Jose Areola Hernandez

TL;DR: In this article, the authors model the multivariate tail dependence structure and spillover effects across energy commodities such as crude oil, natural gas, ethanol, heating oil, coal and gasoline using canonical vine (C-vine) copula and c-vine conditional Value-at-Risk (CoVaR) to analyze the risk reduction and diversification potential of carbon assets for energy commodities.

TL;DR: In this article, the authors apply a bivariate cross-quantilogram approach to examine the spillover network structure in the stock markets of 58 countries according to bearish, normal and bullish market scenarios.

TL;DR: In this paper, an extreme quantile approach was used to model the return distribution of oil in relation to some of the most traded agricultural and precious metal commodities, such as wheat, rice, and corn.

TL;DR: This article examined the spillover characteristics of returns and volatilities of gold, silver, platinum, and palladium, and found evidence of homogenous and time varying asymmetric spillovers between the returns of the precious metals suggesting similarities in their cyclical relationship with global and local fundamentals.

TL;DR: In this paper, the authors investigated the efficiency of conventional and Islamic stock markets and their diversification potential by using multifractal de-trended fluctuation analysis (MF-DFA), wavelet squared coherence (WTC) and wavelet value-at-risk (VaR).