Andrea Ugolini : Citation Profile


Are you Andrea Ugolini?

Universidade do Estado do Rio de Janeiro

8

H index

7

i10 index

255

Citations

RESEARCH PRODUCTION:

15

Articles

2

Papers

RESEARCH ACTIVITY:

   5 years (2015 - 2020). See details.
   Cites by year: 51
   Journals where Andrea Ugolini has often published
   Relations with other researchers
   Recent citing documents: 97.    Total self citations: 10 (3.77 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pug17
   Updated: 2020-08-09    RAS profile: 2020-07-16    
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Relations with other researchers


Works with:

Reboredo, Juan (13)

Arismendi Zambrano, Juan (2)

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

Is cited by:

Ji, Qiang (22)

Shahzad, Syed Jawad Hussain (16)

Bouri, Elie (9)

GUPTA, RANGAN (9)

Tiwari, Aviral (8)

Shahbaz, Muhammad (8)

Uddin, Gazi (5)

Reboredo, Juan (5)

Demirer, Riza (4)

Hamori, Shigeyuki (4)

Nguyen, Duc Khuong (4)

Cites to:

Reboredo, Juan (53)

Managi, Shunsuke (14)

Lo, Andrew (14)

Hammoudeh, Shawkat (13)

Zhou, Hao (13)

Flood, Mark (12)

Patton, Andrew (10)

Broadstock, David (10)

Diebold, Francis (9)

Pelizzon, Loriana (9)

Reinhart, Carmen (9)

Main data


Where Andrea Ugolini has published?


Journals with more than one article published# docs
Energy Economics5
Resources Policy3
The North American Journal of Economics and Finance2

Recent works citing Andrea Ugolini (2020 and 2019)


YearTitle of citing document
2019Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017. (2019). Stanuszek, Marek ; O'Swicecimka, Pawel ; Zd, Stanislaw Dro ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:1812.08548.

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2019Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis. (2019). Stephan, Andreas ; Sahamkhadam, Maziar. In: Papers. RePEc:arx:papers:1912.10328.

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2020Copula-based local dependence between energy, agriculture and metal commodity markets. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Ji, Qiang. In: Papers. RePEc:arx:papers:2003.04007.

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2020Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Papers. RePEc:arx:papers:2004.03190.

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2019The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries. (2019). McCarthy, Joseph ; Goldstein, Michael A ; Orlov, Alexei G. In: The Financial Review. RePEc:bla:finrev:v:54:y:2019:i:1:p:5-56.

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2019Disentangling the role of the exchange rate in oil-related scenarios for the European stock market. (2019). Ferreiro, Javier Ojea. In: Working Paper Series. RePEc:ecb:ecbwps:20192296.

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2019Research Evolution on Renewable Energies Resources from 2007 to 2017: A Comparative Study on Solar, Geothermal, Wind and Biomass Energy. (2019). Acevedo, Carlos ; Alvarez, Jose Nunez ; Ochoa, Guillermo Valencia. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-06-29.

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2020Impact of Solar and Wind Prices on the Integrated Global Electricity Spot and Options Markets: A Time Series Analysis. (2020). Alsaedi, Yasir ; Wong, Victor ; Tularam, Gurudeo Anand. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-40.

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2019Oil price and automobile stock return co-movement: A wavelet coherence analysis. (2019). Pal, Debdatta ; Mitra, Subrata K. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:172-181.

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2019What global economic factors drive emerging Asian stock market returns? Evidence from a dynamic model averaging approach. (2019). Yoon, Seong-Min ; Dong, Xiyong. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:204-215.

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2020Crude oil and BRICS stock markets under extreme shocks: New evidence. (2020). He, Chengting ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:54-68.

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2019Extreme dependence and risk spillovers across north american equity markets. (2019). Warshaw, Evan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:237-251.

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2019Financial contagion across major stock markets: A study during crisis episodes. (2019). Bensaida, Ahmed ; Benmim, Imen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:187-201.

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2019Assessing risk contagion among the Brent crude oil market, London gold market and stock markets: Evidence based on a new wavelet decomposition approach. (2019). Su, Xianfang ; Jiang, Yong ; Kuang, Yuanpei ; Lin, Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300968.

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2020Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains. (2020). Li, Jianping ; Wang, Jun ; Chen, Xiuwen ; Sun, Xiaolei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302456.

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2020Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data. (2020). Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal ; Liu, Bing-Yue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830319x.

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2020A quantile-copula approach to dependence between financial assets. (2020). Jung, Hojin ; Tabacu, Lucia ; Kim, Jong-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300105.

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2020A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection. (2020). Tong, Yongbo ; Xu, Qifa ; Ding, Xiaoyi ; Jiang, Cuixia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300993.

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2020Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under China’s capital account liberalization. (2020). He, Jianmin ; Li, Shouwei ; Wei, YU ; Yang, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302384.

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2020Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304085.

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2020Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach. (2020). Yoon, Seong-Min ; Li, Changhong ; Dong, Xiyong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303006.

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2019Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions. (2019). Zhu, Xiaoqian ; Li, Jianping ; Yao, Yanzhen. In: Emerging Markets Review. RePEc:eee:ememar:v:40:y:2019:i:c:2.

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2019Panel evidence on the ability of oil returns to predict stock returns in the G7 area. (2019). Sharma, Susan Sunila ; Westerlund, Joakim. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:3-12.

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2019Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model. (2019). Fan, Ying ; Liu, Bing-Yue ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:80-92.

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2019On dynamic linkages of the state natural gas markets in the USA: Evidence from an empirical spatio-temporal network quantile analysis. (2019). Lu, Zudi ; Ren, Xiaohang ; Shen, Jian ; Shi, Yukun ; Cheng, Cheng. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:234-252.

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2019Risk spillovers between oil and stock markets: A VAR for VaR analysis. (2019). Wang, Yudong ; Wen, Danyan ; Ma, Chaoqun. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:524-535.

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2019Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes. (2019). Rahman, Md Lutfur ; Uddin, Gazi Salah ; Ahmed, Ali ; Hedstrom, Axel. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:743-759.

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2019Time-varying energy and stock market integration in Asia. (2019). Wagner, Niklas ; Batten, Jonathan ; Szilagyi, Peter G ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:777-792.

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2019Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis. (2019). Hoque, Ariful ; Hassan, Kamrul ; Gasbarro, Dominic. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:950-969.

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2019Do all clean energy stocks respond homogeneously to oil price?. (2019). Pham, Linh. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:355-379.

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2019Using nonparametric copulas to measure crude oil price co-movements. (2019). Jacho-Chávez, David ; Huynh, Kim ; Jacho-Chavez, David T. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:211-223.

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2019Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach. (2019). Wen, Fenghua ; Li, Steven ; Hou, Yang. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:119-143.

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2019Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar). (2019). Soytas, Ugur ; Kocaarslan, Baris. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s014098831930283x.

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2019The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets. (2019). Song, Yingjie ; Geng, Jiang-Bo ; Du, Ya-Juan ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303597.

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2020Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications. (2020). Dash, Saumya Ranjan ; Guhathakurta, Kousik ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303615.

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2020Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches. (2020). Tiwari, Aviral ; Raheem, Ibrahim ; Trabelsi, Nader ; Alqahtani, Faisal. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304438.

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2020U.S. equity and commodity futures markets: Hedging or financialization?. (2020). Sousa, Ricardo ; Sensoy, Ahmet ; Nguyen, Duc Khuong ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304578.

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2019Causality in quantiles and dynamic relations in energy markets: (De)tails matter. (2019). Andersson, Jonas ; Kyritsis, Evangelos. In: Energy Policy. RePEc:eee:enepol:v:133:y:2019:i:c:s0301421519305208.

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2019Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets. (2019). Demirer, Riza ; Hammoudeh, Shawkat ; Balcilar, Mehmet. In: Energy Policy. RePEc:eee:enepol:v:134:y:2019:i:c:s030142151930518x.

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2019The time-varying linkages between global oil market and Chinas commodity sectors: Evidence from DCC-GJR-GARCH analyses. (2019). Jiang, Yonghong ; Mo, Bin ; Nie, HE. In: Energy. RePEc:eee:energy:v:166:y:2019:i:c:p:577-586.

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2019How do fossil energy prices affect the stock prices of new energy companies? Evidence from Divisia energy price index in Chinas market. (2019). Zhang, Huiming ; Fang, Xingming ; Ding, Dan ; Sun, Chuanwang ; Li, Jianglong. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:637-645.

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2019The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations. (2019). Abdoh, Hussein ; Awartani, Basel ; Maghyereh, Aktham I. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:895-913.

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2019Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: A case of Beijing CET market in China. (2019). Lin, Boqiang ; Chen, Yufang. In: Energy. RePEc:eee:energy:v:172:y:2019:i:c:p:1198-1210.

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2019Regime differences and industry heterogeneity of the volatility transmission from the energy price to the PPI. (2019). Lin, Boqiang ; He, Yongda. In: Energy. RePEc:eee:energy:v:176:y:2019:i:c:p:900-916.

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2019Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach. (2019). Naji, Jalkh ; Elie, Bouri ; Uddin, Gazi Salah ; Dutta, Anupam. In: Energy. RePEc:eee:energy:v:178:y:2019:i:c:p:544-553.

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2020Energy price and cost induced innovation: Evidence from China. (2020). Xu, Jian ; Yang, Xiandong ; Kong, Dongmin. In: Energy. RePEc:eee:energy:v:192:y:2020:i:c:s0360544219322819.

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2020The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspective. (2020). Cai, Guixin ; Zhang, Hao ; Yang, Dongxiao. In: Energy. RePEc:eee:energy:v:196:y:2020:i:c:s0360544220302061.

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2019Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach. (2019). Kumar, Satish ; Tiwari, Aviral Kumar ; Ji, Qiang ; Chauhan, Yogesh. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:273-284.

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2019Good and bad volatility spillovers: An asymmetric connectedness. (2019). Bensaida, Ahmed. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95.

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2019Forecasting gold price fluctuations using improved multilayer perceptron neural network and whale optimization algorithm. (2019). el Aziz, Mohamed Abd ; Alameer, Zakaria ; Jianhua, Zhang ; Ye, Haiwang ; Ewees, Ahmed A ; Elaziz, Mohamed Abd. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:250-260.

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2019Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria. (2019). Awodumi, Olabanji B ; Adewuyi, Adeolu O ; Abodunde, Temitope T. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:348-362.

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2019Commodity volatility shocks and BRIC sovereign risk: A GARCH-quantile approach. (2019). Jalkh, Naji ; Bouri, Elie ; Roubaud, David. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:385-392.

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2019Nonlinear effects of financial factors on fluctuations in nonferrous metals prices: A Markov-switching VAR analysis. (2019). Zhu, Xuehong ; Chen, Jinyu ; Zhong, Meirui. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:489-500.

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2019Spillovers from oil to precious metals: Quantile approaches. (2019). Ur, Mobeen ; Hussain, Syed Jawad ; Jammazi, Rania. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:508-521.

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2019Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach. (2019). Mishra, Shekhar ; Meo, Muhammad Saeed ; Sharif, Arshian ; Rehman, Syed Abdul ; Khuntia, Sashikanta. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:292-304.

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2019A quantile regression analysis of flights-to-safety with implied volatilities. (2019). Troster, Victor ; Bouri, Elie ; Roubaud, David. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:482-495.

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2019Time-varying effects of international copper price shocks on Chinas producer price index. (2019). Hu, Chunyan ; Zhao, Cong ; Wen, Fenghua. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:507-514.

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2019Time-varying effect of the financialization of nonferrous metals markets on Chinas industrial sector. (2019). Chen, Jin-Yu ; Huang, Jian-Bai ; Zhou, Ying-Zhe. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420718302812.

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2019Portfolio management and dependencies among precious metal markets: Evidence from a Copula quantile-on-quantile approach. (2019). Wanas, Idries Mohammad ; Maitra, Debasish ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719303496.

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2019Testing the predictability of commodity prices in stock returns of G7 countries: Evidence from a new approach. (2019). Salisu, Afees ; Raheem, Ibrahim D ; Isah, Kazeem O. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s030142071930399x.

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2020Modeling the nexus of crude oil, new energy and rare earth in China: An asymmetric VAR-BEKK (DCC)-GARCH approach. (2020). Zheng, Biao ; Chen, Yufeng ; Qu, Fang. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420718306950.

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2019Leverage effect and dynamics correlation between international crude oil and China’s precious metals. (2019). Qu, Fang ; Chen, Yufeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119313238.

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2019Measuring the connectedness of European electricity markets using the network topology of variance decompositions. (2019). Fang, Libing ; Peng, Xuerong ; Yang, YE ; Xiao, Binqing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313172.

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2020Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach. (2020). Peng, Rui ; Cai, Wen-Li ; Pan, Fei ; Liu, Xiang-Dong. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:197:y:2020:i:c:s0951832019306854.

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2019A revisited renewable consumption-growth nexus: A continuous wavelet approach through disaggregated data. (2019). Bilgili, Faik ; Tou, Nurhan ; Kukaya, Sevda ; Balita, Hilal H ; Bulut, Umit ; Koak, Emrah ; Mualolu, Erhan. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:107:y:2019:i:c:p:1-19.

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2020The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach. (2020). Xiao, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:173-186.

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2020Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach. (2020). Huang, Liqing ; Zhu, Bangzhu ; Wang, Ping ; Ye, Shunxin ; Yuan, Lili. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:163-175.

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2019A quantitative study of the interactions between oil price and renewable energy sources stock prices. (2019). Sotis, Chiari ; Romano, Alessandro ; Dominioni, Goran. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:100548.

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2019Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets. (2019). Demirer, Riza ; Balcilar, Mehmet ; Hammoudeh, Shawkat. In: Working Papers. RePEc:emu:wpaper:15-48.pdf.

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2019Causality in Quantiles and Dynamic Relations in Energy Markets. (2019). Andersson, Jonas ; Kyritsis, Evangelos. In: Working Papers. RePEc:fer:wpaper:116.

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2019Detection of Lead-Lag Relationships Using Both Time Domain and Time-Frequency Domain; An Application to Wealth-To-Income Ratio. (2019). Skoura, Angeliki. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:2:p:28-:d:219048.

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2019Recognitive Approach to the Energy Policies and Investments in Renewable Energy Resources via the Fuzzy Hybrid Models. (2019). Yuksel, Serhat ; Dincer, Hasan ; Li, Weijie ; Wang, Shubin. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:23:p:4536-:d:291908.

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2019A Quantitative Study of the Interactions between Oil Price and Renewable Energy Sources Stock Prices. (2019). Sotis, Chiara ; Romano, Alessandro ; Dominioni, Goran. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:9:p:1693-:d:228344.

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2020Hedging Strategies of Green Assets against Dirty Energy Assets. (2020). Tran, Dang Khoa ; Bouri, Elie ; Saeed, Tareq. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:12:p:3141-:d:372689.

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2020Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?. (2020). Hamori, Shigeyuki ; Liu, Tiantian. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:12:p:3162-:d:373133.

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2020Dynamics of Connectedness in Clean Energy Stocks. (2020). Herrera, Rodrigo ; Fuentes, Fernanda. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:14:p:3705-:d:386412.

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2020Can One Reinforce Investments in Renewable Energy Stock Indices with the ESG Index?. (2020). Hamori, Shigeyuki ; Liu, Guizhou. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:5:p:1179-:d:328478.

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2019On Identifying the Systemically Important Tunisian Banks: An Empirical Approach Based on the △CoVaR Measures. (2019). ben Sassi, Salim ; Khiari, Wided. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:122-:d:297153.

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2019Risk Transmission between Chinese and U.S. Agricultural Commodity Futures Markets—A CoVaR Approach. (2019). Ke, Yangmin ; Liu, Ping ; McKenzie, Andrew M. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:1:p:239-:d:195131.

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2019Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects. (2019). Gao, Wangfeng ; Xu, Guoxiang. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:5:p:1402-:d:211569.

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2019Sustainable Visual Analysis for Bank Non-Performing Loans and Government Debt Distress. (2019). Kim, Jong-Min ; Liu, Yumin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2019:i:1:p:131-:d:301083.

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2020Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions. (2020). Rahman, Sanzidur ; Sriboonchitta, Songsak ; Qi, Yang ; Song, Quanrui ; Liu, Jianxu. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4000-:d:357862.

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2020Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Bonato, Matteo. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4309-:d:362539.

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2020Analysis of Tail Dependence between Sovereign Debt Distress and Bank Non-Performing Loans. (2020). Ren, Guang-Qian ; Zhong, Rui ; Kim, Jong-Min ; Liu, Yu-Min . In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:2:p:747-:d:311096.

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2020Copula-based local dependence among energy, agriculture and metal commodities markets. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Ji, Qiang. In: Working Papers. RePEc:hal:wpaper:hal-02501815.

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2019Can Variations in Temperature Explain the Systemic Risk of European Firms?. (2019). Sagitova, Roza ; Chatziantoniou, Ioannis ; Kizys, Renatas ; Tzouvanas, Panagiotis. In: Environmental & Resource Economics. RePEc:kap:enreec:v:74:y:2019:i:4:d:10.1007_s10640-019-00385-0.

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2019Asymmetric Effects of Exchange Rates on Stock Prices in G7 Countries. (2019). Lee, Chin ; Habibi, Arash. In: Capital Markets Review. RePEc:mfa:journl:v:27:y:2019:i:1:p:19-33.

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2019EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness. (2019). Chatziantoniou, Ioannis ; Gabauer, David. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2019-07.

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2020Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates. (2020). Nguyen, Duc Khuong ; Fan, Ying ; Liu, Bing-Yue ; Ji, Qiang. In: MPRA Paper. RePEc:pra:mprapa:101387.

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2020The effects of oil prices on equity market returns in BRICS grouping: A quantile-on-quantile approach. (2020). Bonga-Bonga, Lumengo ; Mabanga, Chris. In: MPRA Paper. RePEc:pra:mprapa:101403.

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2020Sentiment and Financial Market Connectedness: The Role of Investor Happiness. (2020). GUPTA, RANGAN ; Gabauer, David ; Demirer, Riza ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202022.

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2019Dynamic integration and network structure of the EMU sovereign bond markets. (2019). Sensoy, Ahmet ; Hacihasanoglu, Erk ; Rostom, Ahmed ; Nguyen, Duc Khuong. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2831-1.

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2019Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis. (2019). Fazelabdolabadi, Babak. In: Financial Innovation. RePEc:spr:fininn:v:5:y:2019:i:1:d:10.1186_s40854-019-0128-2.

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2019Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities. (2019). Cech, Frantisek ; Baruník, Jozef ; Barunik, Jozef. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1167-1189.

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2020Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach. (2020). Lee, Kiseop ; Jang, Hyun Jin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:2:p:247-275.

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Works by Andrea Ugolini:


YearTitleTypeCited
2020Price connectedness between green bond and financial markets In: Economic Modelling.
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2015A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector In: The North American Journal of Economics and Finance.
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article14
2015Downside/upside price spillovers between precious metals: A vine copula approach In: The North American Journal of Economics and Finance.
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article17
2018Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network In: Emerging Markets Review.
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article2
2016Quantile dependence of oil price movements and stock returns In: Energy Economics.
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article43
2017Wavelet-based test of co-movement and causality between oil and renewable energy stock prices In: Energy Economics.
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article43
2018The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach In: Energy Economics.
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article8
2018The impact of Twitter sentiment on renewable energy stocks In: Energy Economics.
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article4
2020Network connectedness of green bonds and asset classes In: Energy Economics.
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2016Downside and upside risk spillovers between exchange rates and stock prices In: Journal of Banking & Finance.
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article44
2015Systemic risk in European sovereign debt markets: A CoVaR-copula approach In: Journal of International Money and Finance.
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article53
2016The impact of downward/upward oil price movements on metal prices In: Resources Policy.
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2017Quantile causality between gold commodity and gold stock prices In: Resources Policy.
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article7
2020Price spillovers between rare earth stocks and financial markets In: Resources Policy.
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article0
2016Median Response to Shocks: A Model for VaR Spillovers in East Asia In: Econometrics Working Papers Archive.
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2019Interdependence Between Renewable-Energy and Low-Carbon Stock Prices In: Energies.
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2016Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System In: ICMA Centre Discussion Papers in Finance.
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