In the paper we test for the different reactions of stock markets to the current financial crisis. We focus on Central European stock markets, namely the Czech, Polish and Hungarian ones, and compare them to the German and U.S. benchmark stock markets. Using wavelet analysis, we decompose a time...

In this paper, we contribute to the literature on international stock market comovement. The novelty of our approach lies in usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock market returns in a different way. Major part...

For the biofuel markets and related commodities, we study their price transmission, which is in fact equivalent to studying price cross-elasticities. Importantly, we focus on the price dependence of the price transmission mechanism. Several methodological caveats are discussed. Specifically, we...

We examine co-movements between biofuels (ethanol and biodiesel) and a wide range of commodities and assets in the USA, Europe, and Brazil. The main contributions are twofold. First, we analyze a unique dataset of 32 commodities and relevant assets (between 2003 and 2015) which is unprecedented...

Assessing the extreme events is crucial in financial risk management. All risk managers and financial institutions want to know the risk of their portfolio under rare events scenarios. We illustrate a multivariate market risk estimating method which employs Monte Carlo simulations to estimate...

Oil price shocks, which materialize in petrol prices, put severe inflationary pressures on countries that rely largely on fossil fuels, causing financial instability. The Renewable Fuel Standard (RFS) program, implemented in the USA in 2005, sanctions blending corn-based ethanol with fuel and...