Due to the connections of energy uses, carbon emissions and climate, this study investigates the interactions, volatility spillovers, and long memory effects for carbon, oil, natural gas and coal markets by using FIEC-HYGARCH model. It also discusses the mediating effect of extreme weather. The...

This paper provides limit theorems for special density matrix estimators and functionals of it for a bivariate co variance stationary process whose spectral density matrix has singularities not only at the origin but possibly at some other frequencies, and thus applies to time series exhibiting...

The goal of this paper is to evaluate the hedging strategies performance of a range of copula and traditional methods for three spot and futures oil markets: WTI crude oil, propane and heating oil. Our contribution is two-fold. First, we model dependence structure between spot and futures oil...

In this paper, we examine the convergence hypothesis using a long memory framework that allows for structural breaks and the non reliance on a benchmark country. We find that even though the long memory framework of analysis is much richer than the simple I(1)/I(0) alternative, a simple absolute...

Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence effects. The finiteness of moments and the second...

This paper estimates the long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat, rubber, and...

Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily...

Long memory (long-term dependence) of volatility counts as one of the ubiquitous stylized facts of financial data. Inspired by the long memory property, multifractal processes have recently been introduced as a new tool for modeling financial time series. In this paper, we propose a parsimonious...

Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily...