Shigeyuki Hamori : Citation Profile


Are you Shigeyuki Hamori?

23

H index

71

i10 index

2258

Citations

RESEARCH PRODUCTION:

217

Articles

30

Papers

6

Books

44

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   32 years (1992 - 2024). See details.
   Cites by year: 70
   Journals where Shigeyuki Hamori has often published
   Relations with other researchers
   Recent citing documents: 245.    Total self citations: 95 (4.04 %)

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   Permalink: http://citec.repec.org/pha320
   Updated: 2024-04-18    RAS profile: 2024-04-08    
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Relations with other researchers


Works with:

Yang, Lu (9)

Nakajima, Tadahiro (7)

Tanaka, Katsuyuki (4)

Fang, Zheng (2)

Chang, Youngho (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Shigeyuki Hamori.

Is cited by:

Asongu, Simplice (56)

Tiwari, Aviral (34)

Miller, Stephen (20)

Shahbaz, Muhammad (16)

Vo, Xuan Vinh (15)

GUPTA, RANGAN (14)

Lee, Chien-Chiang (13)

Bouri, Elie (12)

Toyoshima, Yuki (11)

Yang, Lu (11)

Ahmad, Wasim (10)

Cites to:

Diebold, Francis (87)

Engle, Robert (85)

Yilmaz, Kamil (84)

Pesaran, Mohammad (49)

Bollerslev, Tim (48)

Nguyen, Duc Khuong (48)

Yang, Lu (41)

Reboredo, Juan (41)

GUPTA, RANGAN (40)

Hammoudeh, Shawkat (35)

Tiwari, Aviral (34)

Main data


Where Shigeyuki Hamori has published?


Journals with more than one article published# docs
Economics Bulletin28
Applied Economics Letters23
Energies14
JRFM12
Applied Economics11
Applied Financial Economics10
The North American Journal of Economics and Finance9
International Review of Financial Analysis7
Japan and the World Economy7
Journal of Reviews on Global Economics6
Economics Letters6
Journal of Asian Economics5
Sustainability5
Emerging Markets Finance and Trade5
Economic Modelling4
Empirical Economics4
Journal of International Financial Markets, Institutions and Money4
Energy Policy3
International Review of Economics & Finance3
The Singapore Economic Review (SER)3
International Journal of Financial Research3
Applied Econometrics and International Development2
Journal of Futures Markets2
Journal of Multivariate Analysis2
International Journal of Business and Economics2
Applied Economics and Finance2
Economic Systems2
Economic Analysis and Policy2
Journal of Economics and Finance2
Annals of Financial Economics (AFE)2
Research in International Business and Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany11
Discussion Papers / Graduate School of Economics, Kobe University10
IDE Discussion Papers / Institute of Developing Economies, Japan External Trade Organization(JETRO)8

Recent works citing Shigeyuki Hamori (2024 and 2023)


YearTitle of citing document
2023What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries. (2023). Ha, Quan Tran ; Yihong, Simon Cottrell. In: The Energy Journal. RePEc:aen:journl:ej44-5-delpachitra.

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2023.

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2023Stock Trend Prediction: A Semantic Segmentation Approach. (2023). Bagherzadeh, Nader ; Nabiee, Shima. In: Papers. RePEc:arx:papers:2303.09323.

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2024On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices. (2023). Noda, Akihiko ; Moriya, Koichiro. In: Papers. RePEc:arx:papers:2305.05998.

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2023Econometric Model Using Arbitrage Pricing Theory and Quantile Regression to Estimate the Risk Factors Driving Crude Oil Returns. (2023). Chopra, Manav ; Kundu, Sukanya ; Mishra, Vivek ; Maitra, Sarit. In: Papers. RePEc:arx:papers:2309.13096.

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2023Impact of Economic Uncertainty, Geopolitical Risk, Pandemic, Financial & Macroeconomic Factors on Crude Oil Returns -- An Empirical Investigation. (2023). Maitra, Sarit. In: Papers. RePEc:arx:papers:2310.01123.

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2023Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict. (2023). Yang, Yan-Hong ; Shao, Ying-Hui. In: Papers. RePEc:arx:papers:2310.18903.

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2023Do we listen to what we are told? An empirical study on human behaviour during the COVID-19 pandemic: neural networks vs. regression analysis. (2023). Wang, Kexin ; Heluo, Yuxi ; Robson, Charles W. In: Papers. RePEc:arx:papers:2311.13046.

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2023Remittances in times of crisis: evidence from Italian corridors. (2023). Ciarlone, Alessio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1402_23.

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2024Banking concentration, financial openness, and financial development. (2024). Harrison, Andre ; Ghossoub, Edgar A ; Reed, Robert R. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:42:y:2024:i:1:p:120-159.

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2023Does financial inclusion empower women in Africa?. (2023). Edjigu, Habtamu T ; Maruta, Admasu A ; Kassa, Woubet. In: Economic Notes. RePEc:bla:ecnote:v:52:y:2023:i:3:n:e12226.

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2023Towards Better Banking Crisis Prediction: Could an Automatic Variable Selection Process Improve the Performance?. (2023). Liu, Xianglong. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:325:p:288-312.

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2023On the role of financial investors in carbon markets: Insights from commitment reports and carbon literature. (2023). Pardo, Angel ; Mansanet-Bataller, Maria. In: Working Papers. RePEc:crb:wpaper:2023-01.

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2023Energy News Shocks and their Propagation to Renewable and Fossil Fuels Use. (2023). Puch, Luis ; Guinea, Laurentiu ; Ruiz, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:37355.

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2023Do Methane Gas Prices Interact with Stock Indices?. (2023). Wainberg, Dorin ; Iuga, Iulia Cristina ; Hada, Teodor ; Barbuta-Misu, Nicoleta. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2023:i:2:p:90-100.

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2023Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities. (2023). Boateng, Ebenezer ; Asafo-Adjei, Emmanuel ; Idun, Anthony Adu-Asare ; Adam, Anokye M ; Qabhobho, Thobekile. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-30.

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2023Do Local and International Shocks Matter in the Interconnectedness amid Exchange Rates and Energy Commodities? Insights into BRICS Economies. (2023). Adam, Anokye M ; Qabhobho, Thobekile ; Asafo-Adjei, Emmanuel. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-06-70.

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2023Modeling an early warning system for household debt risk in Korea: A simple deep learning approach. (2023). Park, Sung Y. ; Kwon, Yujin. In: Journal of Asian Economics. RePEc:eee:asieco:v:84:y:2023:i:c:s1049007822001300.

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2023Financial inclusion and income inequality nexus: A case of Africa. (2023). Selvanathan, Saroja ; Naranpanawa, Athula ; Kebede, Jeleta. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:539-557.

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2023Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis. (2023). Vo, Xuan Vinh ; Kang, Sang Hoon ; Ko, Hee-Un ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:558-580.

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2023Are climate and geopolitics the challenges to sustainable development? Novel evidence from the global supply chain. (2023). Manta, Alina Georgiana ; Lobon, Oana-Ramona ; Umar, Muhammad ; Su, Chi-Wei ; Qin, Meng. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:748-763.

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2023The Effect of ESG performance on the stock market during the COVID-19 Pandemic — Evidence from Japan. (2023). Lu, Changrong ; Nemoto, Naoko ; Liu, Lian. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:702-712.

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2023Connectedness between fossil and renewable energy stock indices: The impact of the COP policies. (2023). Almajali, Awon ; Spagnolo, Nicola ; Caporale, Guglielmo Maria. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000858.

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2023No place like home: Home bias and flight-to-quality in Group of Seven countries. (2023). Nagy, Balint-Zsolt ; Socaciu, Erzsebet-Mirjam ; Benedek, Botond. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003619.

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2023Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735.

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2023Stock index direction forecasting using an explainable eXtreme Gradient Boosting and investor sentiments. (2023). Su, Zhihao ; Zhu, Yingke ; Huang, Xiaoru ; Deng, Shangkun ; Shimada, Tatsuro ; Fu, Zhe. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001838.

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2023GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335.

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2023Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method. (2023). Zhang, Shuguang ; Huang, Qian ; Wang, Xiangning. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000621.

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2023Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis. (2023). Deng, XI ; Hau, Liya ; Zhu, Huiming ; Huang, Zishan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000682.

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2023Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Roy, Saikat Sinha ; Das, Suman. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000425.

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2023IFRS, financial development and income inequality: An empirical study using mediation analysis. (2023). Gal, Graham ; Akisik, Orhan. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522001315.

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2023Copula sensitivity analysis for portfolio credit derivatives. (2023). Hu, Jian-Qiang ; Fu, Michael C ; Peng, Yijie ; Lei, Lei. In: European Journal of Operational Research. RePEc:eee:ejores:v:308:y:2023:i:1:p:455-466.

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2023Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions. (2023). Ren, Xiaohang ; Jawadi, Fredj ; Bu, Ruijun ; Li, Jingyao ; Wang, Xiong. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006041.

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2023Analysis of individual natural gas consumption and price elasticity: Evidence from billing data in Italy. (2023). Grossi, Luigi ; Favero, Filippo. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006132.

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2023Blockchain market and green finance: The enablers of carbon neutrality in China. (2023). Badarcea, Roxana Maria ; Li, Yameng ; Zhang, Xiaojing ; Qin, Meng. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006302.

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2023Interdependence of clean energy and green markets with cryptocurrencies. (2023). Karim, Sitara ; Mirza, Nawazish ; Boubaker, Sabri ; Naeem, Muhammad Abubakr ; Arfaoui, Nadia. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000828.

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2023Analysis of the spillover effects between green economy, clean and dirty cryptocurrencies. (2023). Tzeremes, Panayiotis ; Brahim, Mariem ; Dogan, Eyup ; Sharif, Arshian. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000920.

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2023Forecasting oil inventory changes with Google trends: A hybrid wavelet decomposer and ARDL-SVR ensemble model. (2023). Zhao, Lu-Tao ; Wei, Yi-Ming ; Zheng, Zhi-Yi. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001019.

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2023A threshold effect of COVID-19 risk on oil price returns. (2023). Wang, YU ; Suo, Chenyi ; Li, Delong ; Sun, Yiguo. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001160.

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2023Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies. (2023). Gözgör, Giray ; Elsayed, Ahmed ; Gozgor, Giray ; Gabauer, David ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001251.

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2023Impact of economic policy uncertainty on the volatility of Chinas emission trading scheme pilots. (2023). Xu, Liang ; Xue, Shan ; Wei, Yigang ; Guan, Xinyue ; Liu, Tao. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s014098832300124x.

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2023Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?. (2023). Luo, Liangqing ; Ping, Weiying ; Guo, Tongji ; Liu, Min. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s014098832300172x.

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2023Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective. (2023). Xiong, Xiong ; Jia, Kai-Wen ; Wu, Zhuo-Cheng ; Zhao, Min ; Gong, Xiao-Li. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001767.

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2023The relative response of Russian National Wealth Fund to oil demand, supply and risk shocks. (2023). Sohag, Kazi ; Mariev, Oleg ; Kalina, Irina ; Hassan, M. Kabir. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323002220.

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2023What can be learned from the historical trend of crude oil prices? An ensemble approach for crude oil price forecasting. (2023). Wang, Shouyang ; Wei, Yunjie ; Lin, Wencan ; Cheng, Zishu. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323002347.

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2023Short- and long-run determinants of the price behavior of US clean energy stocks: A dynamic ARDL simulations approach. (2023). , Mohamed. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002694.

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2023Dynamic effects and driving intermediations of oil price shocks on major economies. (2023). Chai, Jian ; Xiao, Hao ; Lin, Jie. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002773.

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2023The oil price-inflation nexus: The exchange rate pass- through effect. (2023). Du, Min ; Cui, Tianxiang ; Zheng, Dandan ; Ding, Shusheng. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003262.

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2023Network connectedness between Chinas crude oil futures and sector stock indices. (2023). Fan, Ying ; Liu, Bing-Yue ; Wang, Zi-Xin. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003468.

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2023Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets. (2023). Uddin, Gazi ; Yahya, Muhammad ; Okhrin, Yarema. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003511.

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2023Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic. (2023). Ye, Zhitao ; Mo, Jianlei ; Huang, Nan ; Lu, Xunfa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003584.

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2023Financial stress and commodity price volatility. (2023). Verousis, Thanos ; Zhou, Zhiping ; Wang, Kai ; Chen, Louisa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003729.

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2023Risk spillovers across geopolitical risk and global financial markets. (2023). Wen, Baoyu ; Zheng, Jinlin ; Shen, Yue ; Wang, Xiaohan ; Jiang, Yaohui. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005492.

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2023Dynamic volatility transfer in the European oil and gas industry. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005509.

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2023Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises. (2023). Arfaoui, Nadia ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323005807.

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2023Combined third-party ownership and aggregation business model for the adoption of rooftop solar PV–battery systems: Implications from the case of Miyakojima Island, Japan. (2023). Mori, Akihisa ; Yamashiro, Ririka. In: Energy Policy. RePEc:eee:enepol:v:173:y:2023:i:c:s0301421522006115.

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2023In the post-subsidy era: How to encourage mere consumers to become prosumers when subsidy reduced?. (2023). Xu, Tiantong ; Qi, Suntong ; Liu, Diyi. In: Energy Policy. RePEc:eee:enepol:v:174:y:2023:i:c:s0301421523000368.

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2023The equity-oil hedge: A comparison between volatility and alternative risk frameworks. (2023). Kuang, Wei. In: Energy. RePEc:eee:energy:v:271:y:2023:i:c:s0360544223004395.

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2023Untangling electricity demand elasticities: Insights from heterogeneous household groups in Pakistan. (2023). Ahmad, Eatzaz ; Aslam, Misbah. In: Energy. RePEc:eee:energy:v:282:y:2023:i:c:s0360544223022211.

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2023Measuring financial soundness around the world: A machine learning approach. (2023). Mertzanis, Charilaos ; Cerchiello, Paola ; Bitetto, Alessandro. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s105752192200401x.

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2023The European Central Bank and green finance: How would the green quantitative easing affect the investors behavior during times of crisis?. (2023). Vigne, Samuel ; Guesmi, Khaled ; Benkraiem, Ramzi ; Aloui, Donia. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004148.

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2023Taxing bitcoin: Incentivizing the difficulty adjustment mechanism to reduce electricity usage. (2023). Podhorsky, Andrea. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000091.

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2023Foreign exchange market return spillovers and connectedness among African countries. (2023). Osei, Kofi Acheampong ; Kang, Sang Hoon ; Mensah, Lord Kwaku ; Boakye, Robert Owusu. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000212.

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2023Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets. (2023). Zhu, You ; Uddin, Gazi Salah ; Xie, Chi ; Feng, Yusen ; Wan, LI ; Wang, Gang-Jin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000340.

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2023Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000364.

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2023Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence. (2023). Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521922002587.

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2023Geopolitical risk, climate risk and energy markets: A dynamic spillover analysis. (2023). Zhang, Dayong ; Bu, Lin ; Zhao, Hang ; Jin, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001138.

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2023Environmental engagement and stock price crash risk: Evidence from the European banking industry. (2023). Santilli, Gianluca ; Ricci, Ornella ; Fiordelisi, Franco. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002053.

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2023Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model. (2023). Li, Lihong ; Zhang, LI. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002247.

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2023Did U.S. and Chinese investors respond differently to the exogenous shocks from COVID-19 and the war in Ukraine?. (2023). Sun, Yiru ; Zhang, Yongmin. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002260.

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2023Do green bond and green stock markets boom and bust together? Evidence from China. (2023). Dai, Liang ; Guo, Dawei ; Su, Xianfang. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002600.

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2023State transformation of information spillover in asset markets and effective dynamic hedging strategies. (2023). Tsai, I-Chun ; Lin, Che-Chun ; Wang, Yu-Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002880.

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2023Diversification in financial and crypto markets. (2023). Naoui, Kamel ; Hamdi, Haykel ; Guesmi, Khaled ; Galariotis, Emilios ; ben Osman, Myriam. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003010.

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2023Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach. (2023). Xia, Xiao-Hua ; Xu, Yushi ; Chen, Baifan ; Huang, Jionghao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000089.

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2023Multiscale correlation analysis of Sino-US corn futures markets and the impact of international crude oil price: A new perspective from the multifractal method. (2023). Huang, Qian ; Yang, Jie ; Feng, Yun. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s154461232300065x.

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2023Time-frequency correlations and extreme spillover effects between carbon markets and NFTs: The roles of EPU and COVID-19. (2023). Liu, Jiatong. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000648.

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2023Spillover connectedness between oil and Chinas industry stock markets: A perspective of carbon emissions. (2023). Xu, Shaojun ; Zhang, Yingying. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001095.

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2023Geopolitical risk and the cost of bank loans. (2023). Ho, Tien ; Nguyen, Thanh Cong. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s154461232300185x.

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2023Dynamic spillover and systemic importance analysis of global clean energy companies: A tail risk network perspective. (2023). Xing, Xiaoyun ; Zheng, Huike ; Deng, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003628.

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2023Dependences and dynamic spillovers across the crude oil and stock markets throughout the COVID-19 pandemic and Russia-Ukraine conflict: Evidence from the ASEAN+6. (2023). Sinlapates, Parichat ; Chancharat, Surachai. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006219.

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2023Forecasting Stock Market Crashes via Machine Learning. (2023). Otto, Tizian ; Drobetz, Wolfgang ; Dichtl, Hubert. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308922001206.

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2023Assessing the role of globalization for universal electricity access. (2023). Nguea, Stephane Mbiankeu ; Noumba, Issidor. In: International Economics. RePEc:eee:inteco:v:174:y:2023:i:c:p:180-195.

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2023Climate uncertainty and information transmissions across the conventional and ESG assets. (2023). Demirer, Riza ; Rognone, Lavinia ; Pham, Linh ; Cepni, Oguzhan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122002025.

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2023Realized higher-order moments spillovers across cryptocurrencies. (2023). Apergis, Nicholas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000318.

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2023Forecasting crude oil market volatility using variable selection and common factor. (2023). Wang, Yudong ; Wahab, M. I. M., ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:486-502.

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2023The interactive CNY-CNH relationship: A wavelet analysis. (2023). Cai, Xiaojing ; Gao, Xiang ; Tian, Shuairu. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s026156062300030x.

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2023Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic. (2023). Stankov, Petar ; Mensi, Walid ; Enilov, Martin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000642.

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2023Systemwide directional connectedness from Crude Oil to sovereign credit risk. (2023). Singh, Vipul Kumar ; Kumar, Pawan ; Bajaj, Vimmy. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000290.

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2023Realized higher-order moments spillovers between commodity and stock markets: Evidence from China. (2023). Xu, Yahua ; Gao, Wang ; Bouri, Elie ; Jin, Chen ; Zhang, Hongwei. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000320.

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2023Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000132.

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2023Dynamic connectedness between crude oil and equity markets: What about the effects of firms solvency and profitability positions?. (2023). Balli, Faruk ; Ha, Thi Thu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000387.

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2023Gold and tail risks. (2023). Salisu, Afees ; Adediran, Idris ; Tchankam, Jean Paul ; Omoke, Philip C. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005979.

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2023Cross-spectral coherence and co-movement between WTI oil price and exchange rate of Thai Baht. (2023). Abakah, Emmanuel ; Tiwari, Aviral Kumar ; Aikins, Emmanuel Joel ; Kyophilavong, Phouphet. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006031.

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2023Investigating the nexus between green economy, sustainability, bitcoin and oil prices: Contextual evidence from the United States. (2023). Shahbaz, Muhammad ; Chopra, Ritika ; Singh, Sanjeet ; Sharma, Gagan Deep ; Cifuentes-Faura, Javier. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006110.

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2023Dynamic spillover effects among international crude oil markets from the time-frequency perspective. (2023). Zhang, Xiaoming ; Xu, Chao ; Zhou, Hegang ; Lee, Chien-Chiang. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006614.

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More than 100 citations found, this list is not complete...

Shigeyuki Hamori has edited the books:


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Works by Shigeyuki Hamori:


YearTitleTypeCited
2018ARTIFICIAL INTELLIGENCE AND ECONOMIC GROWTH In: Advances in Decision Sciences.
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2009Solution to the Dilemma of the Migrant Labor Shortage and the Rural Labor Surplus in China In: China & World Economy.
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2019ANALYZING INDUSTRY?LEVEL VULNERABILITY BY PREDICTING FINANCIAL BANKRUPTCY In: Economic Inquiry.
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2008Trade Balances and the Terms of Trade in G-7 Countries: Penal Cointegration Approach In: Applied Econometrics and International Development.
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2009An Empirical Analysis of Chinese Rural Labour Migration Using a Multinomial Logit Model In: Applied Econometrics and International Development.
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2005An Empirical Analysis of FDI Competitiveness in Sub-Saharan Africa and Developing Countries In: Economics Bulletin.
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2007The information role of commodity prices in formulating monetary policy: some evidence from Japan In: Economics Bulletin.
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2007Sources of Real and Nominal Exchange Rate Movements for the Euro In: Economics Bulletin.
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2007An Empirical Analysis about Population, Technological Progress, and Economic Growth in Taiwan In: Economics Bulletin.
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2007International Capital Flows and the Frankel-Dooley-Mathieson Puzzle In: Economics Bulletin.
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2009An Empirical Analysis of the Money Demand Function in India In: Economics Bulletin.
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2008An empirical analysis of the money demand function in India.(2008) In: IDE Discussion Papers.
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2014An Empirical Analysis of the Money Demand Function in India.(2014) In: World Scientific Book Chapters.
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chapter
2009On the Sustainability of Budget Deficits in the Euro Area In: Economics Bulletin.
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2009Price and Wage Setting in Japan: An Empirical Investigation In: Economics Bulletin.
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2008Do Chinese employers discriminate against females when hiring employees ? In: Economics Bulletin.
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2014Do Chinese Employers Discriminate Against Females When Hiring Employees?.(2014) In: SpringerBriefs in Economics.
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chapter
2008Empirical Analysis of the Money Demand Function in Sub-Saharan Africa In: Economics Bulletin.
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2009Empirical analysis of import demand behavior of least developed countries In: Economics Bulletin.
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2009Empirical Analysis of Import Demand Behavior of Least Developed Countries.(2009) In: MPRA Paper.
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2009Saving-Investment Relationship and Capital Mobility:Evidence from Chinese Provincial Data, 1980—2007.(2009) In: MPRA Paper.
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2009Empirical analysis of export demand behavior of LDCs: Panel cointegration approach In: Economics Bulletin.
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2009Empirical Analysis of Export Demand Behavior of LDCs: Panel Cointegration Approach.(2009) In: MPRA Paper.
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2009Globalization, Financial Depth, and Inequality in Sub-Saharan Africa.(2009) In: Discussion Papers.
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2010The interdependence of Taiwanese and Japanese stock prices.(2010) In: MPRA Paper.
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2010An empirical analysis on the efficiency of the microfinance investment market.(2010) In: IDE Discussion Papers.
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2011Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis In: Economics Bulletin.
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2012Exploring the dynamic interdependence between gold and other financial markets In: Economics Bulletin.
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2012Informational roles of commodity prices for monetary policy: evidence from the Euro area In: Economics Bulletin.
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2012Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity In: Economics Bulletin.
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2010Small sample properties of CIPS panel unit root test under conditional and unconditional heteroscedasticity.(2010) In: MPRA Paper.
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2010Bivariate probit analysis of differences between male and female formal employment in urban China In: Journal of Asian Economics.
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2014Bivariate Probit Analysis of the Differences Between Male and Female Formal Employment in Urban China.(2014) In: SpringerBriefs in Economics.
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2012Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis In: Journal of Asian Economics.
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2012The effect of financial deepening on inequality: Some international evidence In: Journal of Asian Economics.
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2013Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore In: Journal of Asian Economics.
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2020Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach In: Journal of Asian Economics.
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2009Economic returns to schooling in urban China: OLS and the instrumental variables approach In: China Economic Review.
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2022A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy In: Economic Analysis and Policy.
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1998Defying the conventional wisdom: US consumers are found to be more risk averse than those of Japan In: Economic Modelling.
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2008Information content of commodity futures prices for monetary policy In: Economic Modelling.
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2015Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas In: Economic Modelling.
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2016Interdependence of foreign exchange markets: A wavelet coherence analysis In: Economic Modelling.
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2014Spillovers among CDS indexes in the US financial sector In: The North American Journal of Economics and Finance.
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2014The conditional dependence structure of insurance sector credit default swap indices In: The North American Journal of Economics and Finance.
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2015Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis In: The North American Journal of Economics and Finance.
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2016Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States In: The North American Journal of Economics and Finance.
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2018What determines the long-term correlation between oil prices and exchange rates? In: The North American Journal of Economics and Finance.
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2018Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach In: The North American Journal of Economics and Finance.
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2019Complexity of financial stress spillovers: Asymmetry and interaction effects of institutional quality and foreign bank ownership In: The North American Journal of Economics and Finance.
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2020Oil, Gas, or Financial Conditions-Which One Has a Stronger Link with Growth? In: The North American Journal of Economics and Finance.
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2021Continuous wavelet analysis of Chinese renminbi: Co-movement and lead-lag relationship between onshore and offshore exchange rates In: The North American Journal of Economics and Finance.
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2016Random forests-based early warning system for bank failures In: Economics Letters.
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article41
1992Test of C-CAPM for Japan: 1980-1988 In: Economics Letters.
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article16
1992On the structural stability of preference parameters obtained from Japanese financial market data In: Economics Letters.
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article3
1993Test of the international equity integration of Japan In: Economics Letters.
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article1
1997Testing for a unit root in the presence of a variance shift1 In: Economics Letters.
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article62
2004Empirical characteristics of the permanent and transitory components of stock return: analysis in a Markov switching heteroscedasticity framework In: Economics Letters.
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2007Co-movement in the price of risk of aggregate equity markets In: Economic Systems.
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2008Demand for money in the Euro area In: Economic Systems.
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article30
2005Causality in variance and the type of traders in crude oil futures In: Energy Economics.
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2010Change in consumer sensitivity to electricity prices in response to retail deregulation: A panel empirical analysis of the residential demand for electricity in the United States In: Energy Policy.
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2011Impact of subsidy policies on diffusion of photovoltaic power generation In: Energy Policy.
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2013Testing causal relationships between wholesale electricity prices and primary energy prices In: Energy Policy.
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2018Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries In: International Review of Financial Analysis.
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2021Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany In: International Review of Financial Analysis.
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2021Not all bank systemic risks are alike: Deposit insurance and bank risk revisited In: International Review of Financial Analysis.
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2021The role of the carbon market in relation to the cryptocurrency market: Only diversification or more? In: International Review of Financial Analysis.
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2022Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach In: International Review of Financial Analysis.
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2023Modeling the global sovereign credit network under climate change In: International Review of Financial Analysis.
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2023The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments In: International Review of Financial Analysis.
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2012Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market In: Journal of International Financial Markets, Institutions and Money.
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2014Macroeconomic impacts of oil prices and underlying financial shocks In: Journal of International Financial Markets, Institutions and Money.
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2014Dependence structure between CEEC-3 and German government securities markets In: Journal of International Financial Markets, Institutions and Money.
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article8
2017Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis In: Journal of International Financial Markets, Institutions and Money.
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article44
2000An empirical analysis of economic fluctuations in Japan: 1885-1940 In: Japan and the World Economy.
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article2
2000Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan In: Japan and the World Economy.
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article22
2000A theory of quality signaling in the marriage market In: Japan and the World Economy.
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2001An empirical analysis on the stability of Japans aggregate import demand function In: Japan and the World Economy.
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article14
2001Seasonality and stock returns: some evidence from Japan In: Japan and the World Economy.
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article2
2003Alternative characterization of the volatility in the growth rate of real GDP In: Japan and the World Economy.
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article30
1997Risk premiums and conditional covariances in tests of asset pricing models: Some evidence from Japan In: Japan and the World Economy.
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article1
2015Modeling interest rate volatility: A Realized GARCH approach In: Journal of Banking & Finance.
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article17
2021Is volatility spillover enough for investor decisions? A new viewpoint from higher moments In: Journal of International Money and Finance.
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2019Calibration estimation of semiparametric copula models with data missing at random In: Journal of Multivariate Analysis.
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2020Copula-based regression models with data missing at random In: Journal of Multivariate Analysis.
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2021Do crude oil prices and the sentiment index influence foreign exchange rates differently in oil-importing and oil-exporting countries? A dynamic connectedness analysis In: Resources Policy.
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2014Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand In: Pacific-Basin Finance Journal.
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2021Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach In: The Quarterly Review of Economics and Finance.
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2014Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach In: International Review of Economics & Finance.
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2017Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis In: International Review of Economics & Finance.
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2023Risk spillover from international financial markets and Chinas macro-economy: A MIDAS-CoVaR-QR model In: International Review of Economics & Finance.
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2014On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads In: Research in International Business and Finance.
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2016Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK In: Research in International Business and Finance.
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2018The long-run relationship between farm size and productivity In: China Agricultural Economic Review.
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2008A new approach to analysing comovement in European equity markets In: Studies in Economics and Finance.
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2018Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets In: Energies.
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2019Determinants of the Long-Term Correlation between Crude Oil and Stock Markets In: Energies.
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2020The Response of US Macroeconomic Aggregates to Price Shocks in Crude Oil vs. Natural Gas In: Energies.
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2020Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach In: Energies.
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2020Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe In: Energies.
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2020Do Machine Learning Techniques and Dynamic Methods Help Forecast US Natural Gas Crises? In: Energies.
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2021Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach In: Energies.
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2021On the Predictability of China Macro Indicator with Carbon Emissions Trading In: Energies.
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2018Ensemble Learning or Deep Learning? Application to Default Risk Analysis In: JRFM.
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2018Ensemble Learning or Deep Learning? Application to Default Risk Analysis.(2018) In: Discussion Papers.
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2018Modeling the Dependence Structure of Share Prices among Three Chinese City Banks In: JRFM.
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2018Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform In: JRFM.
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2019Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks In: JRFM.
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2019Conditional Dependence between Oil Prices and Exchange Rates in BRICS Countries: An Application of the Copula-GARCH Model In: JRFM.
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2020Diversification and Desynchronicity: An Organizational Portfolio Perspective on Corporate Risk Reduction In: Risks.
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2018A Sustainable Metropolis: Perspectives of Population, Productivity and Parity In: Sustainability.
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2018Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach In: Sustainability.
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2018Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model In: Sustainability.
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2017Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model.(2017) In: Discussion Papers.
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2020The Influence of Quality and Variety of New Imports on Enterprise Innovation: Evidence from China In: Sustainability.
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2017Volatility and Causality in Strategic Commodities: Characteristics, Myth and Evidence In: International Journal of Economics and Finance.
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2009Business Cycle Transmission Between Madagascar, Seychelles,and Their Major Economic Partners In: The IUP Journal of Applied Economics.
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2002Some International Evidence on the Seasonality of Stock Prices In: International Journal of Business and Economics.
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2004Information Flow between Price Change and Trading Volume in Gold Futures Contracts In: International Journal of Business and Economics.
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