Journal ArticleDOI
Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach
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TLDR
In this paper, the authors investigated the presence of asymmetries in the short and long-run relationships between the 5-year CDS index spreads at the U.S. industry level and a set of major macroeconomic and financial variables, namely the corresponding industry stock indices, the VIX index, the 5year Treasury bond yield and the crude oil price, using the NARDL approach.About:
This article is published in Economic Modelling.The article was published on 2017-01-01. It has received 77 citations till now. The article focuses on the topics: Credit default swap index & Credit risk.read more
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Journal ArticleDOI
Asymmetric relationship between carbon emission trading market and stock market: Evidences from China
TL;DR: Wang et al. as mentioned in this paper investigated the asymmetric relationship between carbon emission trading market and stock market in China by using the nonlinear auto-regressive distributed lag (NARDL) model.
Journal ArticleDOI
Energy and non-energy commodities: An asymmetric approach towards portfolio diversification in the commodity market
TL;DR: In this article, the authors investigate the presence of short-and long-run asymmetric relationships between energy and non-energy commodities for weekly data from January 2010 to June 2018, and show that oil prices have significant long run negative effects on the prices of gold and silver.
Journal ArticleDOI
Modeling the relationship between carbon emissions and environmental sustainability during COVID-19: a new evidence from asymmetric ARDL cointegration approach.
TL;DR: In this article, the authors examined the CO2 emissions by considering the implication of COVID-19 under strict lockdown in India and revealed a significant nonlinear relationship between CO2 emission and COVID19 with its specific determinants.
Journal ArticleDOI
Interaction between Oil Price and Investor Sentiment: Nonlinear Causality, Time- Varying Influence, and Asymmetric Effect
TL;DR: This article investigated the interaction between crude oil prices and individual investor sentiment with the Hiemstra and Jones (HJ) test, the Diks and Panchenko (DP) test and the time-varying paramete...
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Cryptocurrencies and precious metals: A closer look from diversification perspective
TL;DR: In this paper, the authors investigated the relationship between cryptocurrencies and precious metals returns based on daily pricing data from March 2017 to August 2019 and employed application of quantile cross spectral framework to investigate changing correlation patterns across different quantile distribution under short-, medium- and long run investment horizon.
References
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Journal ArticleDOI
Bounds testing approaches to the analysis of level relationships
TL;DR: In this paper, the authors developed a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary.
Journal ArticleDOI
On the pricing of corporate debt: the risk structure of interest rates
TL;DR: In this article, the American Finance Association Meeting, New York, December 1973, presented an abstract of a paper entitled "The Future of Finance: A Review of the State of the Art".
Journal ArticleDOI
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
TL;DR: In this paper, the authors consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is "trend-stationary" and show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit-root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time break.
Journal ArticleDOI
Oil and the Macroeconomy since World War II
TL;DR: The authors found that all but one of the U.S. recessions since World War II have been preceded, typically with a lag of around three-fourths of a year, by a dramatic increase in the price of crude petroleum.
Book ChapterDOI
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
TL;DR: In this paper, a cointegrating nonlinear autoregressive distributed lag (NARDL) model is proposed, in which short and long-run nonlinearities are introduced via positive and negative partial sum decompositions of the explanatory variables.
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