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Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks

Citations

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  1. Lau, Chi Keung & Soliman, Alaa M. & Albasu, Joseph & Gozgor, Giray, 2023. "Dependence structures among geopolitical risks, energy prices, and carbon emissions prices," Resources Policy, Elsevier, vol. 83(C).
  2. Jun Long & Xianghui Yuan & Liwei Jin & Chencheng Zhao, 2024. "Connectedness and risk spillover in China's commodity futures sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 784-802, May.
  3. Le, Trung H. & Pham, Linh & Do, Hung X., 2023. "Price risk transmissions in the water-energy-food nexus: Impacts of climate risks and portfolio implications," Energy Economics, Elsevier, vol. 124(C).
  4. 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).
  5. Ling, Aifan & Li, Jinlong & Zhang, Yugui, 2023. "Can firms with higher ESG ratings bear higher bank systemic tail risk spillover?—Evidence from Chinese A-share market," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  6. Urom, Christian, 2023. "Time–frequency dependence and connectedness between financial technology and green assets," International Economics, Elsevier, vol. 175(C), pages 139-157.
  7. Guangxi Cao & Fei Xie, 2024. "Extreme risk spillovers across energy and carbon markets: Evidence from the quantile extended joint connectedness approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2155-2175, April.
  8. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Quantile spillovers and connectedness analysis between oil and African stock markets," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 60-83.
  9. 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.
  10. Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Shin, Yongcheol, 2023. "What is mine is yours: Sovereign risk transmission during the European debt crisis," Journal of Financial Stability, Elsevier, vol. 65(C).
  11. Elsayed, Ahmed H. & Ahmed, Habib & Husam Helmi, Mohamad, 2023. "Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  12. 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.
  13. Nong, Huifu & Liu, Hongxiao, 2023. "Measuring the frequency and quantile connectedness between policy categories and global oil price," Resources Policy, Elsevier, vol. 83(C).
  14. 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).
  15. Lin, Xudong & Meng, Yiqun & Zhu, Hao, 2023. "How connected is the crypto market risk to investor sentiment?," Finance Research Letters, Elsevier, vol. 56(C).
  16. Mohammed, Kamel Si & Obeid, Hassan & Oueslati, Karim & Kaabia, Olfa, 2023. "Investor sentiments, economic policy uncertainty, US interest rates, and financial assets: Examining their interdependence over time," Finance Research Letters, Elsevier, vol. 57(C).
  17. 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. 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).
  19. Rehman, Mobeen Ur & Nautiyal, Neeraj & Vo, Xuan Vinh & Ghardallou, Wafa & Kang, Sang Hoon, 2023. "Is the impact of oil shocks more pronounced during extreme market conditions?," Resources Policy, Elsevier, vol. 85(PA).
  20. Bai, Lan & Wei, Yu & Zhang, Jiahao & Wang, Yizhi & Lucey, Brian M., 2023. "Diversification effects of China's carbon neutral bond on renewable energy stock markets: A minimum connectedness portfolio approach," Energy Economics, Elsevier, vol. 123(C).
  21. Abdullah, Mohammad & Abakah, Emmanuel Joel Aikins & Wali Ullah, G M & Tiwari, Aviral Kumar & Khan, Isma, 2023. "Tail risk contagion across electricity markets in crisis periods," Energy Economics, Elsevier, vol. 127(PB).
  22. Umar, Zaghum & Bossman, Ahmed, 2023. "Quantile connectedness between oil price shocks and exchange rates," Resources Policy, Elsevier, vol. 83(C).
  23. 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).
  24. Zhongzheng, Wang, 2023. "Extreme risk transmission mechanism between oil, green bonds and new energy vehicles," Innovation and Green Development, Elsevier, vol. 2(3).
  25. 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).
  26. 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).
  27. Chishti, Muhammad Zubair & Dogan, Eyup & Zaman, Umer, 2023. "Effects of the circular economy, environmental policy, energy transition, and geopolitical risk on sustainable electricity generation," Utilities Policy, Elsevier, vol. 82(C).
  28. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions," Research in International Business and Finance, Elsevier, vol. 65(C).
  29. 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.
  30. Do, Hung Xuan & Nepal, Rabindra & Pham, Son Duy & Jamasb, Tooraj, 2023. "Electricity Market Crisis in Europe and Cross Border Price Effects: A Quantile Return Connectedness Analysis," Working Papers 8-2023, Copenhagen Business School, Department of Economics.
  31. Duc Hong Vo & Minh Phuoc-Bao Tran, 2023. "Do geopolitical risks from the economic powers dominate world gold return? Evidence from the quantile connectedness approach," Economic Change and Restructuring, Springer, vol. 56(6), pages 4661-4688, December.
  32. Nyakurukwa, Kingstone & Seetharam, Yudhvir, 2023. "Quantile and asymmetric return connectedness among BRICS stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  33. Sinem Derindere Köseoğlu, 2023. "Understanding Systemic Risk Dynamics and Economic Growth: Evidence from the Turkish Banking System," Sustainability, MDPI, vol. 15(19), pages 1-24, September.
  34. Jonas Krampe & Luca Margaritella, 2024. "Global bank network connectedness revisited: What is common, idiosyncratic and when?," Papers 2402.02482, arXiv.org.
  35. 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).
  36. Li, Yueshan & Chen, Shoudong & Goodell, John W. & Yue, Dianmin & Liu, Xutang, 2023. "Sectoral spillovers and systemic risks: Evidence from China," Finance Research Letters, Elsevier, vol. 55(PB).
  37. Huthaifa Sameeh Alqaralleh, 2023. "The extreme spillover from climate policy uncertainty to the Chinese sector stock market: wavelet time-varying approach," Letters in Spatial and Resource Sciences, Springer, vol. 16(1), pages 1-17, December.
  38. Kai‐Hua Wang & Zu‐Shan Wang & Hong‐Wen Liu & Xin Li, 2023. "Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 37(2), pages 96-118, November.
  39. Evrim Mandaci, Pınar & Azimli, Asil & Mandaci, Nazif, 2023. "The impact of geopolitical risks on connectedness among natural resource commodities: A quantile vector autoregressive approach," Resources Policy, Elsevier, vol. 85(PA).
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