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Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective
16 references·2 citing·40 second hopsampled
Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective (2023)Research on tail risk contagion in intern…Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Quantile Connectedness: Model…Three Decades of Climate Mitigation: Why Haven't We Bent the Global Emissions Curve? (2021)Three Decades of Climate Miti…Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach (2021)Interest rate swaps and the t…Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Time and frequency dynamics o…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Climate change challenges for central banks and financial regulators (2018)Climate change challenges for…Estimating global bank network connectedness (2017)Estimating global bank networ…Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy (2016)Determinants of CO2 emissions…CO2 emissions, renewable energy and the Environmental Kuznets Curve, a panel cointegration approach (2016)CO2 emissions, renewable ener…Where the Risks Lie: A Survey on Systemic Risk (2015)Where the Risks Lie: A Survey…The effect of renewable energy consumption on economic growth: Evidence from top 38 countries (2015)The effect of renewable energ…Tail Risk and Asset Prices (2014)Tail Risk and Asset PricesOn the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Understanding the effects of artificial intelligence on energy transition: The moderating role of Paris Agreement (2024)Understanding the effects of …Extreme weather, policy uncertainty, and risk spillovers between energy, financial, and carbon markets (2024)Extreme weather, policy uncer…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Testing for unit roots in heterogeneous panels (2003)General Diagnostic Tests for Cross Section Dependence in Panels (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)The influence of real output, renewable and non-renewable energy, trade and financial development on carbon emissions in the top renewable energy countries (2016)Impact of renewable energy consumption and financial development on CO2 emissions and economic growth in the MENA region: A panel vector autoregressive (PVAR) analysis (2019)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Bounds testing approaches to the analysis of level relationships (2001)CO2 emissions, economic and population growth, and renewable energy: Empirical evidence across regions (2018)Determinants of the ecological footprint: Role of renewable energy, natural resources, and urbanization (2019)Effect of natural resources, renewable energy and economic development on CO2 emissions in BRICS countries (2019)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Renewable energy, nuclear energy, and environmental pollution: Accounting for political institutional quality in South Africa (2018)Econometric Analysis of Panel Data (2021)Effects of digital economy on carbon emission reduction: New evidence from China (2022)The Theory of Economic Development (2003)The Economics of Climate Change (2007)The Economics of Climate Change: The Stern Review (2007)Climate Change, Financial Stability and Monetary Policy (2018)Climate Risks and Financial Stability (2020)Central bank mandates, sustainability objectives and the promotion of green finance (2021)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Common risk factors in the returns on stocks and bonds (1993)Determining the Number of Factors in Approximate Factor Models (2002)Connectedness between geopolitical risk, financial instability indices and precious metals markets: Novel findings from Russia Ukraine conflict perspective (2022)Dynamic connectedness among climate change index, green financial assets and renewable energy markets: Novel evidence from sustainable development perspective (2022)The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises (2023)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 2015The effect of renewable energy consumption on economic growth: Evidence from top 38 countries1,534 cited
  • 2016Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy1,134 cited
  • 2016CO2 emissions, renewable energy and the Environmental Kuznets Curve, a panel cointegration approach875 cited
  • 2018Climate change challenges for central banks and financial regulators844 cited
  • 2022Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks831 cited
  • 2014Tail Risk and Asset Prices788 cited
  • 2015Where the Risks Lie: A Survey on Systemic Risk688 cited
  • 2018Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices643 cited
  • 2017Estimating global bank network connectedness

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637 cited
  • 2021Three Decades of Climate Mitigation: Why Haven't We Bent the Global Emissions Curve?576 cited
  • 2021Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach524 cited
  • Cited by

    • 2024Extreme weather, policy uncertainty, and risk spillovers between energy, financial, and carbon markets83 cited
    • 2024Understanding the effects of artificial intelligence on energy transition: The moderating role of Paris Agreement82 cited