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Global imbalances, cross-market linkages, and the financial crisis : a multivariate Markov-switching analysis

Chevallier, Julien - In: Economic modelling 29 (2012) 3, pp. 943-973

Persistent link: https://www.econbiz.de/10009545490

Macroeconomics, finance, commodities : interactions with carbon markets in a data-rich model

Chevallier, Julien - In: Economic modelling 28 (2011) 1/2, pp. 557-567

Persistent link: https://www.econbiz.de/10009269897

Outliers and time-varying jumps in the cryptocurrency markets

Dutta, Anupam; Bouri, Elie - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-7

We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns are contaminated with outliers. Time-varying jumps...

Persistent link: https://www.econbiz.de/10013163949

Safe haven, hedge and diversification for G7 stock markets : gold versus bitcoin

Shahzad, Syed Jawad Hussain; Bouri, Elie; Roubaud, David; … - In: Economic modelling 87 (2020), pp. 212-224

Persistent link: https://www.econbiz.de/10012416442

COVID-19 outbreak and CO2 emissions : macro-financial linkages

Chevallier, Julien - In: Journal of risk and financial management : JRFM 14 (2021) 1/12, pp. 1-18

In the Dynamic Conditional Correlation with Mixed Data Sampling (DCC-MIDAS) framework, we scrutinize the correlations between the macro-financial environment and CO2 emissions in the aftermath of the COVID-19 diffusion. The main original idea is that the economy’s lock-down will alleviate part...

Persistent link: https://www.econbiz.de/10012404280

Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises

Zhu, Bo; Lin, Renda; Deng, Yuanyue; Chen, Pingshe; … - In: Economic modelling 105 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10013367151

Measuring systemic risk in the global banking sector : a cross-quantilogram network approach

Baumöhl, Eduard; Bouri, Elie; Hoang, Thi Hong Van; … - In: Economic modelling 109 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013348234

Sustainable versus conventional cryptocurrencies in the face of cryptocurrency uncertainty indices : an analysis across time and scales

UI Haq, Inzamam; Bouri, Elie - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-16

Are conventional and sustainable cryptocurrencies effective hedging instruments for high cryptocurrency uncertainty? This paper examines co-movements between conventional (Bitcoin, Ethereum, Binance Coin, Tether) and sustainable (Cardano, Powerledger, Stellar, Ripple) cryptocurrencies and two...

Persistent link: https://www.econbiz.de/10013471441