Research classified by Journal of Economic Literature (JEL) codes

2022

• Gouriéroux, C. & Monfort, A. & Renne, J.-P., 2022, "Required Capital for Long-Run Risks," Journal of Economic Dynamics and Control, Elsevier, volume 144, issue C, DOI: 10.1016/j.jedc.2022.104502.
• Uquillas, Adriana & Tonato, Ronny, 2022, "Inter-portfolio credit risk contagion including macroeconomic and financial factors: A case study for Ecuador," Economic Analysis and Policy, Elsevier, volume 73, issue C, pages 299-320, DOI: 10.1016/j.eap.2021.11.006.
• Qu, Hui & Zhang, Yi, 2022, "Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies," Economic Modelling, Elsevier, volume 106, issue C, DOI: 10.1016/j.econmod.2021.105699.
• Naimoli, Antonio & Gerlach, Richard & Storti, Giuseppe, 2022, "Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators," Economic Modelling, Elsevier, volume 107, issue C, DOI: 10.1016/j.econmod.2021.105701.
• Reboredo, Juan C. & Ugolini, Andrea & Ojea-Ferreiro, Javier, 2022, "Do green bonds de-risk investment in low-carbon stocks?," Economic Modelling, Elsevier, volume 108, issue C, DOI: 10.1016/j.econmod.2022.105765.
• 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, volume 109, issue C, DOI: 10.1016/j.econmod.2022.105781.
• Insana, Alessandra, 2022, "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, volume 109, issue C, DOI: 10.1016/j.econmod.2022.105782.
• Bucci, Andrea & Ciciretti, Vito, 2022, "Market regime detection via realized covariances," Economic Modelling, Elsevier, volume 111, issue C, DOI: 10.1016/j.econmod.2022.105832.
• Lien, Donald & Zhang, Jiewen & Yu, Xiaojian, 2022, "Effects of economic policy uncertainty: A regime switching connectedness approach," Economic Modelling, Elsevier, volume 113, issue C, DOI: 10.1016/j.econmod.2022.105879.
• Deng, Chao & Su, Xiaojian & Wang, Gangjin & Peng, Cheng, 2022, "The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds' sectors," Economic Modelling, Elsevier, volume 113, issue C, DOI: 10.1016/j.econmod.2022.105895.
• Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022, "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, volume 114, issue C, DOI: 10.1016/j.econmod.2022.105914.
• Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022, "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, volume 114, issue C, DOI: 10.1016/j.econmod.2022.105941.
• 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, volume 117, issue C, DOI: 10.1016/j.econmod.2022.106046.
• Xu, Qiuhua & Yan, Haoyang & Zhao, Tianyu, 2022, "Contagion effect of systemic risk among industry sectors in China’s stock market," The North American Journal of Economics and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.najef.2021.101576.
• Aloui, Chaker & Asadov, Alam & Al-kayed, Lama & Hkiri, Besma & Danila, Nevi, 2022, "Impact of the COVID-19 outbreak and its related announcements on the Chinese conventional and Islamic stocks’ connectedness," The North American Journal of Economics and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.najef.2021.101585.
• 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, volume 59, issue C, DOI: 10.1016/j.najef.2021.101614.
• Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2022, "Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios," The North American Journal of Economics and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.najef.2021.101629.
• Mokni, Khaled & Bouteska, Ahmed & Nakhli, Mohamed Sahbi, 2022, "Investor sentiment and Bitcoin relationship: A quantile-based analysis," The North American Journal of Economics and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.najef.2022.101657.
• Esparcia, Carlos & Jareño, Francisco & Umar, Zaghum, 2022, "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, volume 61, issue C, DOI: 10.1016/j.najef.2022.101677.
• Zhu, Huiming & Chen, Yiwen & Ren, Yinghua & Xing, Zhanming & Hau, Liya, 2022, "Time-frequency causality and dependence structure between crude oil, EPU and Chinese industry stock: Evidence from multiscale quantile perspectives," The North American Journal of Economics and Finance, Elsevier, volume 61, issue C, DOI: 10.1016/j.najef.2022.101698.
• Trabelsi, Nader & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2022, "Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101715.
• Pan, Zhiyuan & Shuai, Jiangyu & Liang, Zhilei & Sun, Xianchao, 2022, "Jump dynamics, spillover effect and option valuation," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101717.
• Caporin, Massimiliano & Poli, Francesco, 2022, "News and intraday jumps: Evidence from regularization and class imbalance," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101743.
• 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, volume 63, issue C, DOI: 10.1016/j.najef.2022.101816.
• Tan, Sook-Rei & Li, Changtai & Yeap, Xiu Wei, 2022, "A time-varying copula approach for constructing a daily financial systemic stress index," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101821.
• Kliber, Agata, 2022, "Looking for a safe haven against American stocks during COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101825.
• Fasanya, Ismail & Adekoya, Oluwasegun & Oyewole, Oluwatomisin & Adegboyega, Soliu, 2022, "Investor sentiment and energy futures predictability: Evidence from Feasible Quasi Generalized Least Squares," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101830.
• Bollerslev, Tim & Patton, Andrew J. & Zhang, Haozhe, 2022, "Equity clusters through the lens of realized semicorrelations," Economics Letters, Elsevier, volume 211, issue C, DOI: 10.1016/j.econlet.2021.110245.
• Caferra, Rocco & Morone, Andrea & Potì, Valerio, 2022, "Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour," Economics Letters, Elsevier, volume 218, issue C, DOI: 10.1016/j.econlet.2022.110734.
• Bandi, Federico M. & Renò, Roberto, 2022, "β in the tails," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 134-150, DOI: 10.1016/j.jeconom.2020.06.006.
• Zhang, Congshan & Li, Jia & Bollerslev, Tim, 2022, "Occupation density estimation for noisy high-frequency data," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 189-211, DOI: 10.1016/j.jeconom.2020.05.013.
• Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2022, "Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 285-304, DOI: 10.1016/j.jeconom.2021.06.008.
• Blasques, Francisco & Koopman, Siem Jan & Nientker, Marc, 2022, "A time-varying parameter model for local explosions," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 65-84, DOI: 10.1016/j.jeconom.2021.05.008.
• Christensen, Kim & Oomen, Roel & Renò, Roberto, 2022, "The drift burst hypothesis," Journal of Econometrics, Elsevier, volume 227, issue 2, pages 461-497, DOI: 10.1016/j.jeconom.2020.11.004.
• Gallant, A. Ronald, 2022, "Nonparametric Bayes subject to overidentified moment conditions," Journal of Econometrics, Elsevier, volume 228, issue 1, pages 27-38, DOI: 10.1016/j.jeconom.2021.02.005.
• Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022, "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, volume 228, issue 1, pages 62-84, DOI: 10.1016/j.jeconom.2020.12.008.
• Anatolyev, Stanislav & Mikusheva, Anna, 2022, "Factor models with many assets: Strong factors, weak factors, and the two-pass procedure," Journal of Econometrics, Elsevier, volume 229, issue 1, pages 103-126, DOI: 10.1016/j.jeconom.2021.01.002.
• Dovonon, Prosper & Taamouti, Abderrahim & Williams, Julian, 2022, "Testing the eigenvalue structure of spot and integrated covariance," Journal of Econometrics, Elsevier, volume 229, issue 2, pages 363-395, DOI: 10.1016/j.jeconom.2021.02.006.
• Fisher, Mark & Jensen, Mark J., 2022, "Bayesian nonparametric learning of how skill is distributed across the mutual fund industry," Journal of Econometrics, Elsevier, volume 230, issue 1, pages 131-153, DOI: 10.1016/j.jeconom.2021.04.002.
• Wang, Bin & Zheng, Xu, 2022, "Testing for the presence of jump components in jump diffusion models," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 483-509, DOI: 10.1016/j.jeconom.2021.06.005.
• Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022, "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 510-534, DOI: 10.1016/j.jeconom.2021.06.006.
• Bollerslev, Tim & Medeiros, Marcelo C. & Patton, Andrew J. & Quaedvlieg, Rogier, 2022, "From zero to hero: Realized partial (co)variances," Journal of Econometrics, Elsevier, volume 231, issue 2, pages 348-360, DOI: 10.1016/j.jeconom.2021.04.013.
• Kleppe, Tore Selland & Liesenfeld, Roman & Moura, Guilherme Valle & Oglend, Atle, 2022, "Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility," Econometrics and Statistics, Elsevier, volume 23, issue C, pages 105-127, DOI: 10.1016/j.ecosta.2021.03.008.
• Dette, Holger & Golosnoy, Vasyl & Kellermann, Janosch, 2022, "Correcting Intraday Periodicity Bias in Realized Volatility Measures," Econometrics and Statistics, Elsevier, volume 23, issue C, pages 36-52, DOI: 10.1016/j.ecosta.2021.03.002.
• Curato, Imma Valentina & Sanfelici, Simona, 2022, "Stochastic leverage effect in high-frequency data: a Fourier based analysis," Econometrics and Statistics, Elsevier, volume 23, issue C, pages 53-82, DOI: 10.1016/j.ecosta.2021.03.001.
• Zhao, Hong & Li, Jiayi & Lei, Yiqing & Zhou, Mingming, 2022, "Risk spillover of banking across regions: Evidence from the belt and road countries," Emerging Markets Review, Elsevier, volume 52, issue C, DOI: 10.1016/j.ememar.2022.100919.
• Ulm, M. & Hambuckers, J., 2022, "Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model," Journal of Empirical Finance, Elsevier, volume 65, issue C, pages 125-148, DOI: 10.1016/j.jempfin.2021.12.004.
• Zhao, Albert Bo & Cheng, Tingting, 2022, "Stock return prediction: Stacking a variety of models," Journal of Empirical Finance, Elsevier, volume 67, issue C, pages 288-317, DOI: 10.1016/j.jempfin.2022.04.001.
• Li, Leon, 2022, "The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk," Energy Economics, Elsevier, volume 105, issue C, DOI: 10.1016/j.eneco.2021.105756.
• Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad & Suleman, Muhammad Tahir & Kang, Sang Hoon, 2022, "Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications," Energy Economics, Elsevier, volume 105, issue C, DOI: 10.1016/j.eneco.2021.105758.
• Fahmy, Hany, 2022, "The rise in investors’ awareness of climate risks after the Paris Agreement and the clean energy-oil-technology prices nexus," Energy Economics, Elsevier, volume 106, issue C, DOI: 10.1016/j.eneco.2021.105738.
• Kim, Jaeho & Linn, Scott C., 2022, "Price discovery under model uncertainty," Energy Economics, Elsevier, volume 107, issue C, DOI: 10.1016/j.eneco.2022.105833.
• Elsayed, Ahmed H. & Naifar, Nader & Nasreen, Samia & Tiwari, Aviral Kumar, 2022, "Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic," Energy Economics, Elsevier, volume 107, issue C, DOI: 10.1016/j.eneco.2022.105842.
• Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022, "Time-varying dependence dynamics between international commodity prices and Australian industry stock returns: a Perspective for portfolio diversification," Energy Economics, Elsevier, volume 108, issue C, DOI: 10.1016/j.eneco.2022.105891.
• Szczygielski, Jan Jakub & Brzeszczyński, Janusz & Charteris, Ailie & Bwanya, Princess Rutendo, 2022, "The COVID-19 storm and the energy sector: The impact and role of uncertainty," Energy Economics, Elsevier, volume 109, issue C, DOI: 10.1016/j.eneco.2021.105258.
• Sohag, Kazi & Hammoudeh, Shawkat & Elsayed, Ahmed H. & Mariev, Oleg & Safonova, Yulia, 2022, "Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks," Energy Economics, Elsevier, volume 111, issue C, DOI: 10.1016/j.eneco.2022.106068.
• Caporin, Massimiliano & Costola, Michele, 2022, "Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test," Energy Economics, Elsevier, volume 111, issue C, DOI: 10.1016/j.eneco.2022.106088.
• Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2022, "Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China," Energy Economics, Elsevier, volume 112, issue C, DOI: 10.1016/j.eneco.2022.106114.
• Rizvi, Syed Kumail Abbas & Naqvi, Bushra & Boubaker, Sabri & Mirza, Nawazish, 2022, "The power play of natural gas and crude oil in the move towards the financialization of the energy market," Energy Economics, Elsevier, volume 112, issue C, DOI: 10.1016/j.eneco.2022.106131.
• Čech, František & Zítek, Michal, 2022, "Marine fuel hedging under the sulfur cap regulations," Energy Economics, Elsevier, volume 113, issue C, DOI: 10.1016/j.eneco.2022.106204.
• Zhu, Bo & Deng, Yuanyue & Lin, Renda & Hu, Xin & Chen, Pingshe, 2022, "Energy security: Does systemic risk spillover matter? Evidence from China," Energy Economics, Elsevier, volume 114, issue C, DOI: 10.1016/j.eneco.2022.106252.
• Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2022, "The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system," Energy Economics, Elsevier, volume 114, issue C, DOI: 10.1016/j.eneco.2022.106257.
• 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, volume 114, issue C, DOI: 10.1016/j.eneco.2022.106285.
• Tian, Maoxi & Alshater, Muneer M. & Yoon, Seong-Min, 2022, "Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106341.
• Będowska-Sójka, Barbara & Kliber, Agata, 2022, "Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106360.
• Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Rai, Alan & Konstandatos, Otto, 2022, "Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106372.
• 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, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106388.
• Tanin, Tauhidul Islam & Hasanov, Akram Shavkatovich & Shaiban, Mohammed Sharaf Mohsen & Brooks, Robert, 2022, "Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106389.
• Nonejad, Nima, 2022, "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106395.
• Kumar, Pawan & Singh, Vipul Kumar, 2022, "Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective," Energy Economics, Elsevier, volume 116, issue C, DOI: 10.1016/j.eneco.2022.106384.
• Kertlly de Medeiros, Rennan & da Nóbrega Besarria, Cássio & Pitta de Jesus, Diego & Phillipe de Albuquerquemello, Vinicius, 2022, "Forecasting oil prices: New approaches," Energy, Elsevier, volume 238, issue PC, DOI: 10.1016/j.energy.2021.121968.
• Kuang, Wei, 2022, "The economic value of high-frequency data in equity-oil hedge," Energy, Elsevier, volume 239, issue PA, DOI: 10.1016/j.energy.2021.121904.
• Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2022, "The impact and role of COVID-19 uncertainty: A global industry analysis," International Review of Financial Analysis, Elsevier, volume 80, issue C, DOI: 10.1016/j.irfa.2021.101837.
• 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, volume 81, issue C, DOI: 10.1016/j.irfa.2022.102100.
• Nonejad, Nima, 2022, "Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study," International Review of Financial Analysis, Elsevier, volume 83, issue C, DOI: 10.1016/j.irfa.2022.102251.
• Naeem, Muhammad Abubakr & Karim, Sitara & Uddin, Gazi Salah & Junttila, Juha, 2022, "Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets," International Review of Financial Analysis, Elsevier, volume 83, issue C, DOI: 10.1016/j.irfa.2022.102283.
• Sattarhoff, Cristina & Gronwald, Marc, 2022, "Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence," International Review of Financial Analysis, Elsevier, volume 84, issue C, DOI: 10.1016/j.irfa.2022.102403.
• Pacelli, Vincenzo & Miglietta, Federica & Foglia, Matteo, 2022, "The extreme risk connectedness of the new financial system: European evidence," International Review of Financial Analysis, Elsevier, volume 84, issue C, DOI: 10.1016/j.irfa.2022.102408.
• Bales, Stephan, 2022, "Policy uncertainty and the sovereign-bank nexus: A time-frequency analysis using wavelet transformation," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102038.
• Giudici, Paolo & Leach, Thomas & Pagnottoni, Paolo, 2022, "Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102054.
• Papailias, Fotis, 2022, "US and EA yield curve persistence during the COVID-19 pandemic," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102087.
• Papathanasiou, Spyros & Vasiliou, Dimitrios & Magoutas, Anastasios & Koutsokostas, Drosos, 2022, "Do hedge and merger arbitrage funds actually hedge? A time-varying volatility spillover approach," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102088.
• Shi, Yanlin, 2022, "A closed-form estimator for the Markov switching in mean model," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102107.
• Alanya-Beltran, Willy, 2022, "Modelling stock returns volatility with dynamic conditional score models and random shifts," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102121.
• Karamti, Chiraz & Belhassine, Olfa, 2022, "COVID-19 pandemic waves and global financial markets: Evidence from wavelet coherence analysis," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102136.
• Del Lo, Gaye & Basséne, Théophile & Séne, Babacar, 2022, "COVID-19 And the african financial markets : Less infection, less economic impact ?," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102148.
• Guo, Zi-Yi, 2022, "Risk management of Bitcoin futures with GARCH models," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102197.
• Chen, Yan & Mo, Dongxu & Xu, Zezhou, 2022, "A study of interconnections and contagion among Chinese financial institutions using a ΔCoV aR network," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102395.
• Nonejad, Nima, 2022, "Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index: What forms of nonlinearity help improve forecast accuracy the most?," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102310.
• Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022, "Predicting returns and dividend growth — The role of non-Gaussian innovations," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102315.
• Bellón, Carlos & Figuerola-Ferretti, Isabel, 2022, "Bubbles in Ethereum," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102387.
• González-Sánchez, Mariano, 2022, "Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102394.
• Kanamura, Takashi, 2022, "Timing differences in the impact of Covid-19 on price volatility between assets," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102401.
• Jiang, Wen & Xu, Qiuhua & Zhang, Ruige, 2022, "Tail-event driven network of cryptocurrencies and conventional assets," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102424.
• Arfaoui, Nadia & Naoui, Kamel, 2022, "Terrorism, investor sentiment, and stock market reaction: Evidence from the British and the French markets," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102462.
• Fung, Kennard & Jeong, Jiin & Pereira, Javier, 2022, "More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102544.
• Tran, Quang Van & Kukal, Jaromir, 2022, "A novel heavy tail distribution of logarithmic returns of cryptocurrencies," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102574.
• Kwon, Ji Ho, 2022, "More predictors of the investment opportunity set in the ICAPM," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102578.
• Maouchi, Youcef & Charfeddine, Lanouar & El Montasser, Ghassen, 2022, "Understanding digital bubbles amidst the COVID-19 pandemic: Evidence from DeFi and NFTs," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102584.
• Doan, Bao & Lee, John B. & Liu, Qianqiu & Reeves, Jonathan J., 2022, "Beta measurement with high frequency returns," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102632.
• González-Velasco, Carmen & García-López, Marcos & González-Fernández, Marcos, 2022, "Does sovereign risk impact banking risk in the Eurozone? Evidence from the COVID-19 pandemic," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102670.
• Bondatti, Massimiliano & Rillo, Giovanni, 2022, "Commodity tail-risk and exchange rates," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2022.102937.
• Gargallo, Pilar & Lample, Luis & Miguel, Jesús & Salvador, Manuel, 2022, "Dynamic comparison of portfolio risk: Clean vs dirty energy," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2022.102957.
• Nonejad, Nima, 2022, "An interesting finding about the ability of geopolitical risk to forecast aggregate equity return volatility out-of-sample," Finance Research Letters, Elsevier, volume 47, issue PB, DOI: 10.1016/j.frl.2022.102710.
• Ahn, Yongkil, 2022, "Asymmetric tail dependence in cryptocurrency markets: A Model-free approach," Finance Research Letters, Elsevier, volume 47, issue PB, DOI: 10.1016/j.frl.2022.102746.
• Gao, Lingbo & Ye, Wuyi & Guo, Ranran, 2022, "Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model," Finance Research Letters, Elsevier, volume 48, issue C, DOI: 10.1016/j.frl.2022.102826.
• Santos, André A.P. & Torrent, Hudson S., 2022, "Markowitz meets technical analysis: Building optimal portfolios by exploiting information in trend-following signals," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103063.
• Kerkemeier, Marco & Kruse-Becher, Robinson, 2022, "Join the club! Dynamics of global ESG indices convergence," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103085.
• Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022, "Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103105.
• Bazán-Palomino, Walter, 2022, "Interdependence, contagion and speculative bubbles in cryptocurrency markets," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103132.
• Lee, Hsiang-Tai, 2022, "Regime-switching angular correlation diversification," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103233.
• Jose, Nithin & Jose, Babu & Varghese, James, 2022, "Is cross-hedging an effective strategy in equity futures market?," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103253.
• Greenwood-Nimmo, Matthew & Tarassow, Artur, 2022, "Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks," Journal of Financial Markets, Elsevier, volume 59, issue PA, DOI: 10.1016/j.finmar.2021.100661.
• Grønborg, Niels S. & Lunde, Asger & Olesen, Kasper V. & Vander Elst, Harry, 2022, "Realizing correlations across asset classes," Journal of Financial Markets, Elsevier, volume 59, issue PA, DOI: 10.1016/j.finmar.2022.100729.
• Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022, "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, volume 61, issue C, DOI: 10.1016/j.jfs.2021.100960.
• Sabbaghi, Omid, 2022, "The impact of news on the volatility of ESG firms," Global Finance Journal, Elsevier, volume 51, issue C, DOI: 10.1016/j.gfj.2020.100570.
• Yousaf, Imran & Yarovaya, Larisa, 2022, "Static and dynamic connectedness between NFTs, Defi and other assets: Portfolio implication," Global Finance Journal, Elsevier, volume 53, issue C, DOI: 10.1016/j.gfj.2022.100719.
• Badescu, Alexandru & Quaye, Enoch & Tunaru, Radu, 2022, "On non-negative equity guarantee calculations with macroeconomic variables related to house prices," Insurance: Mathematics and Economics, Elsevier, volume 103, issue C, pages 119-138, DOI: 10.1016/j.insmatheco.2022.01.001.
• Pitera, Marcin & Schmidt, Thorsten, 2022, "Estimating and backtesting risk under heavy tails," Insurance: Mathematics and Economics, Elsevier, volume 104, issue C, pages 1-14, DOI: 10.1016/j.insmatheco.2022.01.006.
• Yin, Jie & Han, Bingyan & Wong, Hoi Ying, 2022, "COVID-19 and credit risk: A long memory perspective," Insurance: Mathematics and Economics, Elsevier, volume 104, issue C, pages 15-34, DOI: 10.1016/j.insmatheco.2022.01.008.
• Katsiampa, Paraskevi & Yarovaya, Larisa & Zięba, Damian, 2022, "High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 79, issue C, DOI: 10.1016/j.intfin.2022.101578.
• Chakraborty, Sandip & Kakani, Ram Kumar & Sampath, Aravind, 2022, "Portfolio risk and stress across the business cycle," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 80, issue C, DOI: 10.1016/j.intfin.2022.101623.
• Angelini, Giovanni & De Angelis, Luca & Singleton, Carl, 2022, "Informational efficiency and behaviour within in-play prediction markets," International Journal of Forecasting, Elsevier, volume 38, issue 1, pages 282-299, DOI: 10.1016/j.ijforecast.2021.05.012.
• Martin, Gael M. & Loaiza-Maya, Rubén & Maneesoonthorn, Worapree & Frazier, David T. & Ramírez-Hassan, Andrés, 2022, "Optimal probabilistic forecasts: When do they work?," International Journal of Forecasting, Elsevier, volume 38, issue 1, pages 384-406, DOI: 10.1016/j.ijforecast.2021.05.008.
• Berardi, Andrea & Plazzi, Alberto, 2022, "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, volume 134, issue C, DOI: 10.1016/j.jbankfin.2021.106286.
• Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022, "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, volume 134, issue C, DOI: 10.1016/j.jbankfin.2021.106339.
• Golosnoy, Vasyl & Gribisch, Bastian, 2022, "Modeling and forecasting realized portfolio weights," Journal of Banking & Finance, Elsevier, volume 138, issue C, DOI: 10.1016/j.jbankfin.2022.106404.
• De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael, 2022, "Large dynamic covariance matrices: Enhancements based on intraday data," Journal of Banking & Finance, Elsevier, volume 138, issue C, DOI: 10.1016/j.jbankfin.2022.106426.
• Bianchi, Daniele & Babiak, Mykola, 2022, "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, volume 138, issue C, DOI: 10.1016/j.jbankfin.2022.106467.
• Taylor, James W., 2022, "Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio," Journal of Banking & Finance, Elsevier, volume 140, issue C, DOI: 10.1016/j.jbankfin.2022.106519.
• Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022, "Trading volume and liquidity provision in cryptocurrency markets," Journal of Banking & Finance, Elsevier, volume 142, issue C, DOI: 10.1016/j.jbankfin.2022.106547.
• Hughes, Joseph P. & Moon, Choon-Geol, 2022, "How bad is a bad loan? Distinguishing inherent credit risk from inefficient lending (Does the capital market price this difference?)," Journal of Economics and Business, Elsevier, volume 120, issue C, DOI: 10.1016/j.jeconbus.2022.106058.
• Szőke, Bálint, 2022, "Estimating robustness," Journal of Economic Theory, Elsevier, volume 199, issue C, DOI: 10.1016/j.jet.2021.105225.
• Anarkulova, Aizhan & Cederburg, Scott & O’Doherty, Michael S., 2022, "Stocks for the long run? Evidence from a broad sample of developed markets," Journal of Financial Economics, Elsevier, volume 143, issue 1, pages 409-433, DOI: 10.1016/j.jfineco.2021.06.040.
• Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2022, "Realized semibetas: Disentangling “good” and “bad” downside risks," Journal of Financial Economics, Elsevier, volume 144, issue 1, pages 227-246, DOI: 10.1016/j.jfineco.2021.05.056.
• Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022, "Multivariate crash risk," Journal of Financial Economics, Elsevier, volume 145, issue 1, pages 129-153, DOI: 10.1016/j.jfineco.2021.07.016.
• Leippold, Markus & Wang, Qian & Zhou, Wenyu, 2022, "Machine learning in the Chinese stock market," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 64-82, DOI: 10.1016/j.jfineco.2021.08.017.
• Brož, Václav & Kočenda, Evžen, 2022, "Mortgage-related bank penalties and systemic risk among U.S. banks," Journal of International Money and Finance, Elsevier, volume 122, issue C, DOI: 10.1016/j.jimonfin.2021.102575.
• Campos-Martins, Susana & Amado, Cristina, 2022, "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, volume 123, issue C, DOI: 10.1016/j.jimonfin.2021.102596.
• Gong, Yuting & Ma, Chao & Chen, Qiang, 2022, "Exchange rate dependence and economic fundamentals: A Copula-MIDAS approach," Journal of International Money and Finance, Elsevier, volume 123, issue C, DOI: 10.1016/j.jimonfin.2021.102597.
• Anderegg, Benjamin & Ulmann, Florian & Sornette, Didier, 2022, "The impact of option hedging on the spot market volatility," Journal of International Money and Finance, Elsevier, volume 124, issue C, DOI: 10.1016/j.jimonfin.2022.102627.
• Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022, "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, volume 124, issue C, DOI: 10.1016/j.jimonfin.2022.102636.
• Han, Xuyuan & Liu, Zhenya & Wang, Shixuan, 2022, "An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting," Journal of Commodity Markets, Elsevier, volume 25, issue C, DOI: 10.1016/j.jcomm.2021.100188.
• Kassouri, Yacouba & Altıntaş, Halil, 2022, "The quantile dependence of the stock returns of “clean” and “dirty” firms on oil demand and supply shocks," Journal of Commodity Markets, Elsevier, volume 28, issue C, DOI: 10.1016/j.jcomm.2021.100238.
• Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022, "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, volume 28, issue C, DOI: 10.1016/j.jcomm.2022.100248.
• Costola, Michele & Lorusso, Marco, 2022, "Spillovers among energy commodities and the Russian stock market," Journal of Commodity Markets, Elsevier, volume 28, issue C, DOI: 10.1016/j.jcomm.2022.100249.
• Palazzi, Rafael Baptista & Meira, Erick & Klotzle, Marcelo Cabus, 2022, "The sugar-ethanol-oil nexus in Brazil: Exploring the pass-through of international commodity prices to national fuel prices," Journal of Commodity Markets, Elsevier, volume 28, issue C, DOI: 10.1016/j.jcomm.2022.100257.
• Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2022, "Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period," The Journal of Economic Asymmetries, Elsevier, volume 25, issue C, DOI: 10.1016/j.jeca.2021.e00239.
• Shah, Adil Ahmad & Dar, Arif Billah, 2022, "Asymmetric, time and frequency-based spillover transmission in financial and commodity markets," The Journal of Economic Asymmetries, Elsevier, volume 25, issue C, DOI: 10.1016/j.jeca.2022.e00241.
• Arfaoui, Mongi & Chkili, Walid & Ben Rejeb, Aymen, 2022, "Asymmetric and dynamic links in GCC Sukuk-stocks: Implications for portfolio management before and during the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, volume 25, issue C, DOI: 10.1016/j.jeca.2022.e00244.
• Azimova, Tarana, 2022, "Modelling volatility transmission in regional Asian stock markets," The Journal of Economic Asymmetries, Elsevier, volume 26, issue C, DOI: 10.1016/j.jeca.2022.e00274.
• Liu, Guangqiang & Guo, Xiaozhu, 2022, "Forecasting stock market volatility using commodity futures volatility information," Resources Policy, Elsevier, volume 75, issue C, DOI: 10.1016/j.resourpol.2021.102481.
• Gu, Jianqiang & Yue, Xiao-Guang & Nosheen, Safia & Naveed -ul-Haq, & Shi, Lei, 2022, "Does more stringencies in government policies during pandemic impact stock returns? Fresh evidence from GREF countries, a new emerging green bloc," Resources Policy, Elsevier, volume 76, issue C, DOI: 10.1016/j.resourpol.2022.102582.
• Mighri, Zouheir & Ragoubi, Hanen & Sarwar, Suleman & Wang, Yihan, 2022, "Quantile Granger causality between US stock market indices and precious metal prices," Resources Policy, Elsevier, volume 76, issue C, DOI: 10.1016/j.resourpol.2022.102595.
• Tuna, Gülfen & Tuna, Vedat Ender, 2022, "Are effects of COVID-19 pandemic on financial markets permanent or temporary? Evidence from gold, oil and stock markets," Resources Policy, Elsevier, volume 76, issue C, DOI: 10.1016/j.resourpol.2022.102637.
• Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022, "Upward/downward multifractality and efficiency in metals futures markets: The impacts of financial and oil crises," Resources Policy, Elsevier, volume 76, issue C, DOI: 10.1016/j.resourpol.2022.102645.
• Zhang, Lixia & Luo, Qin & Guo, Xiaozhu & Umar, Muhammad, 2022, "Medium-term and long-term volatility forecasts for EUA futures with country-specific economic policy uncertainty indices," Resources Policy, Elsevier, volume 77, issue C, DOI: 10.1016/j.resourpol.2022.102644.
• 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, volume 77, issue C, DOI: 10.1016/j.resourpol.2022.102656.
• Mei, Dexiang & Zhao, Chenchen & Luo, Qin & Li, Yan, 2022, "Forecasting the Chinese low-carbon index volatility," Resources Policy, Elsevier, volume 77, issue C, DOI: 10.1016/j.resourpol.2022.102732.
• Mensi, Walid & Ali, Syed Riaz Mahmood & Vo, Xuan Vinh & Kang, Sang Hoon, 2022, "Multiscale dependence, spillovers, and connectedness between precious metals and currency markets: A hedge and safe-haven analysis," Resources Policy, Elsevier, volume 77, issue C, DOI: 10.1016/j.resourpol.2022.102752.
• Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022, "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, volume 78, issue C, DOI: 10.1016/j.resourpol.2022.102852.
• Kakade, Kshitij & Jain, Ishan & Mishra, Aswini Kumar, 2022, "Value-at-Risk forecasting: A hybrid ensemble learning GARCH-LSTM based approach," Resources Policy, Elsevier, volume 78, issue C, DOI: 10.1016/j.resourpol.2022.102903.
• Liu, Xiaoxing & Shehzad, Khurram & Kocak, Emrah & Zaman, Umer, 2022, "Dynamic correlations and portfolio implications across stock and commodity markets before and during the COVID-19 era: A key role of gold," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.102985.
• Bossman, Ahmed & Agyei, Samuel Kwaku, 2022, "Interdependence structure of global commodity classes and African equity markets: A vector wavelet coherence analysis," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103039.
• Caporale, Guglielmo Maria & Çatık, Abdurrahman Nazif & Huyuguzel Kısla, Gul Serife & Helmi, Mohamad Husam & Akdeniz, Coşkun, 2022, "Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103044.
• 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, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103081.
• Maghyereh, Aktham & Awartani, Basel & Virk, Nader S., 2022, "Asymmetric risk transmissions between oil, gold and US equities: Recent evidence from the realized variance of the futures prices," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103108.
• Cheng, Tingting & Liu, Junli & Yao, Wenying & Zhao, Albert Bo, 2022, "The impact of COVID-19 pandemic on the volatility connectedness network of global stock market," Pacific-Basin Finance Journal, Elsevier, volume 71, issue C, DOI: 10.1016/j.pacfin.2021.101678.
• Jurdi, Doureige J., 2022, "Predicting the Australian equity risk premium," Pacific-Basin Finance Journal, Elsevier, volume 71, issue C, DOI: 10.1016/j.pacfin.2021.101683.
• Yousaf, Imran & Yarovaya, Larisa, 2022, "Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis," Pacific-Basin Finance Journal, Elsevier, volume 71, issue C, DOI: 10.1016/j.pacfin.2021.101705.
• Huang, Jing-Zhi & Ni, Jun & Xu, Li, 2022, "Leverage effect in cryptocurrency markets," Pacific-Basin Finance Journal, Elsevier, volume 73, issue C, DOI: 10.1016/j.pacfin.2022.101773.
• Hanif, Waqas & Areola Hernandez, Jose & Troster, Victor & Kang, Sang Hoon & Yoon, Seong-Min, 2022, "Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets," Pacific-Basin Finance Journal, Elsevier, volume 74, issue C, DOI: 10.1016/j.pacfin.2022.101822.
• Bui, Quynh & Ślepaczuk, Robert, 2022, "Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 592, issue C, DOI: 10.1016/j.physa.2021.126784.
• Caferra, Rocco, 2022, "Sentiment spillover and price dynamics: Information flow in the cryptocurrency and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 593, issue C, DOI: 10.1016/j.physa.2022.126983.
• Ahelegbey, Daniel Felix & Giudici, Paolo, 2022, "NetVIX — A network volatility index of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 594, issue C, DOI: 10.1016/j.physa.2022.127017.
• Zhang, Xiaoming & Zhang, Tong & Lee, Chien-Chiang, 2022, "The path of financial risk spillover in the stock market based on the R-vine-Copula model," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 600, issue C, DOI: 10.1016/j.physa.2022.127470.
• Chen, Xiao & Chong, Zhaohui & Giudici, Paolo & Huang, Bihong, 2022, "Network centrality effects in peer to peer lending," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 600, issue C, DOI: 10.1016/j.physa.2022.127546.
• Chebbi, Ali & Hedhli, Amel, 2022, "Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region," The Quarterly Review of Economics and Finance, Elsevier, volume 84, issue C, pages 430-445, DOI: 10.1016/j.qref.2020.09.005.
• Boamah, Nicholas Addai, 2022, "Segmentation, business environment and global informational efficiency of emerging financial markets," The Quarterly Review of Economics and Finance, Elsevier, volume 84, issue C, pages 52-60, DOI: 10.1016/j.qref.2022.01.010.
• Urom, Christian & Mzoughi, Hela & Ndubuisi, Gideon & Guesmi, Khaled, 2022, "Directional predictability and time-frequency spillovers among clean energy sectors and oil price uncertainty," The Quarterly Review of Economics and Finance, Elsevier, volume 85, issue C, pages 326-341, DOI: 10.1016/j.qref.2022.04.005.
• Shanaev, Savva & Ghimire, Binam, 2022, "A generalised seasonality test and applications for cryptocurrency and stock market seasonality," The Quarterly Review of Economics and Finance, Elsevier, volume 86, issue C, pages 172-185, DOI: 10.1016/j.qref.2022.07.002.
• Haffar, Adlane & Le Fur, Éric, 2022, "Time-varying dependence of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, volume 86, issue C, pages 211-220, DOI: 10.1016/j.qref.2022.07.008.
• Fasanya, Ismail O. & Oyewole, Oluwatomisin J. & Oliyide, Johnson A., 2022, "Investors' sentiments and the dynamic connectedness between cryptocurrency and precious metals markets," The Quarterly Review of Economics and Finance, Elsevier, volume 86, issue C, pages 347-364, DOI: 10.1016/j.qref.2022.08.009.
• Qadan, Mahmoud & Nisani, Doron & Eichel, Ron, 2022, "Irregularities in forward-looking volatility," The Quarterly Review of Economics and Finance, Elsevier, volume 86, issue C, pages 489-501, DOI: 10.1016/j.qref.2022.05.003.
• Yoon, Seong-Min, 2022, "On the interdependence between biofuel, fossil fuel and agricultural food prices: Evidence from quantile tests," Renewable Energy, Elsevier, volume 199, issue C, pages 536-545, DOI: 10.1016/j.renene.2022.08.136.
• Xu, Dinghai, 2022, "Canadian stock market volatility under COVID-19," International Review of Economics & Finance, Elsevier, volume 77, issue C, pages 159-169, DOI: 10.1016/j.iref.2021.09.015.
• Takamizawa, Hideyuki, 2022, "How arbitrage-free is the Nelson–Siegel model under stochastic volatility?," International Review of Economics & Finance, Elsevier, volume 79, issue C, pages 205-223, DOI: 10.1016/j.iref.2022.01.011.
• Salisu, Afees A. & Shaik, Muneer, 2022, "Islamic Stock indices and COVID-19 pandemic," International Review of Economics & Finance, Elsevier, volume 80, issue C, pages 282-293, DOI: 10.1016/j.iref.2022.02.073.
• Kundu, Srikanta & Paul, Amartya, 2022, "Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics," International Review of Economics & Finance, Elsevier, volume 80, issue C, pages 597-612, DOI: 10.1016/j.iref.2022.02.047.
• De Nard, Gianluca & Zhao, Zhao, 2022, "A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited," International Review of Economics & Finance, Elsevier, volume 80, issue C, pages 654-676, DOI: 10.1016/j.iref.2022.02.049.
• Su, Yuandong & Liang, Chao & Zhang, Li & Zeng, Qing, 2022, "Uncover the response of the U.S grain commodity market on El Niño–Southern Oscillation," International Review of Economics & Finance, Elsevier, volume 81, issue C, pages 98-112, DOI: 10.1016/j.iref.2022.05.003.
• d’Addona, Stefano & Khanom, Najrin, 2022, "Estimating tail-risk using semiparametric conditional variance with an application to meme stocks," International Review of Economics & Finance, Elsevier, volume 82, issue C, pages 241-260, DOI: 10.1016/j.iref.2022.05.012.
• Selmi, Refk & Bouoiyour, Jamal & Wohar, Mark E., 2022, "“Digital Gold” and geopolitics," Research in International Business and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.ribaf.2021.101512.
• Bosch, David & Smimou, K., 2022, "Traders’ motivation and hedging pressure in commodity futures markets," Research in International Business and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.ribaf.2021.101529.
• Demirer, Riza & Yuksel, Asli & Yuksel, Aydin, 2022, "Time-varying risk aversion and currency excess returns," Research in International Business and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.ribaf.2021.101555.
• Tachibana, Minoru, 2022, "Safe haven assets for international stock markets: A regime-switching factor copula approach," Research in International Business and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.ribaf.2021.101591.
• Ben Amor, Souhir & Althof, Michael & Härdle, Wolfgang Karl, 2022, "Financial Risk Meter for emerging markets," Research in International Business and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.ribaf.2021.101594.
• González-Sánchez, Mariano, 2022, "Factorial asset pricing models using statistical anomalies," Research in International Business and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.ribaf.2021.101595.
• Kaczmarek, Tomasz & Będowska-Sójka, Barbara & Grobelny, Przemysław & Perez, Katarzyna, 2022, "False Safe Haven Assets: Evidence From the Target Volatility Strategy Based on Recurrent Neural Network," Research in International Business and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.ribaf.2021.101610.
• Jiang, Kunliang & Zeng, Linhui & Song, Jiashan & Liu, Yimeng, 2022, "Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model," Research in International Business and Finance, Elsevier, volume 61, issue C, DOI: 10.1016/j.ribaf.2022.101634.