "Bivariate probit analysis of differences between male and female formal employment in urban China," Journal of Asian Economics, Elsevier, vol. 21(5), pages 494-501, October.
    3. Almas Heshmati & Biwei Su & Seon-Ae Kim, 2015. "Measurement and Analysis of Well-Being in Developed Regions in China," China Economic Policy Review (CEPR), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-22, June.

  138. Hamori, Shigeyuki & Hamori, Naoko, 2008. "Demand for money in the Euro area," Economic Systems, Elsevier, vol. 32(3), pages 274-284, September.

    Cited by:

    1. Khalfaoui, Rabeh & Padhan, Hemachandra & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2020. "Understanding the time-frequency dynamics of money demand, oil prices and macroeconomic variables: The case of India," Resources Policy, Elsevier, vol. 68(C).
    2. Simplice A. Asongu & Oludele E. Folarin & Nicholas Biekpe, 2019. "The Stability of Demand for Money in the Proposed Southern African Monetary Union," Working Papers of the African Governance and Development Institute. 19/025, African Governance and Development Institute..
    3. Emel Siklar & Ilyas Siklar, 2021. "Is There a Change in the Money Demand Stability in Turkey? A Nonlinear Approach," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 7(2), pages 28-42, 06-2021.
    4. Rios, Vicente, 2019. "New Evidence on the Size and Drivers of the Shadow Economy in Spain: A Model Averaging Approach," MPRA Paper 97504, University Library of Munich, Germany.
    5. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques," Discussion Papers of DIW Berlin 982, DIW Berlin, German Institute for Economic Research.
    6. Chien-Chiang Lee & An-Hsing Chang, 2013. "Revisiting the demand for money function: evidence from the random coefficients approach," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1491-1502, September.
    7. Alfredo Villca & Alejandro Torres & Carlos Esteban Posada & Hermilson Velásquez, 2020. "Demanda de dinero en América Latina, 1996-2016: una aplicación de cointegración en datos de panel," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 85(6), June.
    8. Daniele, Vittorio & Foresti, Pasquale & Napolitano, Oreste, 2017. "The stability of money demand in the long-run: Italy 1861–2011," LSE Research Online Documents on Economics 67219, London School of Economics and Political Science, LSE Library.
    9. Frauke Dobnik, 2013. "Long-run money demand in OECD countries: what role do common factors play?," Empirical Economics, Springer, vol. 45(1), pages 89-113, August.
    10. Barnett, William A. & Ghosh, Taniya & Adil, Masudul Hasan, 2022. "Is money demand really unstable? Evidence from Divisia monetary aggregates," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 606-622.
    11. Samba Michel Cyrille, 2015. "International Reserves Holdings in the CEMAC Area: Adequacy and Motives," African Development Review, African Development Bank, vol. 27(4), pages 415-427, December.
    12. Czudaj, Robert, 2011. "P-star in times of crisis - Forecasting inflation for the euro area," Economic Systems, Elsevier, vol. 35(3), pages 390-407, September.
    13. Shigeyuki Hamori & Naoko Hamori, 2009. "Introduction of the Euro and the Monetary Policy of the European Central Bank," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7169.
    14. Syed Abul Basher & Stefano Fachin, 2014. "Investigating long-run demand for broad money in the Gulf Arab countries," Middle East Development Journal, Taylor & Francis Journals, vol. 6(2), pages 199-214, July.
    15. Kumar, Saten, 2011. "Financial reforms and money demand: Evidence from 20 developing countries," Economic Systems, Elsevier, vol. 35(3), pages 323-334, September.
    16. Vicente Ríos & Antonio Gómez & Pedro Pascual, 2021. "Raising the Accuracy of Shadow Economy Measurements," Hacienda Pública Española / Review of Public Economics, IEF, vol. 239(4), pages 71-125, November.
    17. Kumar, Saten & Chowdhury, Mamta & Rao, B. Bhaskara, 2010. "Demand for Money in the Selected OECD Countries: A Time Series Panel Data Approach and Structural Breaks," MPRA Paper 22204, University Library of Munich, Germany.
    18. Masudul Hasan Adil & Rafiq Hussain & Adelajda Matuka, 2022. "Interest rate sensitivity of demand for money and effectiveness of monetary policy: fresh evidence from combined cointegration test and ARDL approach," SN Business & Economics, Springer, vol. 2(7), pages 1-24, July.
    19. Nicholas Apergis, 2015. "Long-run estimates of money demand: new evidence from East Asian countries and the presence of structural breaks," Applied Economics, Taylor & Francis Journals, vol. 47(31), pages 3276-3291, July.
    20. Helmut Herwartz & Jordi Sardà & Bernd Theilen, 2016. "Money demand and the shadow economy: empirical evidence from OECD countries," Empirical Economics, Springer, vol. 50(4), pages 1627-1645, June.
    21. BENDOB, Ali & SI MOHEMMED, Kamel, 2014. "La relation entre le taux de change parallèle et la demande de la monnaie Cas de l’Algérie durant 1980-2010: Une approche économétrique [The relationship between the parallel exchange rate and dema," MPRA Paper 76085, University Library of Munich, Germany, revised 2014.
    22. Dobnik, Frauke, 2011. "Long-run Money Demand in OECD Countries – Cross-Member Cointegration," Ruhr Economic Papers 237, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    23. Mouyad Alsamara & Zouhair Mrabet, 2019. "Asymmetric impacts of foreign exchange rate on the demand for money in Turkey: new evidence from nonlinear ARDL," International Economics and Economic Policy, Springer, vol. 16(2), pages 335-356, April.

  139. Shigeyuki Hamori, 2008. "Empirical Analysis of the Money Demand Function in Sub-Saharan Africa," Economics Bulletin, AccessEcon, vol. 15(4), pages 1-15.

    Cited by:

    1. Khalfaoui, Rabeh & Padhan, Hemachandra & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2020. "Understanding the time-frequency dynamics of money demand, oil prices and macroeconomic variables: The case of India," Resources Policy, Elsevier, vol. 68(C).
    2. Afees Salisu & Idris Ademuyiwa & Basiru Fatai, 2013. "Modelling the Demand for Money in Sub-Saharan Africa (SSA)," Economics Bulletin, AccessEcon, vol. 33(1), pages 635-647.
    3. Felix S. Nyumuah, 2017. "An Investigation into the Interest Elasticity of Demand for Money in Developing Countries: A Panel Data Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 69-80, March.
    4. Mr. Andrew Berg & Ms. Filiz D Unsal & Mr. Rafael A Portillo, 2010. "On the Optimal Adherence to Money Targets in a New-Keynesian Framework: An Application to Low-Income Countries," IMF Working Papers 2010/134, International Monetary Fund.
    5. J. Paul Dunne & Elizabeth Kasekende, 2017. "Financial Innovation and Money Demand: Evidence from Sub-Saharan Africa," School of Economics Macroeconomic Discussion Paper Series 2017-06, School of Economics, University of Cape Town.
    6. Prasert Chaitip & Chukiat Chaiboonsri, 2009. "A Panel Cointegration Analysis: Thailand’s International Tourism Demand Model," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(1), pages 129-142.
    7. Frauke Dobnik, 2013. "Long-run money demand in OECD countries: what role do common factors play?," Empirical Economics, Springer, vol. 45(1), pages 89-113, August.
    8. Syed Abul Basher & Stefano Fachin, 2014. "Investigating long-run demand for broad money in the Gulf Arab countries," Middle East Development Journal, Taylor & Francis Journals, vol. 6(2), pages 199-214, July.
    9. Chukiat Chaiboonsri & Jittaporn Sriboonjit & Thanes Sriwichailamphan & Prasert Chaitip & Songsak Sriboonchitta, 2010. "A Panel Cointegration Analysis: An Application To International Tourism Demand Of Thailand," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 10(3), pages 69-86.
    10. Kumar, Saten & Chowdhury, Mamta & Rao, B. Bhaskara, 2010. "Demand for Money in the Selected OECD Countries: A Time Series Panel Data Approach and Structural Breaks," MPRA Paper 22204, University Library of Munich, Germany.
    11. Nicholas Apergis, 2015. "Long-run estimates of money demand: new evidence from East Asian countries and the presence of structural breaks," Applied Economics, Taylor & Francis Journals, vol. 47(31), pages 3276-3291, July.
    12. Nano Prawoto, 2010. "Money demand: a study on the Indonesian influential factors," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 2(3), pages 223-236, April.
    13. Agya Atabani Adi & Joshua Sunday Riti, 2017. "Determination of Long and Short Run Demand for Money in the West African Monetary Zone (WAMZ) Countries: A Panel Analysis," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 2(2), pages 79-97, December.
    14. Dobnik, Frauke, 2011. "Long-run Money Demand in OECD Countries – Cross-Member Cointegration," Ruhr Economic Papers 237, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    15. Payam MOHAMMAD ALIHA & Tamat SARMIDI & Abu Hassan SHAAR & Fathin FAIZAH SAID, 2017. "Using Ardl Approach To Cointehration For Investigating The Relationship Between Payment Technologies And Money Demand On A World Scale," Regional Science Inquiry, Hellenic Association of Regional Scientists, vol. 0(2), pages 29-37, December.
    16. John Bosco Nnyanzi, 2018. "The Interaction Effect of Financial Innovation and the Transmission Channels on Money Demand in Uganda," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(12), pages 1-1, December.
    17. Samih Antoine Azar & Fadi Asrawi & Emad Gharzuddine, 2017. "Economic Integration in the Six Middle Eastern Gulf Countries: A Look from the Perspective of Money Demand," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(3), pages 189-218, December.

  140. Bhar, Ramaprasad & Hamori, Shigeyuki, 2008. "Information content of commodity futures prices for monetary policy," Economic Modelling, Elsevier, vol. 25(2), pages 274-283, March.

    Cited by:

    1. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.
    2. Guo, Jian-Feng & Ji, Qiang, 2013. "How does market concern derived from the Internet affect oil prices?," Applied Energy, Elsevier, vol. 112(C), pages 1536-1543.
    3. Ye, Wuyi & Guo, Ranran & Jiang, Ying & Liu, Xiaoquan & Deschamps, Bruno, 2019. "Professional macroeconomic forecasts and Chinese commodity futures prices," Finance Research Letters, Elsevier, vol. 28(C), pages 130-136.
    4. Chen, Guifu & Hamori, Shigeyuki, 2009. "Energy prices and China’s international competitiveness," MPRA Paper 18827, University Library of Munich, Germany.
    5. Khalfaoui, Rabeh & Baumöhl, Eduard & Sarwar, Suleman & Výrost, Tomáš, 2021. "Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks," Resources Policy, Elsevier, vol. 74(C).
    6. Yanfeng Wei, 2015. "The informational role of commodity prices in formulating monetary policy: a reexamination under the frequency domain," Empirical Economics, Springer, vol. 49(2), pages 537-549, September.
    7. Xiangyu Chen & Jittima Tongurai, 2021. "The Relationship Between China’s Real Estate Market and Industrial Metals Futures Market: Evidence from Non-price Measures of the Real Estate Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 527-561, December.
    8. Nakajima, Tadahiro & Hamori, Shigeyuki, 2013. "Testing causal relationships between wholesale electricity prices and primary energy prices," Energy Policy, Elsevier, vol. 62(C), pages 869-877.
    9. Ciner, Cetin, 2011. "Commodity prices and inflation: Testing in the frequency domain," Research in International Business and Finance, Elsevier, vol. 25(3), pages 229-237, September.
    10. Renuka Mahadevan & Sandy Suardi, 2013. "An Examination Of Linear And Nonlinear Causal Relationships Between Commodity Prices And U.S. Inflation," Economic Inquiry, Western Economic Association International, vol. 51(4), pages 1932-1947, October.
    11. Ansgar Belke & Ingo G. Bordon & Torben W. Hendricks, 2010. "Monetary Policy, Global Liquidity and Commodity Price Dynamics," Discussion Papers of DIW Berlin 971, DIW Berlin, German Institute for Economic Research.
    12. Verheyen, Florian, 2010. "Monetary Policy, Commodity Prices and Infl ation – Empirical Evidence from the US," Ruhr Economic Papers 216, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    13. Zhang, Yongmin & Ding, Shusheng & Scheffel, Eric M., 2019. "A key determinant of commodity price Co-movement: The role of daily market liquidity," Economic Modelling, Elsevier, vol. 81(C), pages 170-180.
    14. Libo Yin & Jing Nie & Liyan Han, 2020. "Intermediary asset pricing in commodity futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1711-1730, November.
    15. Yuki Toyoshima, 2018. "Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-10, April.
    16. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2651-2663.
    17. Roy, Rudra Prosad & Sinha Roy, Saikat, 2022. "Commodity futures prices pass-through and monetary policy in India: Does asymmetry matter?," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    18. Belke, Ansgar & Bordon, Ingo G. & Hendricks, Torben W., 2009. "Global Liquidity and Commodity Prices – A Cointegrated VAR Approach for OECD Countries," Ruhr Economic Papers 102, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    19. Hanabusa, Kunihiro, 2009. "Causality relationship between the price of oil and economic growth in Japan," Energy Policy, Elsevier, vol. 37(5), pages 1953-1957, May.
    20. Ji, Qiang & Guo, Jian-Feng, 2015. "Market interdependence among commodity prices based on information transmission on the Internet," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 426(C), pages 35-44.
    21. Triantafyllou, Athanasios & Dotsis, George, 2017. "Option-implied expectations in commodity markets and monetary policy," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 1-17.
    22. Libo Yin & Jing Nie & Liyan Han, 2021. "Intermediary capital risk and commodity futures volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 577-640, May.

  141. Shigeyuki HAMORI, 2008. "Trade Balances and the Terms of Trade in G-7 Countries: Penal Cointegration Approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(2), pages 13-22.

    Cited by:

    1. Muhammad Shafiullah & Faridul Islam & Ravinthirakumaran Navaratnam, 2020. "The Harberger–Laursen–Metzler effect: evidence from five SAARC countries," Empirical Economics, Springer, vol. 58(4), pages 1749-1777, April.
    2. Syed tehseen, jawaid & Abdul, waheed, 2011. "Effects of Terms of Trade and its Volatility on Economic Growth: A Cross Country Empirical Investigation," MPRA Paper 32694, University Library of Munich, Germany.
    3. Dong, Fang, 2017. "Testing the Marshall-Lerner condition between the U.S. and other G7 member countries," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 30-40.
    4. Bonga, Wellington G., 2018. "Trade Balance Analysis in Zimbabwe: Import and Export Examination Using Vector Auto-Regression Model," MPRA Paper 89002, University Library of Munich, Germany.
    5. Faridul, Islam & Mohammad, Iqbal Tahir & Muhammad, Shahbaz, 2012. "Income terms of trade and trade balance: the long run evidence from Bangladesh," MPRA Paper 38384, University Library of Munich, Germany, revised 24 Apr 2012.
    6. Jawaid, Syed Tehseen & Raza, Syed Ali, 2013. "Effects of terms of trade on growth performance of India," Economic Modelling, Elsevier, vol. 33(C), pages 940-946.
    7. Jawaid, Syed Tehseen & Raza, Syed Ali, 2012. "Effects of terms of trade and its volatility on economic growth in India," MPRA Paper 38998, University Library of Munich, Germany.
    8. Rizwana YASMEEN* & Muhammad HAFEEZ** & Ihtsham ul Haq PADDA***, 2018. "TRADE BALANCE AND TERMS OF TRADE RELATIONSHIP: Evidence from Pakistan," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 28(2), pages 173-188.

  142. Shigeyuki Hamori & Naoko Hamori, 2007. "Sources of Real and Nominal Exchange Rate Movements for the Euro," Economics Bulletin, AccessEcon, vol. 6(32), pages 1-10.

    Cited by:

    1. Takeshi Inoue & Shigeyuki Hamori, 2009. "What Explains Real and Nominal Exchange Rate Fluctuations?: Evidence from SVAR Analysis for India," Economics Bulletin, AccessEcon, vol. 29(4), pages 2803-2815.
    2. K. Rajmund MIRDALA, 2012. "Sources Of Exchange Rate Volatility In The European Transition Economies. Effects Of Economic Crisis Revealed," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 270-282.
    3. Shigeyuki Hamori & Naoko Hamori, 2009. "Introduction of the Euro and the Monetary Policy of the European Central Bank," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7169.
    4. Muhammad Nasir & Wasim Malik, 2011. "Structural Decomposition of Exchange Rate Shocks in Pakistan: An Empirical Investigation using SVAR Methodology," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(1), pages 124-138, September.

  143. Shigeyuki Hamori, 2007. "International Capital Flows and the Frankel-Dooley-Mathieson Puzzle," Economics Bulletin, AccessEcon, vol. 15(19), pages 1-12.

    Cited by:

    1. Shigeyuki Hamori & Naoko Hamori, 2009. "Introduction of the Euro and the Monetary Policy of the European Central Bank," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7169.
    2. Kam Hon Chu, 2017. "The Feldstein-Horioka puzzle, the Frankel-Dooley-Mathieson puzzle, spurious ratio correlation and measurement errors," Economics Bulletin, AccessEcon, vol. 37(3), pages 2004-2019.

  144. Bhar, Ramaprasad & Hamori, Shigeyuki, 2007. "Co-movement in the price of risk of aggregate equity markets," Economic Systems, Elsevier, vol. 31(3), pages 256-271, September.

    Cited by:

    1. Thuraisamy, Kannan Sivananthan, 2014. "Intra-market sovereign linkages of key Latin American markets," Economic Systems, Elsevier, vol. 38(2), pages 140-160.

  145. Shigeyuki Hamori & Yu-Ching Hsieh & Wan-Jun Yao, 2007. "An Empirical Analysis about Population, Technological Progress, and Economic Growth in Taiwan," Economics Bulletin, AccessEcon, vol. 15(23), pages 1-13.

    Cited by:

    1. Silvia London & Gastón Cayssials & Fernando Antonio Ignacio González, 2022. "Population growth and economic growth: a panel causality analysis," Asociación Argentina de Economía Política: Working Papers 4574, Asociación Argentina de Economía Política.
    2. Juan Gabriel Brida & Juan S. Pereyra & Wiston Adrián Risso, 2011. "Learning strategies in modelling economic growth," Economics Bulletin, AccessEcon, vol. 31(1), pages 546-559.

  146. Shigeyuki Hamori, 2007. "The information role of commodity prices in formulating monetary policy: some evidence from Japan," Economics Bulletin, AccessEcon, vol. 5(13), pages 1-7.

    Cited by:

    1. Go Tamakoshi & Shigeyuki Hamori, 2012. "Informational roles of commodity prices for monetary policy: evidence from the Euro area," Economics Bulletin, AccessEcon, vol. 32(2), pages 1282-1290.
    2. Kuhanathan Ano Sujithan & Sanvi Avouyi-Dovi & Lyes Koliai, 2013. "Does Monetary Policy Respond to Commodity Price Shocks?," Post-Print hal-01511915, HAL.

  147. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 1-9, March.

    Cited by:

    1. Yasuyuki Itoh, 2007. "A Class of Gaussian Hybrid Processes for Modeling Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 185-199, September.
    2. Hazrana, Jaweriah, 2017. "Modelling International Oilseed Prices: An Application Of The Structural Time Series Model," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 5(2), April.

  148. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Linkages among agricultural commodity futures prices: some further evidence from Tokyo," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 535-539.

    Cited by:

    1. Sinha, Pankaj & Mathur, Kritika, 2013. "International Linkages of Agri-Processed and Energy commodities traded in India," MPRA Paper 50214, University Library of Munich, Germany, revised 26 Sep 2013.
    2. Piotr Arendarski & Łukasz Postek, 2012. "Cointegration Based Trading Strategy For Soft Commodities Market," Working Papers 2012-02, Faculty of Economic Sciences, University of Warsaw.
    3. Jabir Ali & Kriti Bardhan Gupta, 2011. "Efficiency in agricultural commodity futures markets in India," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(2), pages 162-178, August.
    4. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 1-9, March.
    5. Yoichi Tsuchiya & David McMillan, 2015. "Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1012436-101, December.

  149. Hisashi Tanizaki & Shigeyuki Hamori & Yoichi Matsubayashi, 2006. "On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods," Statistical Papers, Springer, vol. 47(1), pages 109-124, January.

    Cited by:

    1. Hevia, Constantino, 2012. "Using pooled information and bootstrap methods to assess debt sustainability in low income countries," Policy Research Working Paper Series 5978, The World Bank.
    2. Wang, Shaoping & Li, Yanglin & Wen, Kuangyu, 2021. "Recursive adjusted unit root tests under non-stationary volatility," Economics Letters, Elsevier, vol. 205(C).
    3. Christopher Withers & Saralees Nadarajah, 2013. "Calibration with low bias," Statistical Papers, Springer, vol. 54(2), pages 371-379, May.
    4. Sergio Alvarez-Andrade & Salim Bouzebda, 2014. "Asymptotic results for hybrids of empirical and partial sums processes," Statistical Papers, Springer, vol. 55(4), pages 1121-1143, November.
    5. Gonçalves Mazzeu, Joao Henrique & Ruiz Ortega, Esther & Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.

  150. Ivohasina Fizara Razafimahefa & Shigeyuki Hamori, 2005. "Import Demand Function: Some Evidence from Madagascar and Mauritius," Journal of African Economies, Centre for the Study of African Economies, vol. 14(3), pages 411-434, September.

    Cited by:

    1. Muhammad Omer & Junaid Kamal & Jakob Haan, 2023. "Does an exchange rate depreciation improve the trade balance of Pakistan?," International Journal of Economic Policy Studies, Springer, vol. 17(1), pages 163-185, February.
    2. Tony Nchokoe Matlasedi, 2017. "The influence of the real effective exchange rate and relative prices on South Africa’s import demand function: An ARDL approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1419778-141, January.
    3. Nelson Modeste, 2011. "An Empirical Analysis of the Demand for Imports in Three CARICOM Member Countries: An Application of the Bounds Test for Cointegration," The Review of Black Political Economy, Springer;National Economic Association, vol. 38(1), pages 53-62, March.
    4. Nomfundo Portia Vacu & Nicholas Mbaya Odhiambo, 2022. "Examining the determinants of import demand in Tanzania: An ARDL approach," International Entrepreneurship Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., vol. 8(1), pages 65-75.
    5. Chris Jones & Oliver Morrissey, 2008. "Are Imports in Africa Responsive to Tariff Reductions?," Discussion Papers 08/02, University of Nottingham, CREDIT.
    6. Yoichi Matsubayashi & Shigeyuki Hamori, 2009. "Empirical analysis of import demand behavior of least developed countries," Economics Bulletin, AccessEcon, vol. 29(2), pages 1443-1458.
    7. Ranjini L. Thaver & E. M. Ekanayake & Daniel R. Plante, 2012. "An Estimation Of The Impact Of Gear And Nepad On South Africa'S Disaggregated Import Demand Function With Nigeria," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(2), pages 69-79.
    8. Kira Hibbert & Ranjini Thaver & Mark Hutchinson, 2012. "An Econometric Analysis Of Jamaica’S Import Demand Function With The Us And Uk," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 109-120.
    9. Harvey Simon & Sedegah Kordzo, 2011. "Import Demand in Ghana:Structure, Behaviour and Stability," Working Papers 233, African Economic Research Consortium, Research Department.
    10. Nektarios A. Michail, 2018. "Estimating a Bilateral J‐curve between the UK and the Euro Area," Manchester School, University of Manchester, vol. 86(6), pages 757-769, December.
    11. Ranjini L. Thaver & E. M. Ekanayake, 2010. "The Impact Of Apartheid And International Sanctions On South Africa'S Import Demand Function: An Empirical Analysis," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(4), pages 11-22.
    12. M. Adetunji Babatunde & Festus O. Egwaikhide, 2010. "Explaining Nigeria's import demand behaviour: a bound testing approach," International Journal of Development Issues, Emerald Group Publishing Limited, vol. 9(2), pages 167-187, July.
    13. Caner COLAK & Selman TOKPUNAR & Yasin UZUN, 2014. "Determinants of Sectoral Import in Manufacturing Industry: A Panel Data Analysis," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 14(2), pages 271-281.
    14. Arize, Augustine C. & Nippani, Srinivas, 2010. "Import demand behavior in Africa: Some new evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 254-263, August.

  151. Shigeyuki Hamori & Ivohasina Razafimahefa, 2005. "An Empirical Analysis of FDI Competitiveness in Sub-Saharan Africa and Developing Countries," Economics Bulletin, AccessEcon, vol. 6(20), pages 1-8.

    Cited by:

    1. Franklin Allen and Giorgia Giovannetti, 2010. "Fragile Countries And The 2008-2009 Crisis," RSCAS Working Papers 2010/13, European University Institute.
    2. Adriaan Dippenaar, 2009. "What drives large South African corporations to invest in sub‐Saharan Africa? CEO's perspectives and implications for FDI policies," Natural Resources Forum, Blackwell Publishing, vol. 33(3), pages 199-210, August.
    3. Okafor, Godwin & Piesse, Jenifer & Webster, Allan, 2015. "The motives for inward FDI into Sub-Saharan African countries," Journal of Policy Modeling, Elsevier, vol. 37(5), pages 875-890.
    4. M. Ershad HUSSAIN & Mahfuzul HAQUE, 2014. "Is the J-Curve a Reality in Developing Countries?," Journal of Economics and Political Economy, KSP Journals, vol. 1(2), pages 231-240, December.
    5. Warren Moraghen & Boopen Seetanah & Noor Sookia, 2019. "Explaining Heterogeneity in the Effect of the Exchange Rate and Exchange Rate Volatility on Foreign Direct Investment: A Meta‐Analysis Approach," African Development Review, African Development Bank, vol. 31(3), pages 275-291, September.
    6. Hongsheng Zhang & Bo Meng & Shuzhong Ma, 2018. "Determinants of China's bilateral trade balance in global value chains," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 27(5), pages 463-485, July.
    7. Peguero, Anadel G. & Cruz-Rodríguez, Alexis, 2016. "Condición Marshall-Lerner y el efecto Curva J: Evidencias para la República Dominicana [Marshall-Lerner Condition and J-Curve Effect: Evidence for the Dominican Republic]," MPRA Paper 71535, University Library of Munich, Germany.
    8. Giorgia Giovannetti & Elisa Ticci, 2013. "Foreign Direct Investment in Sub-Saharan Africa: Drivers and the Challenge of the Land-Energy Nexus," Working Papers - Economics wp2013_09.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    9. Hussain, M. Ershad & Haque, Mahfuzul, 2014. "Is the J-Curve a Reality in Developing Countries?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 1(2), pages 231-240.
    10. Shah, Mumtaz Hussain & Zeb, Aisha, 2017. "Prudent Macro Management of the Economy and Inward FDI in ASEAN Member States," MPRA Paper 107249, University Library of Munich, Germany.
    11. Eva Rytter Sunesen, 2009. "Examining the Regional Aspect of Foreign Direct Investment to Developing Countries," Discussion Papers 09-02, University of Copenhagen. Department of Economics.
    12. Makun, Keshmeer Kanewar, 2016. "Direct Foreign Investment and its Determinants: A Case Study - Gli investimenti diretti esteri e loro determinanti : studio di un caso," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(2), pages 151-174.
    13. Mebratu Seyoum & Renshui Wu & Jihong Lin, 2014. "Foreign Direct Investment and Trade Openness in Sub-Saharan Economies: A Panel Data Granger Causality Analysis," South African Journal of Economics, Economic Society of South Africa, vol. 82(3), pages 402-421, September.

  152. Bhar, Ramaprasad & Hamori, Shigeyuki, 2005. "Causality in variance and the type of traders in crude oil futures," Energy Economics, Elsevier, vol. 27(3), pages 527-539, May.

    Cited by:

    1. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.
    2. Brian M Lucey and Alexander Eastman, 2008. "Comparing Garman-Klass and DU Volatility and Symmetry Measures in Intraday Futures Returns and Volumes: A Vector Autoregression Analysis," The Institute for International Integration Studies Discussion Paper Series iiisdp260, IIIS.
    3. Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019. "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, vol. 77(C), pages 23-33.
    4. Chen, Guifu & Hamori, Shigeyuki, 2009. "Energy prices and China’s international competitiveness," MPRA Paper 18827, University Library of Munich, Germany.
    5. Bohl, Martin T. & Stephan, Patrick M., 2013. "Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 45(4), pages 1-21, November.
    6. Kang, Sang Hoon & Kang, Sang-Mok & Yoon, Seong-Min, 2009. "Forecasting volatility of crude oil markets," Energy Economics, Elsevier, vol. 31(1), pages 119-125, January.
    7. Cevik, Emrah Ismail & Pekkaya, Mehmet, 2007. "Spot Ve Vadeli̇ İşlem Fi̇yatlarinin Varyanslari Arasindaki̇ Nedenselli̇k Testi̇ [Causality in variance test between spot and futures prices]," MPRA Paper 71301, University Library of Munich, Germany.
    8. You-How Go & Wee-Yeap Lau, 2019. "Palm oil spot-futures relation: Evidence from unrefined and refined products," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(3), pages 133-142.
    9. Theologos Pantelidis, 2015. "Testing for causality in the presence of leading variables," Economics and Business Letters, Oviedo University Press, vol. 4(1), pages 17-29.
    10. Le, Thai-Ha & Le, Anh Tu & Le, Ha-Chi, 2021. "The historic oil price fluctuation during the Covid-19 pandemic: What are the causes?," Research in International Business and Finance, Elsevier, vol. 58(C).
    11. Osabuohien-Irabor Osarumwense, 2021. "Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets: A CCF approach," Journal of Economics and Management, Sciendo, vol. 43(1), pages 131-153, January.
    12. Yuki Toyoshima, 2018. "Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-10, April.
    13. Go, You-How & Lau, Wee-Yeap, 2020. "The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market," Journal of Commodity Markets, Elsevier, vol. 17(C).
    14. Kim, Jong-Min & Jung, Hojin, 2017. "Can asymmetric conditional volatility imply asymmetric tail dependence?," Economic Modelling, Elsevier, vol. 64(C), pages 409-418.
    15. Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo, 2008. "Short-term predictability of crude oil markets: A detrended fluctuation analysis approach," Energy Economics, Elsevier, vol. 30(5), pages 2645-2656, September.
    16. Bouri, Elie & Awartani, Basel & Maghyereh, Aktham, 2016. "Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010," Energy Economics, Elsevier, vol. 56(C), pages 205-214.
    17. Yuki Toyoshima & Shigeyuki Hamori, 2018. "Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets," Energies, MDPI, vol. 11(11), pages 1-18, October.
    18. Theologos Pantelidis, 2012. "Testing for Granger causality in a system of more than two variables," Discussion Paper Series 2012_02, Department of Economics, University of Macedonia, revised Jan 2012.

  153. Ramaprasad Bhar & Shigeyuki Hamori, 2004. "Information Flow between Price Change and Trading Volume in Gold Futures Contracts," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(1), pages 45-56, April.

    Cited by:

    1. Wo-Chiang Lee & Hui-Na Lin, 2012. "Threshold effects in the relationships between USD and gold futures by panel smooth transition approach," Applied Economics Letters, Taylor & Francis Journals, vol. 19(11), pages 1065-1070, July.
    2. Inagaki, Kazuyuki, 2007. "Testing for volatility spillover between the British pound and the euro," Research in International Business and Finance, Elsevier, vol. 21(2), pages 161-174, June.
    3. Hanabusa, Kunihiro, 2009. "Causality relationship between the price of oil and economic growth in Japan," Energy Policy, Elsevier, vol. 37(5), pages 1953-1957, May.
    4. Fenghua, Wen & Xiaoguang, Yang, 2009. "Empirical study on relationship between persistence-free trading volume and stock return volatility," Global Finance Journal, Elsevier, vol. 20(2), pages 119-127.
    5. Mala Dutt & Sanjay Sehgal, 2018. "Domestic and International Information Linkages between Gold Spot and Futures Markets: An Empirical Study for India," Metamorphosis: A Journal of Management Research, , vol. 17(1), pages 1-17, June.
    6. Zhong, Wanxing & Kong, Rui & Chen, Guang, 2019. "Gold prices fluctuation of co-movement forecast between China and Russia," Resources Policy, Elsevier, vol. 62(C), pages 218-230.

  154. Bhar, Ramaprasad & Hamori, Shigeyuki, 2004. "Empirical characteristics of the permanent and transitory components of stock return: analysis in a Markov switching heteroscedasticity framework," Economics Letters, Elsevier, vol. 82(2), pages 157-165, February.

    Cited by:

    1. George Hondroyiannis & Evangelia Papapetrou, 2006. "Stock returns and inflation in Greece: A Markov switching approach," Review of Financial Economics, John Wiley & Sons, vol. 15(1), pages 76-94.
    2. Hammoudeh, Shawkat & Choi, Kyongwook, 2007. "Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of GCC countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 231-245, July.
    3. Choi, Kyongwook & Hammoudeh, Shawkat, 2010. "Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment," Energy Policy, Elsevier, vol. 38(8), pages 4388-4399, August.
    4. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Working Papers 0812, Banco de España.
    5. Dikaios Tserkezos & Eleni Thanou, 2007. "Conventional Nonlinear Relationships between GDP, Inflation and Stock Market Returns. An Investigation for the Greek Economy," Working Papers 0731, University of Crete, Department of Economics.
    6. Broto, Carmen & Ruiz Ortega, Esther, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. Huang, MeiChi & Chiang, Hsiu-Hsuan, 2017. "An early alarm system for housing bubbles," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 34-49.
    8. Richard D. F. Harris & Murat Mazibas, 2022. "A component Markov regime‐switching autoregressive conditional range model," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 650-683, April.
    9. MeiChi Huang & Tzu-Chien Wang, 2015. "Housing-bubble vulnerability and diversification opportunities during housing boom–bust cycles: evidence from decomposition of asset price returns," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(2), pages 605-637, March.
    10. Chen, Shyh-Wei & Shen, Chung-Hua, 2012. "Examining the stochastic behavior of REIT returns: Evidence from the regime switching approach," Economic Modelling, Elsevier, vol. 29(2), pages 291-298.

  155. Ramaprasad Bhar & Shigeyuki Hamori, 2004. "The link between inflation and inflation uncertainty: Evidence from G7 countries," Empirical Economics, Springer, vol. 29(4), pages 825-853, December.

    Cited by:

    1. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
    2. Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2022. "Is Inflation Uncertainty a Self-Fulfilling Prophecy? The Inflation-Inflation Uncertainty Nexus and Inflation Targeting in South Africa," Working Papers 202254, University of Pretoria, Department of Economics.
    3. Hermann Sintim-Aboagye & Chandana Chakraborty & Serapio Byekwaso, 2012. "Uncertainty of inflation and inflation rate: Does credibility of inflation policy matter?," Economic Issues Journal Articles, Economic Issues, vol. 17(2), pages 95-110, September.
    4. Neil Dias Karunaratne & Ramprasad Bhar, 2010. "Regime-Shifts & Post-Float Inflation Dynamics In Australia," Discussion Papers Series 405, School of Economics, University of Queensland, Australia.
    5. Ramprasad Bhar & Girijasankar Mallik, 2013. "Inflation uncertainty, growth uncertainty, oil prices, and output growth in the UK," Empirical Economics, Springer, vol. 45(3), pages 1333-1350, December.
    6. WenShwo Fang & Stephen M. Miller & Chih-Chuan Yeh, 2009. "Does a Threshold Inflation Rate Exist? Quantile Inferences for Inflation and Its Variability," Working Papers 0921, University of Nevada, Las Vegas , Department of Economics, revised Dec 2009.
    7. Bouoiyour, Jamal & Selmi, Refk, 2013. "Nonlinearities and the nexus between inflation and inflation uncertainty in Egypt: New evidence from wavelets transform framework," MPRA Paper 52414, University Library of Munich, Germany.
    8. Kushal Banik Chowdhury & Nityananda Sarkar, 2019. "Regime Dependent Effect Of Output Growth On Output Growth Uncertainty: Evidence From Oecd Countries," Bulletin of Economic Research, Wiley Blackwell, vol. 71(3), pages 257-282, July.
    9. Libo Yin, 2016. "Does oil price respond to macroeconomic uncertainty? New evidence," Empirical Economics, Springer, vol. 51(3), pages 921-938, November.
    10. Christian Grimme & Steffen Henzel & Elisabeth Wieland, 2014. "Inflation uncertainty revisited: a proposal for robust measurement," Empirical Economics, Springer, vol. 47(4), pages 1497-1523, December.
    11. Don Bredin & Stilianos Fountas, 2021. "Inflation, Inflation Uncertainty, and Markov Regime Switching Heteroskedasticity: Evidence from European Countries," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 19(2), pages 181-200.
    12. Sintim-Aboagye, Hermann, 2013. "Imf And World Bank Economic Programs On Inflation: Relevance To Nepad," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 9(1-2), January.
    13. Kuang‐Liang Chang & Chi‐Wei He, 2010. "Does The Magnitude Of The Effect Of Inflation Uncertainty On Output Growth Depend On The Level Of Inflation?," Manchester School, University of Manchester, vol. 78(2), pages 126-148, March.
    14. Steffen Henzel & Elisabeth Wieland, 2013. "Synchronization and Changes in International Inflation Uncertainty," CESifo Working Paper Series 4194, CESifo.
    15. Paul Castillo & Alberto Humala & Vicente Tuesta, 2007. "Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)," Working Papers 2007-005, Banco Central de Reserva del Perú.
    16. Karunaratne, Neil Dias & Bhar, Ramprasad, 2011. "Regime-shifts and post-float inflation dynamics of Australia," Economic Modelling, Elsevier, vol. 28(4), pages 1941-1949, July.
    17. Lupu, Dan & Asandului, Mircea & Sîrghi, Nicoleta, 2015. "Considerations regarding inflation's evolution in Central and Eastern European countries," MPRA Paper 95508, University Library of Munich, Germany.
    18. Kausik Chaudhuri & Alok Kumar, 2015. "A Markov-Switching Model for Indian Stock Price and Volume," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(3), pages 239-257, December.
    19. Muhammad Azam & Muhammad Khan & Nasir Iqbal, 2012. "Impact of Political Risk and Uncertainty on FDI in South Asia," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 19(1), pages 59-77, September.
    20. Aliyu, Shehu Usman Rano & Aminu, Abubakar Wambai, 2018. "Economic regimes and stock market performance in Nigeria: Evidence from regime switching model," MPRA Paper 91430, University Library of Munich, Germany, revised 03 Oct 2018.
    21. Buth, Bora & Kakinaka, Makoto & Miyamoto, Hiroaki, 2015. "Inflation and inflation uncertainty: The case of Cambodia, Lao PDR, and Vietnam," Journal of Asian Economics, Elsevier, vol. 38(C), pages 31-43.
    22. Kushal Banik Chowdhury & Srikanta Kundu & Nityananda Sarkar, 2018. "Regime‐dependent effects of uncertainty on inflation and output growth: evidence from the United Kingdom and the United States," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(4), pages 390-413, September.
    23. Kushal Banik Chowdhury & Kaustav Kanti Sarkar & Srikanta Kundu, 2021. "Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model," Bulletin of Economic Research, Wiley Blackwell, vol. 73(3), pages 469-493, July.
    24. Ahmad Zubaidi Baharumshah & Siew-Voon Soon, 2014. "Inflation, inflation uncertainty and output growth: what does the data say for Malaysia?," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 41(3), pages 370-386, May.
    25. Kushal Banik Chowdhury & Nityananda Sarkar, 2015. "The Effect of Inflation on Inflation Uncertainty in the G7 Countries: A Double Threshold GARCH Model," International Econometric Review (IER), Econometric Research Association, vol. 7(1), pages 34-50, April.
    26. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  156. Bhar, Ramaprasad & Hamori, Shigeyuki, 2003. "Alternative characterization of the volatility in the growth rate of real GDP," Japan and the World Economy, Elsevier, vol. 15(2), pages 223-231, April.

    Cited by:

    1. Fang, WenShwo & Miller, Stephen M., 2009. "Modeling the volatility of real GDP growth: The case of Japan revisited," Japan and the World Economy, Elsevier, vol. 21(3), pages 312-324, August.
    2. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working papers 2008-24, University of Connecticut, Department of Economics.
    3. Jorge Andraz & Nélia Norte, 2013. "Output volatility in the OECD: Are the member states becoming less vulnerable to exogenous shocks?," CEFAGE-UE Working Papers 2013_17, University of Evora, CEFAGE-UE (Portugal).
    4. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2007. "Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models," Working papers 2007-20, University of Connecticut, Department of Economics, revised Mar 2008.
    5. WenShwo Fang & Stephen M. Miller, 2012. "Output Growth and Its Volatility: The Gold Standard through the Great Moderation," Working papers 2012-11, University of Connecticut, Department of Economics.
    6. Chen, Shyh-Wei, 2006. "Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 87-102.
    7. Jorge M. Andraz & Nélia M. Norte, 2017. "Gross domestic product growth, volatility and regime changes nexus: the case of Portugal," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 1-16, April.
    8. Beatrice Simo-Kengne & Stephen Miller & Rangan Gupta & Mehmet Balcilar, 2016. "Evolution of the Monetary Transmission Mechanism in the US: the Role of Asset Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 52(3), pages 226-243, April.
    9. Nimark, Kristoffer P, 2013. "Man-bites-dog Business Cycles," CEPR Discussion Papers 9517, C.E.P.R. Discussion Papers.
    10. Kushal Banik Chowdhury & Nityananda Sarkar, 2019. "Regime Dependent Effect Of Output Growth On Output Growth Uncertainty: Evidence From Oecd Countries," Bulletin of Economic Research, Wiley Blackwell, vol. 71(3), pages 257-282, July.
    11. Stilianos Fountas & Menelaos Karanasos, 2008. "Are economic growth and the variability of the business cycle related? Evidence from five European countries," International Economic Journal, Taylor & Francis Journals, vol. 22(4), pages 445-459.
    12. Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta, 2013. "Evolution of Monetary Policy in the US: The Role of Asset Prices," Working papers 2013-20, University of Connecticut, Department of Economics, revised Dec 2013.
    13. Paul Beaumont & Stefan Norrbin & F. Pinar Yigit, 2007. "Time series evidence on the linkage between the volatility and growth of output," Applied Economics Letters, Taylor & Francis Journals, vol. 15(1), pages 45-48.
    14. Said Zamin Shah & Said Zamin Shah & Ahmad Zubaidi Baharumshah & Muzafar Shah Habibullah & Law Siong Hook, 2017. "The Asymmetric Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Empirical Evidence from Bangladesh," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 377-386.
    15. P. Fulya Gebeşoğlu & Hasan Murat Ertuğrul, 2014. "GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation," Ekonomi-tek - International Economics Journal, Turkish Economic Association, vol. 3(2), pages 51-66, May.
    16. Almaas, Synne S. & Kurita, Takamitsu, 2019. "Modelling the real yen–dollar rate and inflation dynamics based on international parity conditions," Journal of Asian Economics, Elsevier, vol. 61(C), pages 51-64.
    17. Gustavo Freire & Marcelo Resende, 2020. "Conditional growth volatility and sectoral comovement in U.S. industrial production, 1828–1915," Empirical Economics, Springer, vol. 59(6), pages 3063-3084, December.
    18. Stilianos Fountas & Menelaos Karanasos & Alfonso Mendoza, 2004. "Output Variability and Economic Growth: the Japanese Case," Bulletin of Economic Research, Wiley Blackwell, vol. 56(4), pages 353-363, October.
    19. Kurita, Takamitsu, 2016. "Markov-switching variance models and structural changes underlying Japanese bond yields: An inquiry into non-linear dynamics," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 74-80.
    20. Iiboshi, Hirokuni & Watanabe, Toshiaki, 2005. "Has the Business Cycle Changed in Japan? A Bayesian Analysis Based on a Markov-Switching Model with Multiple Change-Points," MPRA Paper 93865, University Library of Munich, Germany.

  157. Yoichi Matsubayashi & Shigeyuki Hamori, 2003. "Some international evidence on the stability of aggregate import demand function," Applied Economics, Taylor & Francis Journals, vol. 35(13), pages 1497-1504.

    Cited by:

    1. Nelson Modeste, 2011. "An Empirical Analysis of the Demand for Imports in Three CARICOM Member Countries: An Application of the Bounds Test for Cointegration," The Review of Black Political Economy, Springer;National Economic Association, vol. 38(1), pages 53-62, March.
    2. Viviane Naimy & Rim El Khoury & José-María Montero & Jana Souk, 2023. "Post-Brexit exchange rate volatility and its impact on UK exports to eurozone countries: A bounds testing approach," Oeconomia Copernicana, Institute of Economic Research, vol. 14(1), pages 135-168, March.
    3. Yoichi Matsubayashi & Shigeyuki Hamori, 2009. "Empirical analysis of import demand behavior of least developed countries," Economics Bulletin, AccessEcon, vol. 29(2), pages 1443-1458.
    4. Ranjini L. Thaver & E. M. Ekanayake & Daniel R. Plante, 2012. "An Estimation Of The Impact Of Gear And Nepad On South Africa'S Disaggregated Import Demand Function With Nigeria," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(2), pages 69-79.
    5. Matsubayashi, Yoichi, 2005. "Are US current account deficits unsustainable?: Testing for the private and government intertemporal budget constraints," Japan and the World Economy, Elsevier, vol. 17(2), pages 223-237, April.
    6. Vinh Nguyen Thi Thuy & Duong Trinh Thi Thuy, 2019. "The Impact of Exchange Rate Volatility on Exports in Vietnam: A Bounds Testing Approach," JRFM, MDPI, vol. 12(1), pages 1-14, January.
    7. Ranjini L. Thaver & E. M. Ekanayake, 2010. "The Impact Of Apartheid And International Sanctions On South Africa'S Import Demand Function: An Empirical Analysis," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(4), pages 11-22.

  158. Shigeyuki Hamori & Akira Tokihisa, 2002. "Some International Evidence on the Seasonality of Stock Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 79-86, April.

    Cited by:

    1. Jeffrey E. Jarrett, 2008. "Predicting Daily Stock Returns: A Lengthy Study of the Hong Kong and Tokyo Stock Exchanges," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(1), pages 37-51, April.

  159. Hamori, Shigeyuki, 2001. "Seasonality and stock returns: some evidence from Japan," Japan and the World Economy, Elsevier, vol. 13(4), pages 463-481, December.

    Cited by:

    1. Bo Li & Qian Sun & Changyun Wang, 2014. "Liquidity, Liquidity Risk and Stock Returns: Evidence from Japan," European Financial Management, European Financial Management Association, vol. 20(1), pages 126-151, January.
    2. Lucey, Brian M & Zhao, Shelly, 2008. "Halloween or January? Yet another puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1055-1069, December.

  160. Shigeyuki Hamori & Naoko Hamori & David A. Anderson, 2001. "An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa Era," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(9), pages 861-874, September.

    Cited by:

    1. Takeshi Inoue & Shigeyuki Hamori, 2014. "Market Efficiency of Commodity Futures in India," World Scientific Book Chapters, in: INDIAN ECONOMY Empirical Analysis on Monetary and Financial Issues in India, chapter 6, pages 73-85, World Scientific Publishing Co. Pte. Ltd..
    2. Jean-Pascal Bassino & Thomas Lagoarde-Segot, 2015. "Informational efficiency in the Tokyo Stock Exchange, 1931–40," Economic History Review, Economic History Society, vol. 68(4), pages 1226-1249, November.
    3. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2014. "The Futures Premium and Rice Market Efficiency in Prewar Japan," Papers 1404.5381, arXiv.org, revised Sep 2017.
    4. Gary Gorton & K. Geert Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," NBER Working Papers 10595, National Bureau of Economic Research, Inc.
    5. Bhardwaj, Geetesh & Janardanan, Rajkumar & Rouwenhorst, K. Geert, 2021. "The first commodity futures index of 1933," Journal of Commodity Markets, Elsevier, vol. 23(C).
    6. Jean-Pascal Bassino & Thomas Lagoarde-Segot, 2013. "Trading patterns at the Tokyo Stock Exchange, 1931-1940," CEH Discussion Papers 012, Centre for Economic History, Research School of Economics, Australian National University.
    7. Thomas Lagoarde-Segot & Jean Pascal Bassino, 2012. "Informational dynamics and cross market linkages in the Tokyo Stock Exchange, 1931-40," Working Papers 12017, Economic History Society.
    8. Ito, Mikio & Maeda, Kiyotaka & Noda, Akihiko, 2016. "Market efficiency and government interventions in prewar Japanese rice futures markets," Financial History Review, Cambridge University Press, vol. 23(3), pages 325-346, December.
    9. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2016. "Market Integration in the Prewar Japanese Rice Markets," Papers 1604.00148, arXiv.org, revised Sep 2017.
    10. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 1-9, March.
    11. Bassino, Jean-Pascal & van der Eng, Pierre, 2019. "Japan and the Asian Divergence: Market Integration, Climate Anomalies and Famines during the 18th and 19th Centuries," CEI Working Paper Series 2018-18, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
    12. Gary Gorton & Fumio Hayashi & K. Rouwenhorst, 2006. "Commodity Futures: A Japanese Perspective," Yale School of Management Working Papers amz2609, Yale School of Management, revised 01 Feb 2007.

  161. Akira Tokihisa & Shigeyuki Hamori, 2001. "Seasonal Integration For Daily Data," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 187-200.

    Cited by:

    1. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex Business School.

  162. Hamori, Shigeyuki & Matsubayashi, Yoichi, 2001. "An empirical analysis on the stability of Japan's aggregate import demand function," Japan and the World Economy, Elsevier, vol. 13(2), pages 135-144, April.

    Cited by:

    1. Yoichi Matsubayashi & Shigeyuki Hamori, 2003. "Some international evidence on the stability of aggregate import demand function," Applied Economics, Taylor & Francis Journals, vol. 35(13), pages 1497-1504.
    2. Byron Gangnes & Craig Parsons, 2004. "Have US-Japan Trade Agreements Made a Difference?," Working Papers 200403, University of Hawaii at Manoa, Department of Economics.
    3. Yoichi Matsubayashi & Shigeyuki Hamori, 2009. "Empirical analysis of import demand behavior of least developed countries," Economics Bulletin, AccessEcon, vol. 29(2), pages 1443-1458.
    4. Matsubayashi, Yoichi, 2005. "Are US current account deficits unsustainable?: Testing for the private and government intertemporal budget constraints," Japan and the World Economy, Elsevier, vol. 17(2), pages 223-237, April.
    5. Knobel, Alexander, 2011. "Estimation of import demand function in Russia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 24(4), pages 3-26.
    6. Agbola, Frank W. & Damoense, Maylene Y., 2003. "An empirical examination of import demand for pulses in India," 2003 Conference (47th), February 12-14, 2003, Fremantle, Australia 57823, Australian Agricultural and Resource Economics Society.
    7. Takamitsu Kurita, 2010. "Investigating time series properties of a dynamic system for Japan's import demand," Economics Bulletin, AccessEcon, vol. 30(1), pages 450-460.
    8. Tuck Cheong Tang, 2008. "Aggregate Import Demand Function for Japan: A Cointegration Re-investigation," Global Economic Review, Taylor & Francis Journals, vol. 37(3), pages 363-377.
    9. Hossain, Akhand Akhtar, 2009. "Structural change in the export demand function for Indonesia: Estimation, analysis and policy implications," Journal of Policy Modeling, Elsevier, vol. 31(2), pages 260-271.
    10. Craig R. Parsons & Anh Thu Nguyen, 2009. "Import variety and productivity in Japan," Economics Bulletin, AccessEcon, vol. 29(3), pages 1947-1959.
    11. Florian Verheyen, 2014. "The stability of German export demand equations – have German exports suffered from the strength of the euro?," International Economics and Economic Policy, Springer, vol. 11(4), pages 529-548, December.
    12. Tang, Tuck Cheong, 2003. "Japanese aggregate import demand function: reassessment from the 'bounds' testing approach," Japan and the World Economy, Elsevier, vol. 15(4), pages 419-436, December.
    13. Tuck Cheong Tang, 2003. "Cointegration analysis for Japanese import demand: revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 905-908.

  163. Shigeyuki Hamori & Akira Tokihisa, 2001. "Seasonal cointegration and the money demand function: some evidence from Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 8(5), pages 305-310.

    Cited by:

    1. Simplice A. Asongu & Oludele E. Folarin & Nicholas Biekpe, 2019. "The Stability of Demand for Money in the Proposed Southern African Monetary Union," Working Papers of the African Governance and Development Institute. 19/025, African Governance and Development Institute..
    2. Afşin Şahin & Aysit Tansel & M. Hakan Berument, 2015. "Output–Employment Relationship Across Sectors: A Long- Versus Short-Run Perspective," Bulletin of Economic Research, Wiley Blackwell, vol. 67(3), pages 265-288, July.
    3. Chor Foon Tang, 2013. "Evidence on Structural Instability in the Japanese Money Demand Function," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 7(3), pages 255-272, August.
    4. Paresh Kumar Narayan, 2010. "Modelling money demand for a panel of eight transitional economies," Applied Economics, Taylor & Francis Journals, vol. 42(25), pages 3293-3305.
    5. Lee, Chien-Chiang & Chen, Pei-Fen & Chang, Chun-Ping, 2007. "Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 76(4), pages 293-302.
    6. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex Business School.
    7. Tang, Tuck Cheong, 2004. "Demand for broad money and expenditure components in Japan: an empirical study," Japan and the World Economy, Elsevier, vol. 16(4), pages 487-502, December.
    8. Tang, Chor Foon, 2007. "The stability of money demand function in Japan: Evidence from rolling cointegration approach," MPRA Paper 19807, University Library of Munich, Germany.
    9. Paresh Narayan & Seema Narayan & Vinod Mishra, 2009. "Estimating money demand functions for South Asian countries," Empirical Economics, Springer, vol. 36(3), pages 685-696, June.
    10. Amir Kia, 2002. "Interest Free and Interest-Bearing Money Demand: Policy Invariance and Stability," Working Papers 0214, Economic Research Forum, revised 09 May 2002.
    11. Singh, Sunny Kumar, 2016. "Currency demand stability in the presence of seasonality and endogenous financial innovation: Evidence from India," MPRA Paper 71552, University Library of Munich, Germany.
    12. Kia, Amir & Darrat, Ali F., 2007. "Modeling money demand under the profit-sharing banking scheme: Some evidence on policy invariance and long-run stability," Global Finance Journal, Elsevier, vol. 18(1), pages 104-123.
    13. Tuck Cheong Tang, 2007. "Money demand function for Southeast Asian countries," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 34(6), pages 476-496, November.

  164. Hamori, Shigeyuki, 2000. "Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan," Japan and the World Economy, Elsevier, vol. 12(2), pages 143-152, May.

    Cited by:

    1. Fang, WenShwo & Miller, Stephen M., 2009. "Modeling the volatility of real GDP growth: The case of Japan revisited," Japan and the World Economy, Elsevier, vol. 21(3), pages 312-324, August.
    2. Fabio Gobbi, 2021. "Evaluating Forecasts from State-Dependent Autoregressive Models for US GDP Growth Rate. Comparison with Alternative Approaches," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 11(6), pages 1-7.
    3. Ho, Kin-Yip & Tsui, Albert K. C., 2003. "Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States," Japan and the World Economy, Elsevier, vol. 15(4), pages 437-445, December.
    4. Jorge Andraz & Nélia Norte, 2013. "Output volatility in the OECD: Are the member states becoming less vulnerable to exogenous shocks?," CEFAGE-UE Working Papers 2013_17, University of Evora, CEFAGE-UE (Portugal).
    5. Ho, Kin Yip & Tsui, Albert K.C., 2004. "Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach," China Economic Review, Elsevier, vol. 15(4), pages 424-442.
    6. Li, Kui-Wai & Kwok, Ming-Lok, 2009. "Output volatility of five crisis-affected East Asia economies," Japan and the World Economy, Elsevier, vol. 21(2), pages 172-182, March.
    7. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2013. "Conditional Volatility Asymmetry Of Business Cycles: Evidence From Four Oecd Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(3), pages 33-56, September.
    8. Jiranyakul, Komain, 2011. "The Link between Output Growth and Output Volatility in Five Crisis-Affected Asian Countries," MPRA Paper 46068, University Library of Munich, Germany.
    9. Jorge M. Andraz & Nélia M. Norte, 2017. "Gross domestic product growth, volatility and regime changes nexus: the case of Portugal," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 1-16, April.
    10. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2009. "Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach," Economie Internationale, CEPII research center, issue 117, pages 31-46.
    11. Kushal Banik Chowdhury & Nityananda Sarkar, 2019. "Regime Dependent Effect Of Output Growth On Output Growth Uncertainty: Evidence From Oecd Countries," Bulletin of Economic Research, Wiley Blackwell, vol. 71(3), pages 257-282, July.
    12. Cecilia Bermúdez & Carlos D. Dabús & Germán H. González, 2015. "Reexamining the link between instability and growth in Latin America: A dynamic panel data estimation using k-median clusters," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 52(1), pages 1-23, May.
    13. Anthony N. Rezitis & Shaikh Mostak Ahammad, 2016. "Investigating The Interdependency Of Agricultural Production Volatility Spillovers Between Bangladesh, India, And Pakistan," Review of Urban & Regional Development Studies, Wiley Blackwell, vol. 28(1), pages 32-54, March.
    14. Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.
    15. Mónica Lylián Parra T., 2001. "Evidencia de contagio en la volatilidad de la tasa de interés en Colombia," Coyuntura Económica, Fedesarrollo, June.
    16. Kushal Banik Chowdhury & Srikanta Kundu & Nityananda Sarkar, 2018. "Regime‐dependent effects of uncertainty on inflation and output growth: evidence from the United Kingdom and the United States," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(4), pages 390-413, September.
    17. Saha, Mallika & Dutta, Kumar Debasis & Islam, MD. Shafiqul, 2020. "Explaining the nature of economic volatility based on GDP and international trade: a study on China and the United States," MPRA Paper 111482, University Library of Munich, Germany.
    18. Gustavo Freire & Marcelo Resende, 2020. "Conditional growth volatility and sectoral comovement in U.S. industrial production, 1828–1915," Empirical Economics, Springer, vol. 59(6), pages 3063-3084, December.
    19. Stilianos Fountas & Menelaos Karanasos & Alfonso Mendoza, 2004. "Output Variability and Economic Growth: the Japanese Case," Bulletin of Economic Research, Wiley Blackwell, vol. 56(4), pages 353-363, October.

  165. Shigeyuki Hamori & Akira Tokihisa, 2000. "Seasonal integration and Japanese aggregate data," Applied Economics Letters, Taylor & Francis Journals, vol. 7(9), pages 591-594.

    Cited by:

    1. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics.

  166. Shigeyuki Hamori, 2000. "The transmission mechanism of business cycles among Germany, Japan, the UK and the USA," Applied Economics, Taylor & Francis Journals, vol. 32(4), pages 405-410.

    Cited by:

    1. Shigeyuki Hamori & Yu-Ching Hsieh & Wan-Jun Yao, 2007. "An Empirical Analysis about Population, Technological Progress, and Economic Growth in Taiwan," Economics Bulletin, AccessEcon, vol. 15(23), pages 1-13.
    2. Wang, Xinghua & Lee, Zhengzheng & Wu, Shuang & Qin, Meng, 2023. "Exploring the vital role of geopolitics in the oil market: The case of Russia," Resources Policy, Elsevier, vol. 85(PB).
    3. Kunlin Hsieh & Yuching Hsieh & Shigeyuki Hamori, 2010. "The Interdependence of Taiwanese and Japanese Stock Prices," Economics Bulletin, AccessEcon, vol. 30(1), pages 879-892.
    4. Narayan, Paresh Kumar, 2008. "Understanding the importance of permanent and transitory shocks at business cycle horizons for the UK," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2879-2888.
    5. Qin, Meng & Su, Chi-Wei & Hao, Lin-Na & Tao, Ran, 2020. "The stability of U.S. economic policy: Does it really matter for oil price?," Energy, Elsevier, vol. 198(C).
    6. Cao, Zheng & Li, Gang & Song, Haiyan, 2017. "Modelling the interdependence of tourism demand: The global vector autoregressive approach," Annals of Tourism Research, Elsevier, vol. 67(C), pages 1-13.
    7. Civcir, İrfan & Ertac Varoglu, Dizem, 2019. "International transmission of monetary and global commodity price shocks to Turkey," Journal of Policy Modeling, Elsevier, vol. 41(4), pages 647-665.
    8. Devanthran, Haritharan, 2009. "Interdependence of SAARC-7 countries: an empirical study of business cycles," MPRA Paper 32798, University Library of Munich, Germany.

  167. Hamori, Shigeyuki & Hamori, Naoko, 2000. "An empirical analysis of economic fluctuations in Japan: 1885-1940," Japan and the World Economy, Elsevier, vol. 12(1), pages 11-19, January.

    Cited by:

    1. Hunt, Lester C. & Ninomiya, Yasushi, 2005. "Primary energy demand in Japan: an empirical analysis of long-term trends and future CO2 emissions," Energy Policy, Elsevier, vol. 33(11), pages 1409-1424, July.
    2. Chen, Shyh-Wei, 2006. "Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 87-102.

  168. Shigeyuki Hamori & Yuriko Imamura, 2000. "International transmission of stock prices among G7 countries: LA-VAR approach," Applied Economics Letters, Taylor & Francis Journals, vol. 7(9), pages 613-618.

    Cited by:

    1. Fuentes Vélez, Mariana & Pinilla Barrera, Alejandro, 2021. "Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA): una evidencia del grado de integración. || Transmission of volatility in the Latin American Integrated Market (MILA): evidenc," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 31(1), pages 301-328, June.
    2. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.
    3. Venus Khim-Sen Liew & Wing-Keung Wong & Zhuo Qiao, 2007. "Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model," Economics Bulletin, AccessEcon, vol. 6(27), pages 1-7.
    4. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia.
    5. Kunlin Hsieh & Yuching Hsieh & Shigeyuki Hamori, 2010. "The Interdependence of Taiwanese and Japanese Stock Prices," Economics Bulletin, AccessEcon, vol. 30(1), pages 879-892.
    6. Qiao, Zhuo & Smyth, Russell & Wong, Wing-Keung, 2008. "Volatility switching and regime interdependence between information technology stocks 1995-2005," Global Finance Journal, Elsevier, vol. 19(2), pages 139-156.
    7. Go Tamakoshi & Shigeyuki Hamori, 2011. "Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis," Economics Bulletin, AccessEcon, vol. 31(4), pages 3339-3353.
    8. Jeon, Bang Nam & Jang, Beom-Sik, 2004. "The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks," Research in International Business and Finance, Elsevier, vol. 18(3), pages 319-340, September.
    9. Chen, Cathy W.S. & Yang, Ming Jing & Gerlach, Richard & Jim Lo, H., 2006. "The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 401-418.
    10. Yan Zhang, 2018. "China, Japan and the US Stock Markets and the Global Financial Crisis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(1), pages 23-45, March.
    11. Smales, Lee A., 2020. "Examining the relationship between policy uncertainty and market uncertainty across the G7," International Review of Financial Analysis, Elsevier, vol. 71(C).
    12. Marco Corazza & A. Malliaris & Elisa Scalco, 2010. "Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 1-23, January.
    13. Yuan, Xianghui & Jin, Liwei & Lian, Feng, 2021. "The lead–lag relationship between Chinese mainland and Hong Kong stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    14. Mohammed Ziaur Rehman & Musa Ahmed Hazazi, 2014. "Examining Linkages between Saudi Stock Market (TASI) and Selected Stock Markets Indices," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(4), pages 196-209, October.
    15. Tsutsui, Yoshiro & Hirayama, Kenjiro, 2004. "Are international portfolio adjustments a cause of comovements in stock prices?," Pacific-Basin Finance Journal, Elsevier, vol. 12(4), pages 463-478, September.
    16. Kasilingam Lingaraja & Murugesan Selvam & Vinayagamoorthi Vasanth & Ramachandran Rajesh Ramkumar, 2015. "Long-run Overseas Portfolio Diversification Benefits and Opportunities of Asian Emerging Stock Markets and Developed Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 324-333.

  169. Anderson, David A. & Hamori, Shigeyuki, 2000. "A theory of quality signaling in the marriage market," Japan and the World Economy, Elsevier, vol. 12(3), pages 229-242, September.

    Cited by:

    1. Nicolas Vaillant, 2004. "Discrimination in matchmaking: evidence from the price policy of a French marriage bureau," Applied Economics, Taylor & Francis Journals, vol. 36(7), pages 723-729.
    2. Gaelle Guirriec & Nicolas Vaillant, 2005. "From Libertinism to Marital Commitment: The Economics of Marital Search with Heterogeneous Agents," Journal of Bioeconomics, Springer, vol. 7(1), pages 85-98, January.
    3. Fang, Li & Tian, Chuanhao, 2018. "Housing and marital matching: A signaling perspective," China Economic Review, Elsevier, vol. 47(C), pages 27-46.
    4. Vaillant, Nicolas G. & Harrant, Valérie, 2008. "Determinants of the likelihood of finding the right partner in an arranged marriage: Evidence from a French matchmaking agency," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 37(2), pages 657-671, April.
    5. Vaillant, Nicolas G., 2004. "Estimating the time elapsed between ending a relationship and joining a matchmaking agency: Evidence from a French marriage bureau," Journal of Economic Psychology, Elsevier, vol. 25(6), pages 789-802, December.

  170. Shigeyuki Hamori & Toshifumi Tokunaga, 1999. "Habit formation and durability and consumption: some evidence from income quintile groups in Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 6(6), pages 397-402.

    Cited by:

    1. Raymund Abara, 2006. "Estimation and evaluation of asset pricing models with habit formation using Philippine data," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 493-497.

  171. Naoko Hamori & Shigeyuki Hamori, 1999. "Stability of the money demand function in Germany," Applied Economics Letters, Taylor & Francis Journals, vol. 6(5), pages 329-332.

    Cited by:

    1. Nitin, Arora & Asghar, OsatiEraghi, 2016. "Does India have a stable demand for money function after reforms? A macroeconometric analysis," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 44, pages 25-37.
    2. Emmanuel Anoruo, 2002. "Stability of the Nigerian M2 Money Demand Function in the SAP Period," Economics Bulletin, AccessEcon, vol. 14(3), pages 1-9.
    3. Omer, Muhammad, 2009. "Stability of money demand function in Pakistan," MPRA Paper 35306, University Library of Munich, Germany.
    4. Muhammad Ahad, 2017. "Financial Development and Money Demand Function: Cointegration, Causality and Variance Decomposition Analysis for Pakistan," Global Business Review, International Management Institute, vol. 18(4), pages 811-824, August.
    5. Paresh Kumar Narayan, 2010. "Modelling money demand for a panel of eight transitional economies," Applied Economics, Taylor & Francis Journals, vol. 42(25), pages 3293-3305.
    6. Ferda HALICIOGLU & Mehmet UGUR, 2005. "On Stability of the Demand for Money in a Developing OECD," Macroeconomics 0508001, University Library of Munich, Germany.
    7. Shigeyuki Hamori & Naoko Hamori, 2009. "Introduction of the Euro and the Monetary Policy of the European Central Bank," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7169.
    8. Paresh Narayan & Seema Narayan & Vinod Mishra, 2009. "Estimating money demand functions for South Asian countries," Empirical Economics, Springer, vol. 36(3), pages 685-696, June.
    9. Ozturk, Ilhan & Acaravci, Ali, 2008. "The Demand for Money in Transition Economies," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(2), pages 35-43, June.
    10. Abdullah, Muhammad & Chani, Muhammad Irfan & Ali, Amjad, 2012. "Determinants of Money Demand in Pakistan: Disaggregated Expenditure Approach," MPRA Paper 50977, University Library of Munich, Germany, revised 2013.

  172. Shigeyuki Hamori & Kazumi Asako, 1999. "Government consumption and fiscal policy: some evidence from Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 6(9), pages 551-555.

    Cited by:

    1. Yoshino, Naoyuki & Miyamoto, Hiroaki, 2017. "Declined effectiveness of fiscal and monetary policies faced with aging population in Japan," Japan and the World Economy, Elsevier, vol. 42(C), pages 32-44.
    2. Okubo, Masakatsu, 2003. "Intratemporal substitution between private and government consumption: the case of Japan," Economics Letters, Elsevier, vol. 79(1), pages 75-81, April.
    3. Sanghamitra Bandyopadhyay & Joan-Maria Esteban, 2009. "Redistributive Taxation, Public Expenditure, and Size of Governent," Working Papers 416, Barcelona School of Economics.
    4. Sanghamitra Bandyopadhyay & Joan Esteban, 2007. "Redistributive Taxation and PublicExpenditures," STICERD - Distributional Analysis Research Programme Papers 95, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    5. Yoshino, Naoyuki & Miyamoto, Hiroaki, 2017. "Decreased Effectiveness of Fiscal and Monetary Policies in Japan’s Aging Society," ADBI Working Papers 691, Asian Development Bank Institute.
    6. Kato, Ryuta Ray & Miyamoto, Hiroaki, 2013. "Fiscal stimulus and labor market dynamics in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 30(C), pages 33-58.
    7. Ryuta Ray Kato & Hiroaki Miyamoto, 2015. "Effects of Fiscal Stimulus on the Labor Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 11(2), pages 277-302, March.
    8. Takeo Hori & Noritaka Maebayashi, 2013. "Indeterminacy and utility-generating government spending under balanced-budget fiscal policies," Discussion Papers in Economics and Business 13-13, Osaka University, Graduate School of Economics.

  173. Shigeyuki Hamori, 1998. "Money, exchange rates and international business cycle between Japan and the United States," Applied Economics Letters, Taylor & Francis Journals, vol. 5(1), pages 31-35.

    Cited by:

    1. Hatemi-J, Abdulnasser, 2002. "Export performance and economic growth nexus in Japan: a bootstrap approach," Japan and the World Economy, Elsevier, vol. 14(1), pages 25-33, January.
    2. Nadenichek, Jon, 2000. "The Japan-US trade imbalance: a real business cycle perspective," Japan and the World Economy, Elsevier, vol. 12(3), pages 255-271, September.

  174. Hamori, Shigeyuki, 1998. "Defying the conventional wisdom: US consumers are found to be more risk averse than those of Japan," Economic Modelling, Elsevier, vol. 15(2), pages 217-235, April.

    Cited by:

    1. Tatsuyoshi Miyakoshi, 2010. "A Welfare Cost Of The Lost Decade In Japan," Australian Economic Papers, Wiley Blackwell, vol. 49(1), pages 28-43, March.
    2. Pagano, Patrizio, 2004. "Habit persistence and the marginal propensity to consume in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 18(3), pages 316-329, September.

  175. Hamori, Shigeyuki & Tokihisa, Akira, 1997. "Testing for a unit root in the presence of a variance shift1," Economics Letters, Elsevier, vol. 57(3), pages 245-253, December.

    Cited by:

    1. Aparicio, Felipe M. & Escribano, Álvaro & García, Ana, 2004. "A range unit root test," DES - Working Papers. Statistics and Econometrics. WS ws041104, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Daiki Maki, 2015. "Wild bootstrap tests for unit root in ESTAR models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(3), pages 475-490, September.
    3. Steven Cook, 2006. "The robustness of modified unit root tests in the presence of GARCH," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 359-363.
    4. Gabriel Zsurkis & JoÃo Nicolau & Paulo M. M. Rodrigues, 2021. "A Re‐Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 935-959, August.
    5. Demetrescu, Matei & Hanck, Christoph, 2012. "A simple nonstationary-volatility robust panel unit root test," Economics Letters, Elsevier, vol. 117(1), pages 10-13.
    6. Herwartz, Helmut & Siedenburg, Florian, 2009. "The effects of variance breaks on homogenous panel unit root tests," Economics Working Papers 2009-07, Christian-Albrechts-University of Kiel, Department of Economics.
    7. José L. Fernández-Serrano & Simón Sosvilla-Rivero, "undated". "Modelling the linkages between US and Latin American stock markets," Working Papers 2002-14, FEDEA.
    8. Eklund, Bruno, 2003. "A nonlinear alternative to the unit root hypothesis," SSE/EFI Working Paper Series in Economics and Finance 547, Stockholm School of Economics.
    9. Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany.
    10. Herwartz, Helmut & Maxand, Simone & Walle, Yabibal M., 2017. "Heteroskedasticity-robust unit root testing for trending panels," University of Göttingen Working Papers in Economics 314, University of Goettingen, Department of Economics.
    11. Vasco Gabriel & Luis Martins, 2011. "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, vol. 41(3), pages 639-662, December.
    12. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
    13. Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
    14. Cheng, Xu & Phillips, Peter C.B., 2012. "Cointegrating rank selection in models with time-varying variance," Journal of Econometrics, Elsevier, vol. 169(2), pages 155-165.
    15. Chew Lian Chua & Sandy Suardi, 2007. "Markov‐Switching Mean Reversion in Short‐Term Interest Rates: Evidence from East Asian Economies," The Economic Record, The Economic Society of Australia, vol. 83(263), pages 383-397, December.
    16. Irvin Tucker, 2004. "Pigskins and publications revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 843-845.
    17. Sven Otto, 2020. "Unit Root Testing with Slowly Varying Trends," Papers 2003.04066, arXiv.org, revised Aug 2020.
    18. Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," CEMA Working Papers 83, China Economics and Management Academy, Central University of Finance and Economics.
    19. HASHIGUCHI, Yoshihiro & HAMORI, Shigeyuki, 2010. "Small sample properties of CIPS panel unit root test under conditional and unconditional heteroscedasticity," MPRA Paper 24053, University Library of Munich, Germany.
    20. Cavaliere, Giuseppe, 2004. "Testing stationarity under a permanent variance shift," Economics Letters, Elsevier, vol. 82(3), pages 403-408, March.
    21. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    22. Fernandez-Serrano, Jose L. & Sosvilla-Rivero, Simon, 2001. "Modelling evolving long-run relationships: the linkages between stock markets in Asia," Japan and the World Economy, Elsevier, vol. 13(2), pages 145-160, April.
    23. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2005. "Stationarity Tests Under Time-Varying Second Moments," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1112-1129, December.
    24. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
    25. Kazuhiro Ohtani, 2004. "Exact distribution and critical values of a unit root test in the presence of change in variance," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 855-860.
    26. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2014. "Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity," Economic Modelling, Elsevier, vol. 36(C), pages 161-171.
    27. Helmut Herwartz & Florian Siedenburg, 2013. "To converge or not converge: unit labor cost inflation in the Euro area," Empirical Economics, Springer, vol. 44(2), pages 455-467, April.
    28. Hao Jin & Si Zhang & Jinsuo Zhang, 2017. "Spurious regression due to neglected of non-stationary volatility," Computational Statistics, Springer, vol. 32(3), pages 1065-1081, September.
    29. Sen, Amit, 2007. "On the distribution of Dickey-Fuller unit root statistics when there is a break in the innovation variance," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 63-68, January.
    30. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    31. Sven Otto, 2021. "Unit root testing with slowly varying trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 85-106, January.
    32. Charles R. Nelson & Jeremy M. Piger & Eric Zivot, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis.
    33. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
    34. Maurice Obstfeld & Alan M. Taylor, 2002. "Globalization and Capital Markets," NBER Working Papers 8846, National Bureau of Economic Research, Inc.
    35. Quentin Giai Gianetto & Hamdi Raïssi, 2015. "Testing Instantaneous Causality in Presence of Nonconstant Unconditional Covariance," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 46-53, January.
    36. Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
    37. Cook, Steven, 2006. "Testing for cointegration in the presence of mis-specified structural change," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1380-1384, July.
    38. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
    39. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers 0040, University of Washington, Department of Economics.
    40. Helmut Herwartz & Yabibal M. Walle, 2018. "A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility," Computational Statistics, Springer, vol. 33(1), pages 379-411, March.
    41. Ventosa-Santaulária, Daniel & Gómez-Zaldívar, Manuel, 2009. "Broken mean stationarity and the validity of the Dickey-Fuller test: the case of controlled inflation," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
    42. Hanck, C.H., 2009. "Nonstationary-volatility robust panel unit root tests and the great moderation," Research Memorandum 009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    43. Baghestani, Hamid, 2008. "A random walk approach to predicting US 30-year home mortgage rates," Journal of Housing Economics, Elsevier, vol. 17(3), pages 225-233, September.
    44. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.
    45. Maki, Daiki, 2008. "The size performance of a nonparametric unit root test under a variance shift," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 743-748, April.
    46. Helmut Herwartz & Florian Siedenburg & Yabibal M. Walle, 2016. "Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 727-750, May.
    47. Kourogenis, Nikolaos & Pittis, Nikitas, 2008. "Cointegration, variance shifts and the limiting distribution of the OLS estimator," Economics Letters, Elsevier, vol. 99(1), pages 103-106, April.
    48. D. Ventosa-Santaul a & M. G -Zald & F. H. Wallace, 2015. "The real exchange rate, regime changes and volatility shifts," Applied Economics, Taylor & Francis Journals, vol. 47(24), pages 2445-2454, May.
    49. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.

  176. Hamori, Shigeyuki, 1997. "Risk premiums and conditional covariances in tests of asset pricing models: Some evidence from Japan," Japan and the World Economy, Elsevier, vol. 9(3), pages 413-430, August.

    Cited by:

    1. Hamori, Shigeyuki, 2001. "Seasonality and stock returns: some evidence from Japan," Japan and the World Economy, Elsevier, vol. 13(4), pages 463-481, December.
    2. Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010. "Testing conditional asset pricing models: An emerging market perspective," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 897-918, September.

  177. Shigeyuki Hamori & Shin-Ichi Kitasaka, 1997. "The characteristics of the business cycle in Japan," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1105-1113.

    Cited by:

    1. Hatemi-J, Abdulnasser, 2002. "Export performance and economic growth nexus in Japan: a bootstrap approach," Japan and the World Economy, Elsevier, vol. 14(1), pages 25-33, January.
    2. Lyubomir Ivanov, 2005. "Is "The ideal filter" really Ideal: The usage of Frequency Filtering and Spurious Cycles," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 3(1), pages 79-96.
    3. Abe, Naohito & 阿部, 修人 & アベ, ナオヒト, 2002. "The Multi-Sector Business Cycle Model and Aggregate Shocks: An Empirical Analysis," Discussion Paper 117, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
    4. Nadenichek, Jon, 2000. "The Japan-US trade imbalance: a real business cycle perspective," Japan and the World Economy, Elsevier, vol. 12(3), pages 255-271, September.

  178. Shigeyuki Hamori, 1996. "Consumption growth and the intertemporal elasticity of substitution: some evidence from income quintile groups in Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 3(8), pages 529-532.

    Cited by:

    1. Masaya Sakuragawa & Kaoru Hosono, 2010. "Fiscal Sustainability Of Japan: A Dynamic Stochastic General Equilibrium Approach," The Japanese Economic Review, Japanese Economic Association, vol. 61(4), pages 517-537, December.
    2. Hibiki Ichiue & Shusaku Nishiguchi, 2013. "Inflation Expectations and Consumer Spending at the Zero Bound: Micro Evidence," Bank of Japan Working Paper Series 13-E-11, Bank of Japan.
    3. Real Arai & Junji Ueda, 2012. "A Numerical Evaluation on a Sustainable Size of Primary Deficit in Japan," Discussion papers ron235, Policy Research Institute, Ministry of Finance Japan.
    4. Ben-Gad, M., 2009. "The two sector endogenous growth model: an atlas," Working Papers 1504, Department of Economics, City University London.
    5. Ben-Gad, Michael, 2012. "The two sector endogenous growth model: An atlas," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 706-722.
    6. Gardes, François & Merrigan, Philip, 2008. "Individual needs and social pressure: Evidence on the Easterlin hypothesis using repeated cross-section surveys of Canadian households," Journal of Economic Behavior & Organization, Elsevier, vol. 66(3-4), pages 582-596, June.
    7. Ben-Gad, M., 2009. "The two sector endogenous growth model: an atlas," Working Papers 09/02, Department of Economics, City University London.
    8. Michael Ben-Gad, 2008. "The Two Sector Endogenous Growth Model and the Intertemporal Elasticity of Substitution: An Atlas," 2008 Meeting Papers 512, Society for Economic Dynamics.
    9. Biederman, Daniel K. & Goenner, Cullen F., 2008. "A life-cycle approach to the intertemporal elasticity of substitution," Journal of Macroeconomics, Elsevier, vol. 30(1), pages 481-498, March.
    10. Kurita, Takamitsu, 2010. "Co-breaking, cointegration, and weak exogeneity: Modelling aggregate consumption in Japan," Economic Modelling, Elsevier, vol. 27(2), pages 574-584, March.
    11. Masasaki Fuse, 2004. "Estimating intertemporal substitution in Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 267-269.
    12. Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.

  179. Hamori, Shigeyuki, 1993. "Test of the international equity integration of Japan," Economics Letters, Elsevier, vol. 42(1), pages 71-76.

    Cited by:

    1. Shigeyuki Hamori, 1996. "Consumption growth and the intertemporal elasticity of substitution: some evidence from income quintile groups in Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 3(8), pages 529-532.
    2. Hamori, Shigeyuki, 1992. "On the structural stability of preference parameters obtained from Japanese financial market data," Economics Letters, Elsevier, vol. 40(4), pages 459-464, December.
    3. Lund, Jesper & Engsted, Tom, 1996. "GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 497-521, August.

  180. Hamori, Shigeyuki, 1992. "On the structural stability of preference parameters obtained from Japanese financial market data," Economics Letters, Elsevier, vol. 40(4), pages 459-464, December.

    Cited by:

    1. Sen, Amit, 1999. "Approximate p-values of predictive tests for structural stability," Economics Letters, Elsevier, vol. 63(3), pages 245-253, June.
    2. Kazufumi Yamana, 2016. "Structural Household Finance," Discussion papers ron279, Policy Research Institute, Ministry of Finance Japan.
    3. Lund, Jesper & Engsted, Tom, 1996. "GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 497-521, August.

  181. Hamori, Shigeyuki, 1992. "Test of C-CAPM for Japan: 1980-1988," Economics Letters, Elsevier, vol. 38(1), pages 67-72, January.

    Cited by:

    1. Hideaki Tamura & Yoichi Matsuabayashi, 2016. "Alternative Resolution to the Mehra?Prescott Puzzle: Verification by the Original Data," Discussion Papers 1634, Graduate School of Economics, Kobe University.
    2. Shigeyuki Hamori, 1996. "Consumption growth and the intertemporal elasticity of substitution: some evidence from income quintile groups in Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 3(8), pages 529-532.
    3. Faff, Robert W., 1998. "The empirical relationship between aggregate consumption and security prices in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 213-224, May.
    4. Saito, Makoto, 1999. "Dynamic Allocation and Pricing in Incomplete Markets: A Survey," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 17(1), pages 45-75, May.
    5. Hamori, Shigeyuki, 1992. "On the structural stability of preference parameters obtained from Japanese financial market data," Economics Letters, Elsevier, vol. 40(4), pages 459-464, December.
    6. Azam Mohammadzadeh & Mohammad Nabi Shahiki Tash & Reza Roshan, 2016. "Investigating and Comparing Some Consumption-based Asset Pricing Models: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1884-1894.
    7. Chen, Ming-Hsiang, 2003. "Risk and return: CAPM and CCAPM," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 369-393.
    8. Pagano, Patrizio, 2004. "Habit persistence and the marginal propensity to consume in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 18(3), pages 316-329, September.
    9. Mikio Ito & Akihiko Noda, 2010. "The GEL Estimates Resolve the Risk-free Rate Puzzle in Japan," Keio/Kyoto Joint Global COE Discussion Paper Series 2010-007, Keio/Kyoto Joint Global COE Program.
    10. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
    11. Aono, Kohei & Iwaisako, Tokuo, 2013. "The consumption–wealth ratio, real estate wealth, and the Japanese stock market," Japan and the World Economy, Elsevier, vol. 25, pages 39-51.
    12. Myong-Il Kang, 2010. "Can the Consumption-Free Nonexpected Utility Model Solve the Risk PremiumPuzzle? An Empirical Study of the Japanese Stock Market," ISER Discussion Paper 0783, Institute of Social and Economic Research, Osaka University.
    13. Nakano, Katsura & Saito, Makoto, 1998. "Asset Pricing in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 12(2), pages 151-166, June.
    14. Lund, Jesper & Engsted, Tom, 1996. "GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 497-521, August.
    15. Chen, Ming-Hsiang & Bidarkota, Prasad V., 2004. "Consumption equilibrium asset pricing in two Asian emerging markets," Journal of Asian Economics, Elsevier, vol. 15(2), pages 305-319, April.
    16. Robert Faff & Barry Oliver, 1998. "Consumption versus market betas of Australian industry portfolios," Applied Economics Letters, Taylor & Francis Journals, vol. 5(8), pages 513-517.

Chapters

  1. Tiantian Liu & Tadahiro Nakajima & Shigeyuki Hamori, 2021. "Which Factors Will Affect the ESG Index in the USA and Europe: Stock, Crude Oil, or Gold?," SpringerBriefs in Economics, in: ESG Investment in the Global Economy, chapter 0, pages 53-70, Springer.

    Cited by:

    1. N. Arfaoui & M.A. Naeem & S. Boubaker & N. Mirza & S. Karim, 2023. "Interdependence of Clean Energy and Green Markets with Cryptocurrencies," Post-Print hal-04435467, HAL.
    2. Ook Lee & Hanseon Joo & Hayoung Choi & Minjong Cheon, 2022. "Proposing an Integrated Approach to Analyzing ESG Data via Machine Learning and Deep Learning Algorithms," Sustainability, MDPI, vol. 14(14), pages 1-14, July.

  2. Wenting Zhang & Tadahiro Nakajima & Shigeyuki Hamori, 2021. "Does ESG Index Have Strong Conditional Correlations with Sustainability Related Stock Indices?," SpringerBriefs in Economics, in: ESG Investment in the Global Economy, chapter 0, pages 21-35, Springer.

    Cited by:

    1. Ook Lee & Hanseon Joo & Hayoung Choi & Minjong Cheon, 2022. "Proposing an Integrated Approach to Analyzing ESG Data via Machine Learning and Deep Learning Algorithms," Sustainability, MDPI, vol. 14(14), pages 1-14, July.
    2. Sharma, Gagan Deep & Shahbaz, Muhammad & Singh, Sanjeet & Chopra, Ritika & Cifuentes-Faura, Javier, 2023. "Investigating the nexus between green economy, sustainability, bitcoin and oil prices: Contextual evidence from the United States," Resources Policy, Elsevier, vol. 80(C).
    3. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    4. Lu, Xunfa & Huang, Nan & Mo, Jianlei & Ye, Zhitao, 2023. "Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 125(C).

  3. Xie He & Guizhou Liu & Shigeyuki Hamori, 2021. "Measuring Tail Dependencies Between ESG and Renewable Energy Stocks: A Copula Approach," SpringerBriefs in Economics, in: ESG Investment in the Global Economy, chapter 0, pages 37-52, Springer.

    Cited by:

    1. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    2. Lu, Xunfa & Huang, Nan & Mo, Jianlei & Ye, Zhitao, 2023. "Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 125(C).

  4. Yulian Zhang & Tadahiro Nakajima & Shigeyuki Hamori, 2021. "How Does the Environmental, Social, and Governance Index Impacts the Financial Market and Macro-Economy?," SpringerBriefs in Economics, in: ESG Investment in the Global Economy, chapter 0, pages 71-100, Springer.

    Cited by:

    1. Antonella Francesca Cicchiello & Ferdinando Marrazza & Salvatore Perdichizzi, 2023. "Non‐financial disclosure regulation and environmental, social, and governance (ESG) performance: The case of EU and US firms," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(3), pages 1121-1128, May.

  5. Takeshi Inoue & Shigeyuki Hamori, 2016. "Effects of Remittances on Poverty Reduction in Asia," World Scientific Book Chapters, in: Takuji Kinkyo & Takeshi Inoue & Shigeyuki Hamori (ed.), FINANCIAL LINKAGES, REMITTANCES, AND RESOURCE DEPENDENCE IN EAST ASIA, chapter 6, pages 101-117, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Inoue, Takeshi, 2018. "Financial development, remittances, and poverty reduction: Empirical evidence from a macroeconomic viewpoint," Journal of Economics and Business, Elsevier, vol. 96(C), pages 59-68.
    2. Peter Nderitu GITHAIGA, 2019. "Foreign Remittances, Private Sector Investment and Banking Sector Development," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 3(2), pages 85-112.
    3. Alessio Ciarlone, 2023. "Remittances in times of crisis: evidence from Italian corridors," Temi di discussione (Economic working papers) 1402, Bank of Italy, Economic Research and International Relations Area.

  6. Takuji Kinkyo & Takeshi Inoue & Shigeyuki Hamori, 2016. "Introduction," World Scientific Book Chapters, in: Takuji Kinkyo & Takeshi Inoue & Shigeyuki Hamori (ed.), FINANCIAL LINKAGES, REMITTANCES, AND RESOURCE DEPENDENCE IN EAST ASIA, chapter 1, pages 1-9, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Abhnil Amtesh Prasad & Merlinde Kay, 2021. "Prediction of Solar Power Using Near-Real Time Satellite Data," Energies, MDPI, vol. 14(18), pages 1-20, September.
    2. Tetsuji Okazaki, 2020. "Impacts of the Industrial Revolution on Wages and Skills of Workers: The Silk Weaving Industry in Early Twentieth-Century Japan," CIRJE F-Series CIRJE-F-1147, CIRJE, Faculty of Economics, University of Tokyo.

  7. Xiaojing Cai & Shigeyuki Hamori, 2016. "Business Cycle Volatility and Hot Money in Emerging East Asian Markets," World Scientific Book Chapters, in: Takuji Kinkyo & Takeshi Inoue & Shigeyuki Hamori (ed.), FINANCIAL LINKAGES, REMITTANCES, AND RESOURCE DEPENDENCE IN EAST ASIA, chapter 4, pages 59-80, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Xiaojing Cai & Shigeyuki Hamori & Lu Yang & Shuairu Tian, 2020. "Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management," Energies, MDPI, vol. 13(2), pages 1-24, January.

  8. Guifu Chen & Shigeyuki Hamori, 2014. "Formal and Informal Employment in Urban China: Income Differentials," SpringerBriefs in Economics, in: Rural Labor Migration, Discrimination, and the New Dual Labor Market in China, edition 127, chapter 0, pages 77-96, Springer.

    Cited by:

    1. Mohamed Amara, 2016. "The linkages between formal and informal employment growth in Tunisia: a spatial simultaneous equations approach," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 203-227, January.

  9. Takeshi Inoue & Shigeyuki Hamori, 2014. "Causal Relationships in Mean and Variance between Stock Returns and Foreign Institutional Investment in India," World Scientific Book Chapters, in: INDIAN ECONOMY Empirical Analysis on Monetary and Financial Issues in India, chapter 5, pages 53-72, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Kumar, Sundaram, 2009. "Investigating causal relationship between stock return with respect to exchange rate and FII: evidence from India," MPRA Paper 15793, University Library of Munich, Germany.
    2. Hemantkumar P. Bulsara & Vaishali Samir Dhingra & Shailesh Gandhi, 2015. "Dynamic Interactions between Foreign Institutional Investment Flows and Stock Market Returns – The Case of India," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 9(3), September.
    3. Kapil Choudhary & Parminder Singh & Amit Soni, 2022. "Relationship Between FIIs’ Herding and Returns in the Indian Equity Market: Further Empirical Evidence," Global Business Review, International Management Institute, vol. 23(1), pages 137-155, February.
    4. Snowden, Nicholas & Muñoz, Jesús, 2012. "Building a BRIC? Stock Market Opening and Investment Finance in India since Liberalization," World Development, Elsevier, vol. 40(6), pages 1109-1121.

  10. Guifu Chen & Shigeyuki Hamori, 2014. "A Solution to the Migrant Labor Shortage and Rural Labor Surplus in China," SpringerBriefs in Economics, in: Rural Labor Migration, Discrimination, and the New Dual Labor Market in China, edition 127, chapter 0, pages 23-38, Springer.

    Cited by:

    1. Christoph Scherrer, 2018. "The Disrupted Passage from an Agrarian Rural to an Industrial Urban Workforce in Most Countries in the Global South," Agrarian South: Journal of Political Economy, Centre for Agrarian Research and Education for South, vol. 7(3), pages 301-319, December.
    2. Christoph Scherrer, 2018. "Labour surplus is here to stay: why ‘decent work for all’ will remain elusive," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 20(2), pages 293-307, October.

  11. Guifu Chen & Shigeyuki Hamori, 2014. "Bivariate Probit Analysis of the Differences Between Male and Female Formal Employment in Urban China," SpringerBriefs in Economics, in: Rural Labor Migration, Discrimination, and the New Dual Labor Market in China, edition 127, chapter 0, pages 65-76, Springer.
    See citations under working paper version above.
  12. Takeshi Inoue & Shigeyuki Hamori, 2014. "Market Efficiency of Commodity Futures in India," World Scientific Book Chapters, in: INDIAN ECONOMY Empirical Analysis on Monetary and Financial Issues in India, chapter 6, pages 73-85, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  13. Takeshi Inoue & Shigeyuki Hamori, 2014. "An Empirical Analysis of the Money Demand Function in India," World Scientific Book Chapters, in: INDIAN ECONOMY Empirical Analysis on Monetary and Financial Issues in India, chapter 2, pages 9-26, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  14. Guifu Chen & Shigeyuki Hamori, 2014. "Do Chinese Employers Discriminate Against Females When Hiring Employees?," SpringerBriefs in Economics, in: Rural Labor Migration, Discrimination, and the New Dual Labor Market in China, edition 127, chapter 0, pages 39-51, Springer.
    See citations under working paper version above.
  15. Takeshi Inoue & Shigeyuki Hamori, 2014. "Introduction," World Scientific Book Chapters, in: INDIAN ECONOMY Empirical Analysis on Monetary and Financial Issues in India, chapter 1, pages 1-5, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Abhnil Amtesh Prasad & Merlinde Kay, 2021. "Prediction of Solar Power Using Near-Real Time Satellite Data," Energies, MDPI, vol. 14(18), pages 1-20, September.

  16. Fengbao Yin & Shigeyuki Hamori, 2013. "Globalization And Economic Growth In East Asia," World Scientific Book Chapters, in: Takuji Kinkyo & Yoichi Matsubayashi & Shigeyuki Hamori (ed.), Global Linkages and Economic Rebalancing in East Asia, chapter 6, pages 109-138, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Mohamed Salah Mansour & Miriam Wendel, 2015. "Finance and Inequality – Evidence from East Asia," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 3(3), pages 1-16.
    2. Satoshi Shimizu, 2018. "Development of Asian Bond Markets and Challenges: Keys to Market Expansion," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 14(5), pages 955-1000, September.

  17. Takeshi Inoue & Yuki Toyoshima & Shigeyuki Hamori, 2013. "Inflation Targeting In South Korea, Indonesia, The Philippines And Thailand: The Impact On Business Cycle Synchronization Between Each Country And The World," World Scientific Book Chapters, in: Takuji Kinkyo & Yoichi Matsubayashi & Shigeyuki Hamori (ed.), Global Linkages and Economic Rebalancing in East Asia, chapter 5, pages 85-108, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Ulrich Volz, 2015. "On the Future of Inflation Targeting in East Asia," Review of Development Economics, Wiley Blackwell, vol. 19(3), pages 638-652, August.
    2. Peter J. Morgan, 2013. "Monetary Policy Frameworks in Asia : Experience, Lessons, and Issues," Macroeconomics Working Papers 23639, East Asian Bureau of Economic Research.
    3. Yee Peng Chow & Junaina Muhammad & Bany Ariffin Amin Noordin & Fan Fah Cheng, 2017. "Macroeconomic Uncertainty in South East Asia: A Comparative Study between Malaysia and Indonesia," Research in Applied Economics, Macrothink Institute, vol. 9(4), pages 1-24, December.
    4. Faisal Rachman, 2016. "Is Inflation Target Announced by Bank Indonesia the Most Accurate Inflation Forecast?," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 62, pages 98-120, August.
    5. Pham, Thu Anh Thi & Nguyen, Thong Trung & Nasir, Muhammad Ali & Duc Huynh, Toan Luu, 2023. "Exchange rate pass-through: A comparative analysis of inflation targeting & non-targeting ASEAN-5 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 158-167.

  18. Shigeyuki Hamori & Naoko Hamori, 2009. "Empirical Analysis of the Money Demand Function in the Euro Area," World Scientific Book Chapters, in: Introduction Of The Euro And The Monetary Policy Of The European Central Bank, chapter 2, pages 31-58, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. S. M. Woahid Murad & Ruhul Salim & Md. Golam Kibria, 2021. "Asymmetric Effects of Economic Policy Uncertainty on the Demand for Money in India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(3), pages 451-470, September.
    2. Muhammad Ahad, 2017. "Financial Development and Money Demand Function: Cointegration, Causality and Variance Decomposition Analysis for Pakistan," Global Business Review, International Management Institute, vol. 18(4), pages 811-824, August.

Books

  1. Tadahiro Nakajima & Shigeyuki Hamori & Xie He & Guizhou Liu & Wenting Zhang & Yulian Zhang & Tiantian Liu, 2021. "ESG Investment in the Global Economy," SpringerBriefs in Economics, Springer, number 978-981-16-2990-7, October.

    Cited by:

    1. Antonella Francesca Cicchiello & Ferdinando Marrazza & Salvatore Perdichizzi, 2023. "Non‐financial disclosure regulation and environmental, social, and governance (ESG) performance: The case of EU and US firms," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(3), pages 1121-1128, May.
    2. Ook Lee & Hanseon Joo & Hayoung Choi & Minjong Cheon, 2022. "Proposing an Integrated Approach to Analyzing ESG Data via Machine Learning and Deep Learning Algorithms," Sustainability, MDPI, vol. 14(14), pages 1-14, July.
    3. Lidia Maria BRUMA, 2023. "Cloud Incident Response - a Comprehensive Analysis," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, vol. 27(4), pages 32-43.

  2. Takuji Kinkyo & Takeshi Inoue & Shigeyuki Hamori (ed.), 2016. "Financial Linkages, Remittances, and Resource Dependence in East Asia," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9737.

    Cited by:

    1. Inoue, Takeshi, 2018. "Financial development, remittances, and poverty reduction: Empirical evidence from a macroeconomic viewpoint," Journal of Economics and Business, Elsevier, vol. 96(C), pages 59-68.
    2. Peter Nderitu GITHAIGA, 2019. "Foreign Remittances, Private Sector Investment and Banking Sector Development," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 3(2), pages 85-112.
    3. Aydanur GACENER-ATIŞ & Deniz ERER, 2019. "Effects of Capital Flows on Carry Trade Activities: The Case of TurkeyAbstract: Carry trade is described as the capital flow coming into a country based on interest rate differential. A negative chang," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(42).

  3. Guifu Chen & Shigeyuki Hamori, 2014. "Rural Labor Migration, Discrimination, and the New Dual Labor Market in China," SpringerBriefs in Economics, Springer, edition 127, number 978-3-642-41109-0, October.

    Cited by:

    1. GAO Tianming & Anna Ivolga & Vasilii Erokhin, 2018. "Sustainable Rural Development in Northern China: Caught in a Vice between Poverty, Urban Attractions, and Migration," Sustainability, MDPI, vol. 10(5), pages 1-20, May.
    2. Xiaojian Li & Xinyue Ye & Xiongfei Zhou & Chunhui Zheng & Mark Leipnik & Fan Lou, 2018. "Specialized Villages in Inland China: Spatial and Developmental Issues," Sustainability, MDPI, vol. 10(9), pages 1-15, August.
    3. Mohamed Amara, 2016. "The linkages between formal and informal employment growth in Tunisia: a spatial simultaneous equations approach," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 203-227, January.
    4. Christoph Scherrer, 2018. "The Disrupted Passage from an Agrarian Rural to an Industrial Urban Workforce in Most Countries in the Global South," Agrarian South: Journal of Political Economy, Centre for Agrarian Research and Education for South, vol. 7(3), pages 301-319, December.
    5. Ruoran Zhu & Guifu Chen, 2022. "An empirical study on underemployment in China: Determinants and effects on wages," Journal of International Development, John Wiley & Sons, Ltd., vol. 34(6), pages 1110-1129, August.
    6. Christoph Scherrer, 2018. "Labour surplus is here to stay: why ‘decent work for all’ will remain elusive," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 20(2), pages 293-307, October.

  4. Shigeyuki Hamori & Naoko Hamori, 2009. "Introduction of the Euro and the Monetary Policy of the European Central Bank," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7169.

    Cited by:

    1. Kiss, Gábor Dávid & Kovács, György & Varga, János Zoltán, 2016. "Várakozások és a monetáris politika - különös tekintettel a magyarországi gyakorlatra [Expectations and monetary policy, with special attention to practice in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 1192-1216.
    2. Anton, Roman, 2015. "Monetary Development and Transmission in the Eurosystem," MPRA Paper 67323, University Library of Munich, Germany, revised 08 Oct 2015.

  5. Ivohasina Fizara Razafimahefa & Shigeyuki Hamori, 2007. "International Competitiveness in Africa," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-68921-8, July-Dece.

    Cited by:

    1. Yoichi Matsubayashi & Shigeyuki Hamori, 2009. "Empirical analysis of import demand behavior of least developed countries," Economics Bulletin, AccessEcon, vol. 29(2), pages 1443-1458.

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