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EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness
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- Kamal, Javed Bin & Hassan, M. Kabir, 2022. "Asymmetric connectedness between cryptocurrency environment attention index and green assets," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
- Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
- Juncal Cunado & David Gabauer & Rangan Gupta, 2021. "Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach," Working Papers 202180, University of Pretoria, Department of Economics.
- Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
- Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
- Khan, Khalid & Su, Chi Wei & Koseoglu, Sinem Derindere, 2022. "Who are the influencers in the commodity markets during COVID-19?," Resources Policy, Elsevier, vol. 78(C).
- Rao, Amar & Lucey, Brian & Kumar, Satish & Lim, Weng Marc, 2023. "Do green energy markets catch cold when conventional energy markets sneeze?," Energy Economics, Elsevier, vol. 127(PA).
- Giannellis, Nikolaos, 2022. "Cryptocurrency market connectedness in Covid-19 days and the role of Twitter: Evidence from a smooth transition regression model," Research in International Business and Finance, Elsevier, vol. 63(C).
- Panagiotis Palaios & Evangelia Papapetrou, 2022. "Oil prices, labour market adjustment and dynamic quantile connectedness analysis: evidence from Greece during the crisis," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 11(1), pages 1-21, December.
- Chatziantoniou, Ioannis & Gabauer, David & Stenfors, Alexis, 2021.
"Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach,"
Economics Letters, Elsevier, vol. 204(C).
- Ioannis Chatziantoniou & David Gabauer & Alexis Stenfors, 2021. "Interest Rate Swaps and the Transmission Mechanism of Monetary Policy: A Quantile Connectedness Approach," Working Papers in Economics & Finance 2021-03, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Muneer Shaik & Mohd Ziaur Rehman, 2023. "The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 231-246, March.
- Chang, Hao-Wen & Chang, Tsangyao & Ling, Yuan Hung & Yang, Yung-Lieh, 2023. "Dynamical linkages between the Brent oil price and stock markets in BRICS using quantile connectedness approach," Finance Research Letters, Elsevier, vol. 54(C).
- Samia Nasreen & Aviral Kumar Tiwari & Seong-Min Yoon, 2021. "Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market," Sustainability, MDPI, vol. 13(14), pages 1-14, July.
- Lu, Chengwu & Zafar, Muhammad Wasif & Cevik, Emrah I. & Destek, Mehmet Akif & Bugan, Mehmet Fatih, 2023. "Time and quantile domain connectedness between the geopolitical risk of China and precious metals markets," Resources Policy, Elsevier, vol. 85(PA).
- Aharon, David Y. & Kizys, Renatas & Umar, Zaghum & Zaremba, Adam, 2023. "Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices," Research in International Business and Finance, Elsevier, vol. 64(C).
- Aharon, David Y. & Umar, Zaghum & Aziz, Mukhriz Izraf Azman & Vo, Xuan vinh, 2022. "COVID-19 related media sentiment and the yield curve of G-7 economies," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
- 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).
- Syeda Beena Zaidi & Abidullah Khan & Shabeer Khan & Mohd Ziaur Rehman & Wadi B. Alonazi & Abul Ala Noman, 2023. "Connectedness between Pakistan’s Stock Markets with Global Factors: An Application of Quantile VAR Network Model," Mathematics, MDPI, vol. 11(19), pages 1-17, October.
- 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).
- Aharon, David Y. & Qadan, Mahmoud, 2022. "Infection, invasion, and inflation: Recent lessons," Finance Research Letters, Elsevier, vol. 50(C).
- Ersan, Oguz & Demir, Ender & Assaf, Ata, 2022. "Connectedness among fan tokens and stocks of football clubs," Research in International Business and Finance, Elsevier, vol. 63(C).
- Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
- Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & de Gracia, Fernando Perez, 2023. "Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 114-123.
- 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).
- Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022.
"Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios,"
International Review of Financial Analysis, Elsevier, vol. 83(C).
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & David Gabauer, 2021. "Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios," Working Papers 202161, University of Pretoria, Department of Economics.
- Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
- 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.
- Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022.
"Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
- Ioannis Chatziantoniou & David Gabauer & Alexis Stenfors, 2021. "Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves," Working Papers in Economics & Finance 2021-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Shahzad, Umer & Ghaemi Asl, Mahdi & Panait, Mirela & Sarker, Tapan & Apostu, Simona Andreea, 2023. "Emerging interaction of artificial intelligence with basic materials and oil & gas companies: A comparative look at the Islamic vs. conventional markets," Resources Policy, Elsevier, vol. 80(C).
- Lastrapes, William D. & Wiesen, Thomas F.P., 2021. "The joint spillover index," Economic Modelling, Elsevier, vol. 94(C), pages 681-691.
- Cunado, Juncal & Chatziantoniou, Ioannis & Gabauer, David & de Gracia, Fernando Perez & Hardik, Marfatia, 2023. "Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures," Journal of Commodity Markets, Elsevier, vol. 30(C).
- Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022. "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers 202212, University of Pretoria, Department of Economics.
- Wael Hemrit & Noureddine Benlagha & Racha Ben Arous & Mounira Ben Arab, 2023. "Exploring the time‐frequency connectedness among non‐fungible tokens and developed stock markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(4), pages 192-207, October.
- 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.
- Nyakurukwa, Kingstone & Seetharam, Yudhvir, 2023. "Quantile and asymmetric return connectedness among BRICS stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
- Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021. "Financial stress, economic policy uncertainty, and oil price uncertainty," Energy Economics, Elsevier, vol. 104(C).
- Sikorska-Pastuszka, Magdalena & Papież, Monika, 2023. "Dynamic volatility connectedness in the European electricity market," Energy Economics, Elsevier, vol. 127(PA).
- 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).
- Elie Bouri & Riza Demirer & David Gabauer & Rangan Gupta, 2020. "Sentiment and Financial Market Connectedness: The Role of Investor Happiness," Working Papers 202022, University of Pretoria, Department of Economics.
- 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.
- Balli, Faruk & Balli, Hatice Ozer & Dang, Tam Hoang Nhat & Gabauer, David, 2023. "Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market," Finance Research Letters, Elsevier, vol. 57(C).
- Bouri, Elie & Demirer, Riza & Gabauer, David & Gupta, Rangan, 2022. "Financial market connectedness: The role of investors’ happiness," Finance Research Letters, Elsevier, vol. 44(C).
- Gabauer, David, 2021. "Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
- 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.
- Guo, Jin & Tanaka, Tetsuji, 2022. "Do biofuel production and financial speculation in agricultural commodities influence African food prices? New evidence from a TVP-VAR extended joint connectedness approach," Energy Economics, Elsevier, vol. 116(C).
- 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).
- Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021. "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers 202152, University of Pretoria, Department of Economics.
- 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).