Journal ArticleDOI
Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach
TLDR
In this paper, the impact of uncertainties on energy prices was explored by measuring four types of Delta conditional value-at-risk (CoVaR) using six time-varying copulas.About:
This article is published in Energy Economics.The article was published on 2018-10-01. It has received 115 citations till now. The article focuses on the topics: Financial market & Spillover effect.read more
Citations
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Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia
TL;DR: In this article, the causality of geopolitical risk, oil prices and financial liquidity in Saudi Arabia was assessed by means of wavelet analysis, which aims to investigate whether such relationships support the monetary equilibrium model.
Journal ArticleDOI
Asymmetric and extreme influence of energy price changes on renewable energy stock performance
TL;DR: In this paper, the authors explored the influence of various fossil energy price changes on renewable energy stock returns using a network approach, where a positive and negative returns network and value-at-risk (VaR) network were constructed separately for identifying the asymmetric and extreme information spillover.
Journal ArticleDOI
Do Tense Geopolitical Factors Drive Crude Oil Prices
TL;DR: In this paper, the authors examined the dynamic correlation and causal link between geopolitical factors and crude oil prices based on data from June 1987 to February 2020, and found unidirectional causality running from geopolitical factors to crude oil by using the Granger causality test.
Journal ArticleDOI
Impact of economic policy uncertainty shocks on China's financial conditions
Zhenghui Li,Junhao Zhong +1 more
TL;DR: In this article, the effect of global economic policy uncertainty (EPU) shocks on China's financial conditions index (CFCI) and analyzes the sources of uncertainty shocks were explored.
Journal ArticleDOI
Exploring the risk spillover effects among China's pilot carbon markets: A regular vine copula-CoES approach
TL;DR: In this article, value at risk and conditional at risk are used to measure the risks of pilot carbon markets of Beijing, Shanghai, Guangdong, Tianjin, Hubei, Shenzhen and Chongqing in China.
References
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Journal ArticleDOI
Measuring Economic Policy Uncertainty
TL;DR: The authors developed a new index of economic policy uncertainty based on newspaper coverage frequency and found that policy uncertainty spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of Lehman Brothers, the 2011 debt ceiling dispute and other major battles over fiscal policy.
Journal ArticleDOI
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Francis X. Diebold,Kamil Yilmaz +1 more
TL;DR: In this paper, the authors propose several connectedness measures built from pieces of variance decomposition positions, and argue that they provide natural and insightful measures of connectedness among nancial asset returns and volatilities.
Journal ArticleDOI
Modelling asymmetric exchange rate dependence
TL;DR: In this paper, the authors test for asymmetry in a model of the dependence between the Deutsche mark and the yen, in the sense that a different degree of correlation is exhibited during joint appreciations against the U.S. dollar versus during joint depreciations.
Journal ArticleDOI
Political Uncertainty and Risk Premia
TL;DR: This article developed a general equilibrium model of government policy choice in which stock prices respond to political news, which implies that political uncertainty commands a risk premium whose magnitude is larger in weaker economic conditions.
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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Francis X. Diebold,Kamil Yilmaz +1 more