create a website

Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic. (2023). Gok, Remzi ; Gemici, Eray ; Bouri, Elie.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923001496.

Full description at Econpapers || Download paper

Cited: 8

Citations received by this document

Cites: 84

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Can the price fluctuations of Shanghai crude oil futures affect Asian financial markets? Evidence from the time and frequency dynamics analysis of spillover connectedness. (2025). Yu, Qiuju ; Rahman, Rosmanjawati Abdul ; Wu, Yimin.
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:24:y:2025:i:2:d:10.1007_s10258-024-00262-9.

    Full description at Econpapers || Download paper

  2. The Global Financial Cycle and country risk in emerging markets during stress episodes: A Copula-CoVaR approach. (2025). Romero, José ; Ramrez-Gonzlez, Mahicol Stiben ; Melo-Velandia, Luis Fernando.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003945.

    Full description at Econpapers || Download paper

  3. Extreme dependence, connectedness, and causality between US sector stocks and oil shocks. (2025). Mensi, Walid ; Gk, Remzi ; Kang, Sang Hoon ; Vo, Xuan Vinh ; Gemici, Eray.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000991.

    Full description at Econpapers || Download paper

  4. Who’s more efficient and drives others? Profit sharing rates vs. deposit rates. (2025). Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat ; Gk, Remzi.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:99:y:2025:i:c:s106297692400156x.

    Full description at Econpapers || Download paper

  5. Network structure, dynamic evolution and block characteristics of sovereign debt risk: The global evidence. (2024). Guo, Wenjing ; Zhou, Yuqin ; Song, Ziyu ; Liu, Yilong ; Wu, Shan.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:72:y:2024:i:pa:s027553192400285x.

    Full description at Econpapers || Download paper

  6. Corporate bond defaults and spillover effects on bank risk: Evidence from city commercial banks in China. (2024). Ouyang, Yiling ; Wang, Yaxin ; Gao, Haoyu.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000448.

    Full description at Econpapers || Download paper

  7. The determinants of Turkish CDS volatility: An ARDL approach covering COVID period. (2024). Sunal, Onur ; Yaci, Filiz.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924000930.

    Full description at Econpapers || Download paper

  8. Examining the nexus between oil shocks and sovereign credit risk: Multidimensional insights from major oil exporters. (2024). Naifar, Nader.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400130x.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Adekoya, O.B. ; Oliyide, J.A. How COVID-19 drives connectedness among commodity and financial markets: evidence from TVP-VAR and causality-in-quantiles techniques. 2021 Resour. Policy. 70 -

  2. Akhtaruzzaman, M. ; Boubaker, S. ; Lucey, B.M. ; Sensoy, A. Is gold a hedge or safe haven asset during COVID-19 crisis?. 2021 Econ. Model.. 105588 -
    Paper not yet in RePEc: Add citation now
  3. Alshater, M.M. ; Alqaralleh, H. ; El Khoury, R. Dynamic asymmetric connectedness in technological sectors. 2023 J. Econ. Asymmetries. 27 -

  4. Ando, T. ; Greenwood-Nimmo, M. ; Shin, Y. Quantile connectedness: modeling tail behavior in the topology of financial networks. 2022 Manag. Sci.. 68 2401-2431

  5. Antonakakis, N. ; Chatziantoniou, I. ; Gabauer, D. Cryptocurrency market contagion: market uncertainty, market complexity, and dynamic portfolios. 2019 J. Int. Financ. Mark., Inst. Money. 61 37-51

  6. Antonakakis, N. ; Chatziantoniou, I. ; Gabauer, D. Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. 2020 J. Risk Financ. Manag.. 13 84-

  7. Apostolakis, G.N. ; Floros, C. ; Gkillas, K. ; Wohar, M. Political uncertainty, COVID-19 pandemic and stock market volatility transmission. 2021 J. Int. Financ. Mark., Inst. Money. 74 -

  8. Arbaa, O. ; Varon, E. Turkish currency crisis – spillover effects on European banks. 2019 Borsa Istanb. Rev.. 19 372-378
    Paper not yet in RePEc: Add citation now
  9. Badshah, I. ; Demirer, R. ; Suleman, M.T. The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging. 2019 Energy Econ.. 84 -

  10. Baker, S.R. , Bloom, N. , Davis, S.J. , Kost, K.J. , Sammon, M.C. , Viratyosin, T. , 2020. The unprecedented stock market impact of COVID-19. National Bureau of Economic Research (NBER) Working Paper, (No. w26945).

  11. Baker, S.R. ; Bloom, N. ; Davis, S.J. Economic policy uncertainty index for United States [USEPUINDXD], retrieved from FRED. 2023 Fed. Reserve Bank St. Louis. 15 2023-
    Paper not yet in RePEc: Add citation now
  12. Balcilar, M. ; Gabauer, D. ; Umar, Z. Crude oil futures contracts and commodity markets: new evidence from a TVP-VAR extended joint connectedness approach. 2021 Resour. Policy. 73 -
    Paper not yet in RePEc: Add citation now
  13. Bani-Khalaf, O. ; Taspinar, N. Oil and gold return spillover and stock market elasticity during COVID-19 pandemic: a comparative study between the stock markets of oil-exporting countries and oil-importing countries in the Middle East. 2022 Resour. Policy. 79 -
    Paper not yet in RePEc: Add citation now
  14. Ben Amar, A. ; Bélaïd, F. ; Ben Youssef, A. ; Guesmi, K. Connectedness among regional financial markets in the context of the COVID-19. 2021 Appl. Econ. Lett.. 28 1789-1796

  15. Benkraiem, R. ; Garfatta, R. ; Lakhal, F. ; Zorgati, I. Financial contagion intensity during the COVID-19 outbreak: a copula approach. 2022 Int. Rev. Financ. Anal.. 81 -

  16. Billah, M. ; Karim, S. ; Naeem, M.A. ; Vigne, S.A. Return and volatility spillovers between energy and BRIC markets: evidence from quantile connectedness. 2022 Res. Int. Bus. Financ.. 62 -

  17. Bou-Hamad, I. ; Hoteit, R. ; Harajli, D. ; Reykowska, D. Personal economic worries in response to COVID-19 pandemic: a cross sectional study. 2022 Front. Psychol.. 13 -
    Paper not yet in RePEc: Add citation now
  18. Bouri, E. ; Cepni, O. ; Gabauer, D. ; Gupta, R. Return connectedness across asset classes around the COVID-19 outbreak. 2021 Int. Rev. Financ. Anal.. 73 -
    Paper not yet in RePEc: Add citation now
  19. Bouri, E. ; Harb, E. The size of extreme good and bad stock volatility shocks does matter. Journal of international financial markets. 2022 Inst. Money. 80 -
    Paper not yet in RePEc: Add citation now
  20. Bouri, E. ; Lucey, B. ; Saeed, T. ; Vo, X.V. The realized volatility of commodity futures: interconnectedness and determinants. 2021 Int. Rev. Econ. Financ.. 73 139-151

  21. Buyukkara, G. ; Kucukozmen, C.C. ; Uysal, E.T. Optimal hedge ratios and hedging effectiveness: an analysis of the Turkish futures market. 2022 Borsa Istanb. Rev.. 22 92-102
    Paper not yet in RePEc: Add citation now
  22. Çakmaklı, C., Demiralp, S., Yeşiltaş, S., Yıldırım, M.A. , 2021. An evaluation of the Turkish economy during Covid-19. Centre For Applied Turkey Studies (CATS).
    Paper not yet in RePEc: Add citation now
  23. Caldara, D. ; Iacoviello, M. Measuring geopolitical risk. 2022 Am. Econ. Rev.. 112 1194-1225

  24. Christoffersen, P. ; Errunza, V. ; Jacobs, K. ; Jin, X. Correlation dynamics and international diversification benefits. 2014 Int. J. Forecast.. 30 807-824

  25. Cuñado, J., Gabauer, D., Chatziantoniou, I., de Gracia, F.P., Marfatia, H. , 2022. Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures (SSRN Scholarly Paper No. 4106878). https://doi.org/10.2139/ssrn.4106878.
    Paper not yet in RePEc: Add citation now
  26. Diebold, F.X. ; Yılmaz, K. On the network topology of variance decompositions: measuring the connectedness of financial firms. 2014 J. Econ.. 182 119-134

  27. Dornbusch, R. ; Park, Y.C. ; Claessens, S. Contagion: understanding How It Spreads. 2000 World Bank Res. Obs.. 15 177-197

  28. Ederington, L.H. The hedging performance of the new futures markets. 1979 J. Financ.. 34 157-170

  29. Elliott, G. ; Rothenberg, T.J. ; Stock, J.H. Efficient tests for an autoregressive unit root. 1996 Econometrica. 64 813-836

  30. Elsayed, A.H. ; Gozgor, G. ; Lau, C.K.M. Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: the role of global uncertainties. 2022 Int. Rev. Financ. Anal.. 81 -

  31. Fasanya, I.O. ; Oyewole, O. ; Adekoya, O.B. ; Odei-Mensah, J. Dynamic spillovers and connectedness between COVID-19 pandemic and global foreign exchange markets. 2021 Econ. Res. -Èkon. Istraživanja. 34 2059-2084

  32. Feng, Q. ; Sun, X. ; Liu, C. ; Li, J. Spillovers between sovereign CDS and exchange rate markets: the role of market fear. 2021 North Am. J. Econ. Financ.. 55 -

  33. Fouad, F.M. ; Soares, L. ; Diab, J.L. ; Abouzeid, A. The political economy of health in conflict: lessons learned from three states in the eastern mediterranean region during COVID-19. 2022 J. Glob. Health. 12-
    Paper not yet in RePEc: Add citation now
  34. Gök, R. Identification of multiple bubbles in Turkish financial markets: evidence from GSADF approach. 2021 Marmara Univ. J. Econ. Adm. Sci.. 43 231-252
    Paper not yet in RePEc: Add citation now
  35. Gozgor, G. ; Khalfaoui, R. ; Yarovaya, L. Global supply chain pressure and commodity markets: evidence from multiple wavelet and quantile connectedness analyses. 2023 Financ. Res. Lett.. 54 -

  36. Gürbüz, S. ; Şahbaz, A. Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: the case of Borsa İstanbul. 2022 Borsa Istanb. Rev.. 22 321-331
    Paper not yet in RePEc: Add citation now
  37. Jarque, C.M. ; Bera, A.K. Efficient tests for normality, homoscedasticity and serial independence of regression residuals. 1980 Econ. Lett.. 6 255-259

  38. Ji, Q. ; Zhang, D. ; Zhao, Y. Searching for safe-haven assets during the COVID-19 pandemic. 2020 Int. Rev. Financ. Anal.. 71 -

  39. Kang, S.H. ; Lee, J.W. The network connectedness of volatility spillovers across global futures markets. 2019 Phys. A: Stat. Mech. Its Appl.. 526 -

  40. Kočenda, E. ; Moravcová, M. Exchange rate comovements, hedging and volatility spillovers on new EU forex markets. 2019 J. Int. Financ. Mark., Inst. Money. 58 42-64

  41. Kodres, L.E. ; Pritsker, M. A rational expectations model of financial contagion. 2002 J. Financ.. 57 769-799

  42. Kroner, K. ; Ng, V. Modeling asymmetric movement of asset prices. 1998 Rev. Financ. Stud.. 11 844-871
    Paper not yet in RePEc: Add citation now
  43. Kroner, K.F. ; Sultan, J. Time-varying distributions and dynamic hedging with foreign currency futures. 1993 J. Financ. Quant. Anal.. 28 535-551

  44. Lastrapes, W.D. ; Wiesen, T.F.P. The joint spillover index. 2021 Econ. Model.. 94 681-691

  45. Li, Y. ; Huang, J. ; Chen, J. Dynamic spillovers of geopolitical risks and gold prices: new evidence from 18 emerging economies. 2021 Resour. Policy. 70 -

  46. Liao, Y. ; Pan, Z. Extreme risk connectedness among global major financial institutions: Links to globalization and emerging market fear. 2022 Pac. -Basin Financ. J.. 76 -

  47. Liu, B.Y. ; Fan, Y. ; Ji, Q. ; Hussain, N. High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system. 2022 Energy Econ.. 105 -

  48. Liu, P. ; Power, G.J. ; Vedenov, D. Fair-weather Friends? Sector-specific volatility connectedness and transmission. 2021 Int. Rev. Econ. Financ.. 76 712-736

  49. Long, S. ; Tian, H. ; Li, Z. Dynamic spillovers between uncertainties and green bond markets in the US, Europe, and China: evidence from the quantile VAR framework. 2022 Int. Rev. Financ. Anal.. 84 -

  50. Maghyereh, A. ; Abdoh, H. COVID-19 and the volatility interlinkage between bitcoin and financial assets. 2022 Empir. Econ.. -

  51. Maillard, S. ; Roncalli, T. ; Teïletche, J. The properties of equally weighted risk contribution portfolios. 2010 J. Portf. Manag.. 36 60-70

  52. Mansour-Ichrakieh, L. ; Zeaiter, H. The role of geopolitical risks on the Turkish economy opportunity or threat. 2019 North Am. J. Econ. Financ.. 50 -

  53. Markovitz, H.M. Portfolio Selection: Efficient Diversification of Investments. 1959 John Wiley:
    Paper not yet in RePEc: Add citation now
  54. Mensi, W. ; El Khoury, R. ; Ali, S.R.M. ; Vo, X.V. ; Kang, S.H. Quantile dependencies and connectedness between the gold and cryptocurrency markets: Effects of the COVID-19 crisis. 2023 Res. Int. Bus. Financ.. -

  55. Mensi, W. ; Hernandez, J.A. ; Yoon, S.-M. ; Vo, X.V. ; Kang, S.H. Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor. 2021 Int. Rev. Financ. Anal.. 74 -

  56. Mensi, W. ; Sensoy, A. ; Vo, X.V. ; Kang, S.H. Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis. 2022 North Am. J. Econ. Financ.. 62 -

  57. Mensi, W. ; Shafiullah, M. ; Vo, X.V. ; Kang, S.H. Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies. 2021 Resour. Policy. 71 -

  58. Nasreen, S. ; Tiwari, A.K. ; Yoon, S.M. Dynamic connectedness and portfolio diversification during the coronavirus disease 2019 pandemic: Evidence from the cryptocurrency market. 2021 Sustainability. 13 7672-
    Paper not yet in RePEc: Add citation now
  59. Nekhili, R. ; Mensi, W. ; Vo, X.V. Multiscale spillovers and connectedness between gold, copper, oil, wheat and currency markets. 2021 Resour. Policy. 74 -

  60. Parkinson, M. The extreme value method for estimating the variance of the rate of return. 1980 J. Bus.. 53 61-65

  61. Pham, L. ; Do, H.X. Green bonds and implied volatilities: dynamic causality, spillovers, and implications for portfolio management. 2022 Energy Econ.. 112 -

  62. Saeed, T. ; Bouri, E. ; Alsulami, H. Extreme return connectedness and its determinants between clean/green and dirty energy investments. 2021 Energy Econ.. 96 -

  63. Salisu, A.A. ; Ayinde, T.O. Testing for spillovers in naira exchange rates: the role of electioneering & global financial crisis. 2018 Borsa Istanb. Rev.. 18 341-348

  64. Sehgal, S. ; Sobti, N. ; Diesting, F. Who leads in intraday gold price discovery and volatility connectedness: spot, futures, or exchange-traded fund?. 2021 J. Futures Mark.. 41 1092-1123

  65. Sensoy, A. ; Fabozzi, F.J. ; Eraslan, V. Predictability dynamics of emerging sovereign CDS markets. 2017 Econ. Lett.. 161 5-9

  66. Sensoy, A. ; Tabak, B.M. Dynamic efficiency of stock markets and exchange rates. 2016 Int. Rev. Financ. Anal.. 47 353-371

  67. Sharpe, W.F. The Sharpe ratio. 1994 J. Portf. Manag.. 21 49-58
    Paper not yet in RePEc: Add citation now
  68. So, M.K.P. ; Chu, A.M.Y. ; Chan, T.W.C. Impacts of the COVID-19 pandemic on financial market connectedness. 2021 Financ. Res. Lett.. 38 -
    Paper not yet in RePEc: Add citation now
  69. Su, C.W. ; Pang, L. ; Umar, M. ; Lobonţ, O.R. Will gold always shine amid world uncertainty?. 2022 Emerg. Mark. Financ. Trade. 58 3425-3438

  70. Su, Z. ; Xu, F. Dynamic identification of systemically important financial markets in the spread of contagion: a ripple network based collective spillover effect approach. 2021 J. Multinatl. Financ. Manag.. 60 -

  71. Tiwari, A.K. ; Abakah, E.J.A. ; Adewuyi, A.O. ; Lee, C.C. Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak. 2022 Energy Econ.. 113 -

  72. Tiwari, A.K. ; Cunado, J. ; Gupta, R. ; Wohar, M.E. Volatility spillovers across global asset classes: evidence from time and frequency domains. 2018 Q. Rev. Econ. Financ.. 70 194-202

  73. Tokat, E. ; Tokat, H.A. Shock and volatility transmission in the futures and spot markets: evidence from Turkish markets. 2010 Emerg. Mark. Financ. Trade. 46 92-104

  74. Uddin, G.S. ; Shahzad, S.J.H. ; Boako, G. ; Hernandez, J.A. ; Lucey, B.M. Heterogeneous interconnections between precious metals: Evidence from asymmetric and frequency-domain spillover analysis. 2019 Resour. Policy. 64 -

  75. Umar, Z. ; Aziz, S. ; Tawil, D. The impact of COVID-19 induced panic on the return and volatility of precious metals. 2021 J. Behav. Exp. Financ.. 31 -

  76. Umar, Z. ; Jareño, F. ; Escribano, A. Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era. 2022 Appl. Econ.. 54 1030-

  77. Wei, P. ; Qi, Y. ; Ren, X. ; Gozgor, G. The role of the COVID-19 pandemic in time-frequency connectedness between oil market shocks and green bond markets: evidence from the wavelet-based quantile approaches. 2023 Energy Econ.. 121 -

  78. Wen, T. ; Wang, G.-J. Volatility connectedness in global foreign exchange markets. 2020 J. Multinatl. Financ. Manag.. 54 -

  79. World Bank. , 2022. Turkey Economic Monitor, February 2022: Sailing against the Tide. World Bank, Washington, DC. World Bank. https://openknowledge.worldbank.org/handle/10986/34318 License: CC BY 3.0 IGO.
    Paper not yet in RePEc: Add citation now
  80. Wu, H. ; Zhu, H. ; Huang, F. ; Mao, W. How does economic policy uncertainty drive time–frequency connectedness across commodity and financial markets?. 2023 North Am. J. Econ. Financ.. 64 -

  81. Wu, W. ; Wang, L. ; Erzurumlu, Y.O. ; Gozgor, G. ; Yang, G. Effects of country and geopolitical risks on income inequality: evidence from emerging economies. 2022 Emerg. Mark. Financ. Trade. 58 4218-4230

  82. Yildirim, Z. Global financial conditions and asset markets: evidence from fragile emerging economies. 2016 Econ. Model.. 57 208-220

  83. Yousaf, I. ; Nekhili, R. ; Umar, M. Extreme connectedness between renewable energy tokens and fossil fuel markets. 2022 Energy Econ.. 114 -

  84. Zhang, D. ; Broadstock, D.C. Global financial crisis and rising connectedness in the international commodity markets. 2020 Int. Rev. Financ. Anal.. 68 -

Cocites

Documents in RePEc which have cited the same bibliography

  1. Hedging commodities in times of distress: The case of COVID‐19. (2022). Tabak, Benjamin ; Silva, Thiago ; Magalhaes, Luiz Augusto ; Magalhes, Luiz Augusto.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1941-1959.

    Full description at Econpapers || Download paper

  2. Dynamic dependence between clean investments and economic policy uncertainty. (2022). Guesmi, K ; Mzoughi, Hela ; Ndubuisi, Gideon ; Urom, C.
    In: MERIT Working Papers.
    RePEc:unm:unumer:2022027.

    Full description at Econpapers || Download paper

  3. Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets. (2022). Ye, Zhitao ; Lu, Xunfa ; Lin, Xiao ; Lai, Kin Keung ; Cui, Hairong.
    In: Mathematics.
    RePEc:gam:jmathe:v:10:y:2022:i:4:p:571-:d:747699.

    Full description at Econpapers || Download paper

  4. Fundamentals vs. Financialization during Extreme Events: From Backwardation to Contango, a Copper Market Analysis during the COVID-19 Pandemic. (2022). Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio.
    In: Mathematics.
    RePEc:gam:jmathe:v:10:y:2022:i:4:p:559-:d:747076.

    Full description at Econpapers || Download paper

  5. Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks. (2022). Long, Shaobo ; Guo, Jiaqi.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922000770.

    Full description at Econpapers || Download paper

  6. Directional predictability and time-frequency spillovers among clean energy sectors and oil price uncertainty. (2022). Guesmi, Khaled ; Mzoughi, Hela ; Ndubuisi, Gideon ; Urom, Christian.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:85:y:2022:i:c:p:326-341.

    Full description at Econpapers || Download paper

  7. Connectedness between the COVID-19 related media coverage and Islamic equities: The role of economic policy uncertainty. (2022). Umar, Zaghum ; Mokni, Khaled ; Escribano, Ana.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:75:y:2022:i:c:s0927538x22001469.

    Full description at Econpapers || Download paper

  8. 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. (2022). Yousaf, Imran ; Beljid, Makram ; Chaibi, Anis ; al Ajlouni, Ahmed.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:73:y:2022:i:c:s0927538x22000592.

    Full description at Econpapers || Download paper

  9. A comparative analysis of the financialization of commodities during COVID-19 and the global financial crisis using a quantile regression approach. (2022). Sharma, Aarzoo.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003671.

    Full description at Econpapers || Download paper

  10. Gold-oil dynamic relationship and the asymmetric role of geopolitical risks: Evidence from Bayesian pdBEKK-GARCH with regime switching. (2022). Cao, Yan ; Cheng, Sheng ; Liang, Ruibin ; Jiang, Qisheng ; Han, Lingyu.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003610.

    Full description at Econpapers || Download paper

  11. How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test. (2022). Hong, Yanran ; Wang, LU ; Ma, Feng ; Liang, Chao.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003051.

    Full description at Econpapers || Download paper

  12. The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak. (2022). Chen, Yunfei ; Jiang, Wei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002112.

    Full description at Econpapers || Download paper

  13. Multiscale dependence, spillovers, and connectedness between precious metals and currency markets: A hedge and safe-haven analysis. (2022). Vo, Xuan Vinh ; Mensi, Walid ; Mahmood, Syed Riaz ; Kang, Sang Hoon.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002008.

    Full description at Econpapers || Download paper

  14. Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga. (2022). YAYA, OLAOLUWA ; Al-Faryan, Mamdouh Abdulaziz Sa ; Adekoya, Oluwasegun ; Saleh, Mamdouh Abdulaziz ; Oliyide, Johnson A.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001763.

    Full description at Econpapers || Download paper

  15. Commodity and financial markets’ fear before and during COVID-19 pandemic: Persistence and causality analyses. (2022). Adekoya, Oluwasegun ; Oliyide, Johnson A.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000496.

    Full description at Econpapers || Download paper

  16. Dynamic connectedness in non-ferrous commodity markets: Evidence from India using TVP-VAR and DCC-GARCH approaches. (2022). Ghate, Kshitish ; Mishra, Aswini Kumar.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:76:y:2022:i:c:s030142072200023x.

    Full description at Econpapers || Download paper

  17. Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic. (2022). Yarovaya, Larisa ; lucey, brian ; Lau, Chi Keung ; Brzeszczynski, Janusz ; Goodell, John W ; Brzeszczyski, Janusz ; Marco, Chi Keung.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000725.

    Full description at Econpapers || Download paper

  18. Do the green bonds overreact to the COVID-19 pandemic?. (2022). Cui, Tianxiang ; Suleman, Muhammad Tahir ; Zhang, Hongwei.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003208.

    Full description at Econpapers || Download paper

  19. NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic. (2022). Demir, Ender ; Aharon, David Y.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004840.

    Full description at Econpapers || Download paper

  20. Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic. (2022). Li, Ping ; Huang, Lixin ; Wang, Dong.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003007.

    Full description at Econpapers || Download paper

  21. The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei.
    In: Energy.
    RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526.

    Full description at Econpapers || Download paper

  22. How connected is the agricultural commodity market to the news-based investor sentiment?. (2022). Uddin, Gazi ; Pham, Linh ; Cepni, Oguzhan ; Akyildirim, Erdinc.
    In: Energy Economics.
    RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003279.

    Full description at Econpapers || Download paper

  23. Efficient markets are more connected: An entropy-based analysis of the energy, industrial metal and financial markets. (2022). Wang, Xiaoyang.
    In: Energy Economics.
    RePEc:eee:eneeco:v:111:y:2022:i:c:s014098832200233x.

    Full description at Econpapers || Download paper

  24. Green investments: A luxury good or a financial necessity?. (2022). Yousaf, Imran ; Demirer, Riza ; Suleman, Muhammad Tahir.
    In: Energy Economics.
    RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005909.

    Full description at Econpapers || Download paper

  25. Value investing versus other investment strategies: A volatility spillover approach and portfolio hedging strategies for investors. (2022). Papathanasiou, Spyros ; Dokas, Ioannis ; Koutsokostas, Drosos.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001097.

    Full description at Econpapers || Download paper

  26. Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis. (2022). Dong, Zibing ; Li, Yanshuang ; Zhuang, Xintian ; Wang, Jian.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001000.

    Full description at Econpapers || Download paper

  27. Time-frequency causality and dependence structure between crude oil, EPU and Chinese industry stock: Evidence from multiscale quantile perspectives. (2022). Xing, Zhanming ; Chen, Yiwen ; Ren, Yinghua ; Hau, Liya ; Zhu, Huiming.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000523.

    Full description at Econpapers || Download paper

  28. The COVID-19 effects on cryptocurrency markets: robust evidence from time-frequency analysis. (2022). Hung, Ngo Thai.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-21-00769.

    Full description at Econpapers || Download paper

  29. Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period. (2021). Jeribi, Ahmed ; Ghorbel, Achraf.
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:11:y:2021:i:3:d:10.1007_s40822-021-00181-6.

    Full description at Econpapers || Download paper

  30. Impacts of Stock Indices, Oil, and Twitter Sentiment on Major Cryptocurrencies during the COVID-19 First Wave. (2021). Kyriazis, Ikolaos A.
    In: Bulletin of Applied Economics.
    RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:133-146.

    Full description at Econpapers || Download paper

  31. The impact of COVID-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies. (2021). Umar, Zaghum ; Jareño, Francisco ; De, Maria ; Jareo, Francisco.
    In: Technological Forecasting and Social Change.
    RePEc:eee:tefoso:v:172:y:2021:i:c:s0040162521004571.

    Full description at Econpapers || Download paper

  32. Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach. (2021). Hamori, Shigeyuki ; Zhang, Yulian.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:82:y:2021:i:c:p:145-162.

    Full description at Econpapers || Download paper

  33. How COVID-19 has affected stock market persistence? Evidence from the G7’s. (2021). Bentes, Sonia R.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:581:y:2021:i:c:s0378437121004830.

    Full description at Econpapers || Download paper

  34. Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis. (2021). Umar, Zaghum ; Riaz, Yasir ; Manel, Youssef ; Gubareva, Mariya.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000706.

    Full description at Econpapers || Download paper

  35. Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic. (2021). Owusu Junior, Peterson ; Boateng, Ebenezer ; Adam, Anokye M.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003986.

    Full description at Econpapers || Download paper

  36. The safe-haven property of precious metal commodities in the COVID-19 era. (2021). Mefteh-Wali, Salma ; Vasbieva, Dinara G ; Lahiani, Amine.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003494.

    Full description at Econpapers || Download paper

  37. Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic. (2021). Jareño, Francisco ; Lopez, Raquel ; De, Maria ; Jareo, Francisco ; Ramos, Ana Rosa.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002920.

    Full description at Econpapers || Download paper

  38. Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak. (2021). Hung, Ngo Thai.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002476.

    Full description at Econpapers || Download paper

  39. Health outcomes and the resource curse paradox: The experience of African oil-rich countries. (2021). Adekoya, Oluwasegun ; Owoeye, Taiwo ; Oduyemi, Gabriel Olusegun.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002154.

    Full description at Econpapers || Download paper

  40. The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China. (2021). Niu, Zibo ; Liu, Yuanyuan ; Gao, Wang ; Zhang, Hongwei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001872.

    Full description at Econpapers || Download paper

  41. Risk transmission from the COVID-19 to metals and energy markets. (2021). Yousaf, Imran.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001707.

    Full description at Econpapers || Download paper

  42. On the connection between oil and global foreign exchange markets: The role of economic policy uncertainty. (2021). Fasanya, Ismail ; Adekoya, Oluwasegun ; Adetokunbo, Abiodun M.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721001240.

    Full description at Econpapers || Download paper

  43. How does economic policy uncertainty connect with the dynamic spillovers between precious metals and bitcoin markets?. (2021). Oliyide, Johnson ; Fasanya, Ismail ; AGBATOGUN, TAOFEEK ; Adekoya, Oluwasegun.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000921.

    Full description at Econpapers || Download paper

  44. Spillovers in higher moments and jumps across US stock and strategic commodity markets. (2021). Jalkh, Naji ; Bouri, Elie ; Xu, Yahua ; Lei, Xiaojie ; Zhang, Hongwei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000775.

    Full description at Econpapers || Download paper

  45. Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact. (2021). Czudaj, Robert ; van Hoang, Thi Hong ; Borgards, Oliver.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720309946.

    Full description at Econpapers || Download paper

  46. Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension. (2021). Oliyide, Johnson ; Adekoya, Oluwasegun ; Khan, Muhammad A.
    In: International Economics.
    RePEc:eee:inteco:v:167:y:2021:i:c:p:136-150.

    Full description at Econpapers || Download paper

  47. Media sentiment and short stocks performance during a systemic crisis. (2021). Umar, Zaghum ; Oliyide, Johnson ; Adekoya, Oluwasegun ; Gubareva, Mariya.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002222.

    Full description at Econpapers || Download paper

  48. Green markets integration in different time scales: A regional analysis. (2021). Brahim, Mariem ; Abid, Ilyes ; Mzoughi, Hela ; Urom, Christian.
    In: Energy Economics.
    RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001596.

    Full description at Econpapers || Download paper

  49. Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility. (2021). Ding, Qian ; Chen, Jinyu ; Huang, Jianbai.
    In: Energy Economics.
    RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003960.

    Full description at Econpapers || Download paper

  50. Uncertainty Due to Pandemic and the Volatility Connectedness Among Asian REITs Market. (2021). Oliyide, Johnson ; Fasanya, Ismail ; Periola-Fatunsin, Ololade.
    In: Asian Economics Letters.
    RePEc:ayb:jrnael:48.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-14 17:23:39 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.