8
H index
8
i10 index
807
Citations
Queensland University of Technology | 8 H index 8 i10 index 807 Citations RESEARCH PRODUCTION: 10 Articles 27 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Annastiina Silvennoinen. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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The Journal of Financial Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
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NCER Working Paper Series / National Centre for Econometric Research | 9 |
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 3 |
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics | 3 |
Year | Title of citing document | |
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2021 | Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. (2021). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: CREATES Research Papers. RePEc:aah:create:2021-13. Full description at Econpapers || Download paper | |
2022 | A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01. Full description at Econpapers || Download paper | |
2022 | Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197. Full description at Econpapers || Download paper | |
2022 | Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970. Full description at Econpapers || Download paper | |
2023 | On 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. Full description at Econpapers || Download paper | |
2021 | Hedging uncertainty with cryptocurrencies: Is bitcoin your best bet?. (2021). Zopounidis, Constantin ; King, Timothy ; Koutmos, Dimitrios. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:4:p:815-837. Full description at Econpapers || Download paper | |
2021 | Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2. Full description at Econpapers || Download paper | |
2022 | Is the Tracking Error Time-Varying? Evidence from Agricultural ETCs. (2022). Biakowski, Jdrzej ; Perera, Devmali ; Bohl, Martin T. In: Working Papers in Economics. RePEc:cbt:econwp:22/13. Full description at Econpapers || Download paper | |
2021 | Integrated nested Laplace approximations for threshold stochastic volatility models. (2021). Rue, Havard ; Lopes, Maria Helena ; de Zea, P ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31804. Full description at Econpapers || Download paper | |
2021 | Oil Price Volatility Models during Coronavirus Crisis: Testing with Appropriate Models Using Further Univariate GARCH and Monte Carlo Simulation Models. (2021). Hadhek, Zouhaier ; Bouazizi, Tarek ; Lassoued, Mongi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-35. Full description at Econpapers || Download paper | |
2022 | The Interaction of Major Crypto-assets, Clean Energy, and Technology Indices in Diversified Portfolios. (2022). Ozay, Tugba ; Umut, Alican ; Ozdurak, Caner. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-02-54. Full description at Econpapers || Download paper | |
2021 | The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures. (2021). Ghafoor, Abdul ; Sifat, Imtiaz ; Ah, Abdollah. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000423. Full description at Econpapers || Download paper | |
2021 | Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Nekhili, Ramzi ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:73-96. Full description at Econpapers || Download paper | |
2023 | Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases. (2023). Jareo, Francisco ; Yousaf, Imran ; Arfaoui, Nadia. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:617-634. Full description at Econpapers || Download paper | |
2022 | Financial contagion drivers during recent global crises. (2022). Perote, Javier ; Cortes, Lina M ; Pineda, Julian. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322003042. Full description at Econpapers || Download paper | |
2021 | Price explosiveness in nonferrous metal futures markets. (2021). Xiong, Tao ; Ma, Richie Ruchuan. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:75-90. Full description at Econpapers || Download paper | |
2021 | Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410. Full description at Econpapers || Download paper | |
2021 | Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?. (2021). Lin, Ling ; Ou, Yangchen ; Jiang, Yong ; Zhou, Zhongbao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000334. Full description at Econpapers || Download paper | |
2021 | Analysis of the impact of COVID-19 pandemic on G20 stock markets. (2021). Dong, Zibing ; Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001455. Full description at Econpapers || Download paper | |
2022 | Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging. (2022). Hammoudeh, Shawkat ; Tiwari, Aviral Kumar ; Trabelsi, Nader. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000675. Full description at Econpapers || Download paper | |
2022 | Dynamic volatility connectedness between industrial metal markets. (2022). Zhou, Zicheng ; Liu, Tangyong ; Xu, Jun ; Gong, XU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001498. Full description at Econpapers || Download paper | |
2022 | Functional time series approach to analyzing asset returns co-movements. (2022). Xia, Yingcun ; Saart, Patrick W. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:127-151. Full description at Econpapers || Download paper | |
2022 | Effects of monetary policy news on financial assets: Evidence from Brazil on a bivariate VAR-GARCH model (2006–17). (2022). de Melo, Andre ; Noronha, George Augusto ; de Carvalho, Osmani Teixeira ; da Silva, Tarciso Gouveia. In: Emerging Markets Review. RePEc:eee:ememar:v:52:y:2022:i:c:s1566014122000334. Full description at Econpapers || Download paper | |
2021 | Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies. (2021). Wang, Qingwei ; Mazouz, Khelifa ; Ding, Wenjie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:42-56. Full description at Econpapers || Download paper | |
2021 | The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. (2021). Uddin, Gazi ; Makkonen, Adam ; Cardia, Michel Ferreira ; Rahman, Md Lutfur ; Vallstrom, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002802. Full description at Econpapers || Download paper | |
2021 | Global crude oil and the Chinese oil-intensive sectors: A comprehensive causality study. (2021). Leong, Soon Heng. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s014098832100431x. Full description at Econpapers || Download paper | |
2022 | Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x. Full description at Econpapers || Download paper | |
2022 | Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications. (2022). Kang, Sang Hoon ; Suleman, Muhammad Tahir ; Arif, Muhammad ; Hasan, Mudassar ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321006022. Full description at Econpapers || Download paper | |
2022 | Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic. (2022). Tiwari, Aviral ; Naifar, Nader ; Nasreen, Samia ; Elsayed, Ahmed H. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000299. Full description at Econpapers || Download paper | |
2022 | Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions. (2022). Kang, Sanghoon ; McIver, Ron ; Vo, Xuan Vinh ; Ur, Mobeen. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000603. Full description at Econpapers || Download paper | |
2022 | Time-varying dependence dynamics between international commodity prices and Australian industry stock returns: a Perspective for portfolio diversification. (2022). Tiwari, Aviral ; Hammoudeh, Shawkat ; Karikari, Nana Kwasi ; Aikins, Emmanuel Joel. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000731. Full description at Econpapers || Download paper | |
2022 | Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities. (2022). Nepal, Rabindra ; Paltrinieri, Andrea ; Naeem, Muhammad Abubakr ; Farid, Saqib. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001384. Full description at Econpapers || Download paper | |
2022 | Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic. (2022). Gabauer, David ; de Gracia, Fernando Perez ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002195. Full description at Econpapers || Download paper | |
2022 | How connected is the agricultural commodity market to the news-based investor sentiment?. (2022). Uddin, Gazi Salah ; Pham, Linh ; Cepni, Oguzhan ; Akyildirim, Erdinc. In: Energy Economics. RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003279. Full description at Econpapers || Download paper | |
2022 | The power of investors’ optimism and pessimism in oil market forecasting. (2022). Mishra, Tapas ; Parhi, Mamata ; Maaitah, Ahmad ; Mustanen, Dmitri. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322004091. Full description at Econpapers || Download paper | |
2022 | Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies. (2022). Konstandatos, Otto ; Rai, Alan ; Nikitopoulos, Christina Sklibosios ; Mwampashi, Muthe Mathias. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005011. Full description at Econpapers || Download paper | |
2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper | |
2021 | Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China. (2021). Huo, Rui ; Ahmed, Abdullahi D. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988320300803. Full description at Econpapers || Download paper | |
2021 | A closer look into the global determinants of oil price volatility. (2021). Filis, George ; Gabauer, David ; Filippidis, Michail ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320304321. Full description at Econpapers || Download paper | |
2021 | The role of oil as a determinant of stock market interdependence: The case of the USA and GCC. (2021). Herbst, Patrick ; Ziadat, Salem Adel ; McMillan, David G. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000074. Full description at Econpapers || Download paper | |
2021 | OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013. Full description at Econpapers || Download paper | |
2021 | Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2021). Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000761. Full description at Econpapers || Download paper | |
2021 | Determinants of project bond prices – Insights into infrastructure and energy capital markets. (2021). Wunsche, Andreas ; Horsch, Andreas ; Heyde, Frank ; Richter, Sylvia. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000803. Full description at Econpapers || Download paper | |
2021 | Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; al Rababa, Abdel Razzaq ; Mensi, Walid. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001675. Full description at Econpapers || Download paper | |
2021 | Forecasting selected energy commodities prices with Bayesian dynamic finite mixtures. (2021). Drachal, Krzysztof. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001882. Full description at Econpapers || Download paper | |
2021 | Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks. (2021). Tiwari, Aviral ; GUPTA, RANGAN ; Suleman, Muhammed Tahir ; Boachie, Micheal Kofi. In: Energy. RePEc:eee:energy:v:219:y:2021:i:c:s0360544220326918. Full description at Econpapers || Download paper | |
2021 | Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets. (2021). Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:225:y:2021:i:c:s0360544221004394. Full description at Econpapers || Download paper | |
2022 | Energy markets – Who are the influencers?. (2022). Ferreira, Paulo ; Quintino, Derick ; Bouri, Elie ; Dionisio, Andreia ; Almeida, Dora. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221022106. Full description at Econpapers || Download paper | |
2022 | The asymmetric effects of oil price shocks and uncertainty on non-ferrous metal market: Based on quantile regression. (2022). Li, Hailing ; Zhu, Xuehong ; Chen, Ying. In: Energy. RePEc:eee:energy:v:246:y:2022:i:c:s0360544222002687. Full description at Econpapers || Download paper | |
2021 | A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets. (2021). Guidi, Francesco ; Cagliesi, Gabriella. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000417. Full description at Econpapers || Download paper | |
2021 | Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets. (2021). Cao, Jiahui ; Wen, Fenghua ; Wang, Xiong ; Liu, Zhen. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001137. Full description at Econpapers || Download paper | |
2022 | Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?. (2022). Ben Amar, Amine ; Goutte, Stephane ; Isleimeyyeh, Mohammad ; Benkraiem, Ramzi. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s105752192200151x. Full description at Econpapers || Download paper | |
2022 | Dynamic connectedness and optimal hedging strategy among commodities and financial indices. (2022). Prigent, Jean-Luc ; Bellalah, Makram ; ben Slimane, Ikrame ; ben Amar, Amine ; Hachicha, Nejib. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002460. Full description at Econpapers || Download paper | |
2021 | Commodity financialisation and price co-movement: Lessons from two centuries of evidence. (2021). Mikutowski, Mateusz ; Zaremba, Adam ; Umar, Zaghum. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308402. Full description at Econpapers || Download paper | |
2021 | A realized EGARCH-MIDAS model with higher moments. (2021). Wu, Xinyu ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308505. Full description at Econpapers || Download paper | |
2021 | From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks. (2021). Matkovskyy, Roman ; Bouraoui, Taoufik ; Dowling, Michael ; Jalan, Akanksha. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309894. Full description at Econpapers || Download paper | |
2021 | Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds. (2021). Vo, Xuan Vinh ; Balli, Hatice ; Naeem, Muhammad Abubakr ; Ha, Thi Thu. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320304207. Full description at Econpapers || Download paper | |
2022 | Interest in cryptocurrencies predicts conditional correlation dynamics. (2022). Chuffart, Thomas. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002956. Full description at Econpapers || Download paper | |
2021 | Cross-commodity hedging for illiquid futures: Evidence from Chinas base metal futures market. (2021). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000508. Full description at Econpapers || Download paper | |
2021 | Asymmetric volatility connectedness between Islamic stock and commodity markets. (2021). McIver, Ron ; Suleman, Muhammad Tahir ; Kang, Sang Hoon. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s104402832100051x. Full description at Econpapers || Download paper | |
2021 | On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities. (2021). Yfanti, S ; Karanasos, M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000111. Full description at Econpapers || Download paper | |
2022 | Financial market linkages and the sovereign debt crisis. (2022). Amado, Cristina ; Campos-Martins, Susana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560621002473. Full description at Econpapers || Download paper | |
2021 | Asymmetric volatility in commodity markets. (2021). Mu, Xiaoyi ; Chen, Yu-Fu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300167. Full description at Econpapers || Download paper | |
2021 | Commodity index risk premium. (2021). Schwartz, Eduardo S ; Rojas, Maximiliano ; Ortega, Hector ; Cortazar, Gonzalo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300337. Full description at Econpapers || Download paper | |
2022 | The “necessary evil” in Chinese commodity markets. (2022). Zhang, Tingxi ; Mo, DI ; Fan, John Hua. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000209. Full description at Econpapers || Download paper | |
2022 | An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting. (2022). Wang, Shixuan ; Liu, Zhenya ; Han, Xuyuan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000222. Full description at Econpapers || Download paper | |
2022 | Linkage transitions between oil and the stock markets of countries with the highest COVID-19 cases. (2022). Ruza, Nadiah ; Nur-Firyal, R ; Hussain, Saiful Izzuan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851321000696. Full description at Econpapers || Download paper | |
2021 | Energy commodities, precious metals and industrial metal markets: A nexus across different investment horizons and market conditions. (2021). Vo, Xuan Vinh ; Ur, Mobeen. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720308746. Full description at Econpapers || Download paper | |
2021 | Asymmetric and time-frequency spillovers among commodities using high-frequency data. (2021). Vo, Xuan Vinh ; Shahzad, Syed Jawad Hussain ; Caporin, Massimiliano ; Hasan, Mudassar ; Arif, Muhammad ; Naeem, Muhammad Abubakr. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309879. Full description at Econpapers || Download paper | |
2021 | Dynamics of connectedness across crude oil, precious metals and exchange rate: Evidence from time and frequency domains. (2021). Dar, Arif ; Bhanja, Niyati ; Paul, Manas ; Shah, Adil Ahmad. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001689. Full description at Econpapers || Download paper | |
2021 | Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning. (2021). Vo, Xuan Vinh ; Ur, Mobeen ; Chen, James Ming. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001768. Full description at Econpapers || Download paper | |
2021 | Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. (2021). Umar, Zaghum ; Gabauer, David ; Balcilar, Mehmet. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002300. Full description at Econpapers || Download paper | |
2021 | On interdependence structure of Chinas commodity market. (2021). Yang, Xuan ; He, Limin ; Chen, Peng. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002671. Full description at Econpapers || Download paper | |
2021 | Information transmission and entropy-based network between Chinese stock market and commodity futures market. (2021). Hu, Ziang ; Niu, Hongli. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003044. Full description at Econpapers || Download paper | |
2021 | Financial regimes and oil prices. (2021). Mohammed, Mikidadu ; Barrales-Ruiz, Jose. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003093. Full description at Econpapers || Download paper | |
2022 | Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nations. (2022). Herbst, Patrick ; McMillan, David G ; Ziadat, Salem Adel. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004694. Full description at Econpapers || Download paper | |
2022 | How the price dynamics of energy resources and precious metals interact with conventional and Islamic Stocks: Fresh insight from dynamic ARDL approach. (2022). Ozturk, Ilhan ; Sharif, Arshian ; Ashraf, Muhammad Sajjad ; Khan, Muhammad Kamran ; Sarwat, Salman ; Godil, Danish Iqbal. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004785. Full description at Econpapers || Download paper | |
2022 | The importance of distinguishing between precious and industrial metals when investing in mining stocks. (2022). Lazzarino, Marco ; Berrill, Jenny ; Evi, Aleksandar. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002501. Full description at Econpapers || Download paper | |
2022 | Modelling the joint dynamics of financial assets using MGARCH family models: Insights into hedging and diversification strategies. (2022). Ali, Sajid ; Raza, Naveed ; Vo, Xuan Vinh ; Le, Van. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003075. Full description at Econpapers || Download paper | |
2022 | A comparative analysis of the financialization of commodities during COVID-19 and the global financial crisis using a quantile regression approach. (2022). Sharma, Aarzoo. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003671. Full description at Econpapers || Download paper | |
2023 | Do geopolitical oil price risk influence stock market returns and volatility of Pakistan: Evidence from novel non-parametric quantile causality approach. (2023). Ozkan, Oktay ; Saleem, Asima ; Khan, Nasir. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000636. Full description at Econpapers || Download paper | |
2023 | Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216. Full description at Econpapers || Download paper | |
2023 | The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors. (2023). Ben Amar, Amine ; Balli, Faruk ; Billah, Mabruk. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x23000021. Full description at Econpapers || Download paper | |
2022 | On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis. (2022). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:83:y:2022:i:c:p:135-151. Full description at Econpapers || Download paper | |
2022 | Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets. (2022). Ben Amar, Amine ; Goutte, Stephane ; Isleimeyyeh, Mohammad. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:85:y:2022:i:c:p:386-400. Full description at Econpapers || Download paper | |
2021 | Financial advice: Who Exactly Follows It?. (2021). Yagil, Joseph ; Qadan, Mahmoud ; Reiter-Gavish, Liron. In: Research in Economics. RePEc:eee:reecon:v:75:y:2021:i:3:p:244-258. Full description at Econpapers || Download paper | |
2022 | Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions. (2022). Junttila, Juha ; Uddin, Gazi Salah ; Kits, Ilya ; Borg, Elin. In: Renewable Energy. RePEc:eee:renene:v:190:y:2022:i:c:p:879-892. Full description at Econpapers || Download paper | |
2022 | Dynamic asymmetric impact of equity market uncertainty on energy markets: A time-varying causality analysis. (2022). Zhang, Yaojie ; Ye, Xiaoqing ; Wang, LU ; Hong, Yanran. In: Renewable Energy. RePEc:eee:renene:v:196:y:2022:i:c:p:535-546. Full description at Econpapers || Download paper | |
2022 | Dependence structure between the international crude oil market and the European markets of biodiesel and rapeseed oil. (2022). Yahya, Muhammad ; Dutta, Anupam ; Bouri, Elie ; Wadstrom, Christoffer ; Uddin, Gazi Salah. In: Renewable Energy. RePEc:eee:renene:v:197:y:2022:i:c:p:594-605. Full description at Econpapers || Download paper | |
2023 | Connectedness among El Niño-Southern Oscillation, carbon emission allowance, crude oil and renewable energy stock markets: Time- and frequency-domain evidence based on TVP-VAR model. (2023). Wang, Yizhi ; Bai, Lan ; Zhang, Jiahao ; Wei, YU. In: Renewable Energy. RePEc:eee:renene:v:202:y:2023:i:c:p:289-309. Full description at Econpapers || Download paper | |
2021 | Commodity futures returns and policy uncertainty. (2021). Bannigidadmath, Deepa ; Narayan, Paresh Kumar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:364-383. Full description at Econpapers || Download paper | |
2021 | Fair-weather Friends? Sector-specific volatility connectedness and transmission. (2021). Power, Gabriel ; Vedenov, Dmitry ; Liu, Pan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:712-736. Full description at Econpapers || Download paper | |
2022 | Good oil volatility, bad oil volatility, and stock return predictability. (2022). Wang, Yudong ; Xiao, Jihong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:953-966. Full description at Econpapers || Download paper | |
2022 | Geopolitical risk and oil price volatility: Evidence from Markov-switching model. (2022). Li, Tao ; Zeng, Qing ; Qian, Lihua. In: International Review of Economics & Finance. RePEc:eee:reveco:v:81:y:2022:i:c:p:29-38. Full description at Econpapers || Download paper | |
2022 | Investor sentiment spillover effect and market quality in crude oil futures. (2022). Chang, Ya-Kai ; Mo, Wan-Shin ; Chen, Yu-Lun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:177-193. Full description at Econpapers || Download paper | |
2022 | The value premium and investors appetite for risk. (2022). Jacob, Maram ; Qadan, Mahmoud. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:194-219. Full description at Econpapers || Download paper | |
2021 | In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types. (2021). Nagayev, Ruslan ; Aysan, Ahmet F ; Rizkiah, Siti K ; Salim, Kinan ; Disli, Mustafa. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000829. Full description at Econpapers || Download paper | |
2022 | Traders’ motivation and hedging pressure in commodity futures markets. (2022). Smimou, K ; Bosch, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001501. Full description at Econpapers || Download paper | |
2022 | Is the tracking error time-varying? Evidence from agricultural ETCs. (2022). Bohl, Martin T ; Biakowski, Jdrzej ; Perera, Devmali. In: Research in International Business and Finance. RePEc:eee:riibaf:v:63:y:2022:i:c:s027553192200126x. Full description at Econpapers || Download paper | |
2021 | How do Artificial Intelligence and Robotics Stocks co-move with traditional and alternative assets in the age of the 4th industrial revolution? Implications and Insights for the COVID-19 period. (2021). Bayraci, Selcuk ; Gencer, Hatice Gaye ; Demiralay, Sercan. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:171:y:2021:i:c:s0040162521004212. Full description at Econpapers || Download paper | |
2023 | The dynamic relationships between carbon prices and policy uncertainties. (2023). Wojewodzki, Michal ; Sharma, Satish ; Cai, Yifei ; Liu, Xiaoqin. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:188:y:2023:i:c:s0040162523000100. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2008 | Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 86 |
2007 | Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 86 | paper | |
2009 | Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.(2009) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 86 | article | |
2008 | Multivariate GARCH models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 94 |
2008 | Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
2008 | Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 23 |
2008 | Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
2005 | Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2012 | Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 34 |
2015 | Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | article | |
2014 | A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
2014 | A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2016 | A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2015 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
2016 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2016) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2015 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2015) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2017 | Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Modelling and forecasting WIG20 daily returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2017 | Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2017 | Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2018 | Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Volatility timing: How best to forecast portfolio exposures In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 8 |
2013 | Financialization, crisis and commodity correlation dynamics In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 442 |
2010 | Financialization, Crisis and Commodity Correlation Dynamics.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 442 | paper | |
2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 66 |
2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
2009 | On the economic benefit of utility based estimation of a volatility model In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Portfolio allocation: Getting the most out of realised volatility In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2011 | Volatility timing and portfolio selection: How best to forecast volatility In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Forecasting multivariate volatility in larger dimensions: some practical issues In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2013 | On the Benefits of Equicorrelation for Portfolio Allocation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2015 | Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 20 |
2016 | Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics.(2016) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
2016 | Volatility Dependent Dynamic Equicorrelation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2019 | Volatility-dependent correlations: further evidence of when, where and how In: Empirical Economics. [Full Text][Citation analysis] | article | 4 |
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