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Dynamic spillover between commodities and commodity currencies during United States Q.E.

Pick Schen Yip; Brooks, Robert; Do, Hung Xuan - In: Energy economics 66 (2017), pp. 399-410

Persistent link: https://www.econbiz.de/10011896519

What drives cross-market correlations during the United States Q.E.?

Pick Schen Yip; Brooks, Robert; Do, Hung Xuan; Xuan Vinh Vo - In: International review of financial analysis 83 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013460973

Asset market linkages : evidence from financial, commodity and real estate assets

Kam Fong Chan; Sirimon Treepongkaruna; Brooks, Robert; … - In: Journal of banking & finance 35 (2011) 6, pp. 1415-1426

Persistent link: https://www.econbiz.de/10009244977

Dynamic Spillover between Commodities and Commodity Currencies During United States Q.E

Yip, Pick Schen - 2017

This paper comprehensively discusses the dynamic relationship between commodities and commodity currencies, particularly during the U.S. quantitative easing (QEs), by integrating the generalized spillover index into a fractionally integrated VAR (FIVAR) model. Our empirical analyses reach the...

Persistent link: https://www.econbiz.de/10012951897

Natural gas and the utility sector nexus in the U.S. : quantile connectedness and portfolio implications

Pham, Son Duy; Nguyen, Thao Thac Thanh; Do, Hung Xuan - In: Energy economics 120 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014285867

Does the U.S. export inflation? : evidence from the dynamic inflation spillover between the U.S. and EAGLEs

Nguyen, Thao Thac Thanh; Pham, Son Duy; Li, Xiao-Ming; … - In: International review of economics & finance : IREF 94 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014583705

Is there a banking risk premium in the US stock market?

Zeng, Liujing; Au Yong, Hue Hwa; Sirimon Treepongkaruna; … - In: Journal of financial management, markets and institutions 2 (2014) 1, pp. 27-42

Persistent link: https://www.econbiz.de/10011949651

A re-examination of the empirical performance of the Longstaff and Schwartz two-factor term structure model using real yield data

Faff, Robert W.; Sirimon Treepongkaruna - In: Australian journal of management 38 (2013) 2, pp. 333-352

Persistent link: https://www.econbiz.de/10009786619

Insider trading and the algorithmic trading environment

Chang, Millicent; Gould, John; Huang, Yuyun; Sirimon … - In: International review of finance : the official journal … 22 (2022) 4, pp. 725-750

Persistent link: https://www.econbiz.de/10013472711

Does the U.S. Export Inflation? Evidence from the Dynamic Inflation Spillover between the U.S. And Eagles

Pham, Son Duy; Nguyen, Thao T.T; Do, Hung Xuan - 2023

Given inflation’s crucial role as a key economic barometer, our paper investigates the dynamic inflation spillover between the U.S. and the nine emerging and growth-leading economies (EAGLEs) between 1991M1 and 2020M2. Employing the recently developed time-varying parameter vector...

Persistent link: https://www.econbiz.de/10014355644