We investigate the ambiguity spillover among international equity markets. We follow Brennan and Izhakian (2018) and develop monthly ambiguity measures using high-frequency trading data of equity indices. The ambiguity spillover demonstrates noticeable asymmetry. The US equity market is the...

In this study, we estimate the multi-period Value at Risk (VaR) of oil future prices under a generalized autoregressive conditional heteroscedasticity with a skewed-t residuals (GARCH-ST) model, which is developed to account for the stylized facts of oil futures returns, such as serial...

This paper revisits the asymmetric price transmission in the U.S. oil-gasoline markets by a multiple threshold error-correction model. Unlike the previous studies, the regimes and thresholds are endogenously determined by sequential model selection. A nonlinear asymmetric pattern is discovered...

In this paper, we use the skewed t copula with a DCC (Dynamic Conditional Correlation) model to capture the time-varying asymmetric tail dependence among MSCI US, Europe and Emerging markets. The empirical results show that it is important to take account of asymmetric tail dependence when...