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Asymmetric pass through of energy commodities to US sectoral returns
(
Elsevier
, 2022 , Article)
The influence of the international energy market on different economic aspects has increased significantly, especially after an escalation in the financialization of the energy market. Likewise following this trend, the ...
Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies
(
Elsevier
, 2023 , Article)
This paper investigates the extreme dependence and risk spillovers between Bitcoin and the currencies of the BRICS and G7 economies. We find time-varying dependence between Bitcoin and all currencies. Moreover, when analysing ...
Do oil shocks affect the green bond market?
(
Elsevier
, 2022 , Article)
This study examines the predictive power of oil shocks for the green bond markets. In line with this aim, we investigated the extent to which oil shocks could be used to accurately make in- and out-of-sample forecasts for ...
Green bonds’ connectedness with hedging and conditional diversification performance
(
Elsevier Ltd
, 2023 , Article)
Investments in green assets are becoming increasingly significant, and they present a new asset class for investors. Consequently, the resulting connectedness among these green assets has implications for investments. Our ...
Comovement and spillover among energy markets: A Comparison across different crisis periods
(
Elsevier B.V.
, 2023 , Article)
We compare the comovement and spillover between returns of six developed energy markets during different crisis periods using wavelet multiple correlation and wavelet multiple cross-correlation. The considered countries ...