In this article, we show how the copula-GARCH approach can be appro- priately used to investigate the conditional dependence structure between the crude oil and natural gas markets as well as to derive implications for port- folio risk management in extreme economic conditions. Using daily price...

We consider the problem of accurate market risk modeling for agricultural commodity products over heterogeneous investment horizons using copulas and wavelet methods. Our results indicate that the degree and structure of the dependence of daily commodity returns on the three market risk factors...

We study the conditional dependence structure between crude oil prices and U.S. dollar exchange rates using a copula-GARCH approach. Various copula functions of the elliptical, Archimedean and quadratic families are used to model the underlying dependence structure in both bearish and bullish...

Past studies suggest that the Islamic Â…nance system is only weakly linked or even de- coupled from conventional markets. If this statement is true, then this system may provide a cushion against potential losses resulting from probable future Â…nancial crises. In this article, we make use...

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the

This paper analyzes the short-term dynamics of the prices of CO2 emissions, using the vector autoregression (VAR) and the vector error-correction Models (VECM). The data are monthly for the prices of oil, coal, natural gas, electricity and carbon emission allowances. The results show that: (i) a...

We use the recently developed nonlinear autoregressive distributed lags (NARDL) model to examine the pass-through of changes in crude oil prices, natural gas prices, coal prices and electricity prices to the CO2 emission allowance prices. This approach allows one to simultaneously test the...

This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia, India, China and South Africa) and influential global factors (the S&P 500 index, the commodity markets, the global stock market uncertainty and the US economic policy...

We use a quantile regression framework to investigate the impact of changes in crude oil pric- es, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emis- sion allowance prices in the United States. We find that: (i) an increase in the crude oil price...

This article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in MENA countries during a black swan period that is characterized by rarity and devastating impacts. By using the nonlinear and asymmetric causality test of Kyrtsou and Labys...