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Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis
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- Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Billah, Mabruk & Karim, Sitara & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2022. "Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness," Research in International Business and Finance, Elsevier, vol. 62(C).
- Li, Hailing & Li, Yuxin & Zhang, Hua, 2023. "The spillover effects among the traditional energy markets, metal markets and sub-sector clean energy markets," Energy, Elsevier, vol. 275(C).
- 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).
- Chen, Yufeng & Wang, Chuwen & Zhu, Zhitao, 2022. "Toward the integration of European gas futures market under COVID-19 shock: A quantile connectedness approach," Energy Economics, Elsevier, vol. 114(C).
- Chen, Jinyu & Liang, Zhipeng & Ding, Qian & Liu, Zhenhua, 2022. "Quantile connectedness between energy, metal, and carbon markets," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
- 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).
- Akbulut Nesrin & Ari Yakup, 2023. "TVP-VAR Frequency Connectedness Between the Foreign Exchange Rates of Non-Euro Area Member Countries," Folia Oeconomica Stetinensia, Sciendo, vol. 23(2), pages 1-23, December.
- Khalfaoui, Rabeh & Hammoudeh, Shawkat & Rehman, Mohd Ziaur, 2023. "Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network," Emerging Markets Review, Elsevier, vol. 54(C).
- Muhammad Abubakr Naeem & Sitara Karim & Aviral Kumar Tiwari, 2023. "Risk Connectedness Between Green and Conventional Assets with Portfolio Implications," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 609-637, August.
- 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).
- Urom, Christian, 2023. "Time–frequency dependence and connectedness between financial technology and green assets," International Economics, Elsevier, vol. 175(C), pages 139-157.
- 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).
- Wang, Suhui, 2023. "Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
- Urom, Christian & Ndubuisi, Gideon, 2023. "Do geopolitical risks and global market factors influence the dynamic dependence among regional sustainable investments and major commodities?," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 94-111.
- 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.
- 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.
- Idris A. Adediran, 2021. "Can Tail Risk Predict Asia-Pacific Exchange Rates Out of Sample?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.
- Muhammad Owais Qarni & Saiqb Gulzar, 2021. "Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
- 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).
- Qian, Biyu & Wang, Gang-Jin & Feng, Yusen & Xie, Chi, 2022. "Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
- Shahzad, Umer & Ghaemi Asl, Mahdi & Tedeschi, Marco, 2023. "Is there any market state-dependent contribution from Blockchain-enabled solutions to ESG investments? Evidence from conventional and Islamic ESG stocks," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 139-154.
- Yousaf, Imran & Jareño, Francisco & Martínez-Serna, María-Isabel, 2023. "Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
- 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).
- Wang, Kai-Hua & Kan, Jia-Min & Qiu, Lianhong & Xu, Shulin, 2023. "Climate policy uncertainty, oil price and agricultural commodity: From quantile and time perspective," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 256-272.
- Zhongzheng, Wang, 2023. "Extreme risk transmission mechanism between oil, green bonds and new energy vehicles," Innovation and Green Development, Elsevier, vol. 2(3).
- Shahzad, Syed Jawad Hussain & Hasan, Mudassar & Caporin, Massimiliano, 2023. "Asymmetric and time-frequency based networks of currency markets," Finance Research Letters, Elsevier, vol. 55(PB).
- Yousaf, Imran & Jareño, Francisco & Esparcia, Carlos, 2022. "Tail connectedness between lending/borrowing tokens and commercial bank stocks," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Jareño, Francisco & Yousaf, Imran, 2023. "Artificial intelligence-based tokens: Fresh evidence of connectedness with artificial intelligence-based equities," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Khalfaoui, Rabeh & Mefteh-Wali, Salma & Dogan, Buhari & Ghosh, Sudeshna, 2023. "Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Liu, Wei & Ma, Qianting & Liu, Xiaoxing, 2022. "Research on the dynamic evolution and its influencing factors of stock correlation network in the Chinese new energy market," Finance Research Letters, Elsevier, vol. 45(C).
- 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.
- Dai, Zhifeng & Zhang, Xiaotong & Yin, Zhujia, 2023. "Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Evidence from a quantile-based analysis," Energy Economics, Elsevier, vol. 118(C).
- Jian, Zhihong & Lu, Haisong & Zhu, Zhican & Xu, Huiling, 2023. "Frequency heterogeneity of tail connectedness: Evidence from global stock markets," Economic Modelling, Elsevier, vol. 125(C).
- Han-Yu Zhu & Peng-Fei Dai & Wei-Xing Zhou, 2024. "Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures markets," Papers 2403.01745, arXiv.org.
- Farid, Saqib & Naeem, Muhammad Abubakr & Paltrinieri, Andrea & Nepal, Rabindra, 2022. "Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities," Energy Economics, Elsevier, vol. 109(C).
- Long, Shaobo & Tian, Hao & Li, Zixuan, 2022. "Dynamic spillovers between uncertainties and green bond markets in the US, Europe, and China: Evidence from the quantile VAR framework," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Chen, Jinyu & Liang, Zhipeng & Ding, Qian & Liu, Zhenhua, 2022. "Extreme spillovers among fossil energy, clean energy, and metals markets: Evidence from a quantile-based analysis," Energy Economics, Elsevier, vol. 107(C).
- Saeed, Tareq & Bouri, Elie & Alsulami, Hamed, 2021. "Extreme return connectedness and its determinants between clean/green and dirty energy investments," Energy Economics, Elsevier, vol. 96(C).
- Asadi, Mehrad & Tiwari, Aviral Kumar & Gholami, Samad & Ghasemi, Hamid Reza & Roubaud, David, 2023. "Understanding interconnections among steel, coal, iron ore, and financial assets in the US and China using an advanced methodology," International Review of Financial Analysis, Elsevier, vol. 89(C).
- 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).
- Rizvi, Syed Kumail Abbas & Naqvi, Bushra & Mirza, Nawazish & Umar, Muhammad, 2022. "Safe haven properties of green, Islamic, and crypto assets and investor's proclivity towards treasury and gold," Energy Economics, Elsevier, vol. 115(C).
- Billah, Mabruk & Elsayed, Ahmed H. & Hadhri, Sinda, 2023. "Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
- Li, Yanshuang & Shi, Yujie & Shi, Yongdong & Yi, Shangkun & Zhang, Weiping, 2023. "COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
- Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2023. "Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications," Energy Economics, Elsevier, vol. 120(C).
- Naeem, Muhammad Abubakr & Gul, Raazia & Farid, Saqib & Karim, Sitara & Lucey, Brian M., 2023. "Assessing linkages between alternative energy markets and cryptocurrencies," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 513-529.
- Zhang, Hongwei & Zhang, Yubo & Gao, Wang & Li, Yingli, 2023. "Extreme quantile spillovers and drivers among clean energy, electricity and energy metals markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
- 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).