A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating … extreme subsamples for comparing market relationships in the construction of contagion tests. Our original approach is useful …

contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into …

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher … correlations between oil and stock markets returns during turbulent phases in the oil market, for all countries in our sample. Our …

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …-wise correlations and sets to zero those elements that are not statistically significant, taking account of the multiple testing nature … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …

; which is based on the number of non-zero pair-wise cross correlations of these errors. We prove that our estimator, ᾶ; is …

in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co-skewness …We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis periods …, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of …

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both … factor-augmented vector autoregression approach, improves forecasting performance for many variables, particularly at short …

appropriatetool for forecasting business conditions. …

probabilities with a simple GDP forecasting model yields an accurate nowcast for the steepest decline in GDP in 2009Q1 and a correct … prediction of the timing of the Great Recession and its recovery one quarter in advance. …