This paper examines the short- and long-run daily relationships for a grain-energy nexus that includes the prices of corn, crude oil, ethanol, gasoline, soybeans, and sugar, and their open interest. The empirical results demonstrate the presence of these relationships in this nexus, and...

This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...

This paper analyzes the dual long memory properties of four major foreign exchange markets of the world oil exporter Saudi Arabia, using the ARFIMA–FIGARCH model under several global events. It discerns the impacts of both scheduled and unscheduled news announcements and structural changes on...

Using the vector auto-regression (VAR) and the vector error-correction Models (VECM), this paper analyzes the short-term dynamics of the prices of CO2 emissions in response to changes in the prices of oil, coal, natural gas, electricity and carbon emission allowances. The results show that: (i)...

This study performs the challenging task of examining the forecastability behavior of the stock market returns for the Dow Jones Industrial Average (DJIA) and the Dow Jones Islamic (DJIM) market indices, using non-parametric regressions. These indices represent different markets in terms of...

This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive

This study examines the effects of the monetary policy of the United States on commodity prices. Using a Bayesian Structural VAR, we identify the interest rate shocks as a measure of the stance of the U.S. mon- etary policy and evaluate their impacts on different types of commodity prices. The...