We compare nonlinear cointegration tests with the standard cointegration tests in studying the relationship of the Dow Jones Islamic finance index with three other conventional equity market indices. Our results show that there is a long-run nonlinear cointegrating relationship between the Dow...

Two recent nonlinear causality tests are used to examine the causal linkages across increasingly important international equity and commodity markets. We show that nonlinear causality is more appealing when asymmetric patterns are accounted for. The results are crucial to hedging and portfolio...

This study examines the risk spillovers between energy futures prices and Europe-based carbon futures contracts. We use a Markov regime-switching dynamic correlation, generalized autoregressive conditional heteroscedasticity (MSDCC- GARCH) model in order to capture the time variations and...

In this article, we examine the recent trends in dependence structure between the fast-growing commodity markets and the stock markets in China in order to draw implications for portfolio investment. We address this issue by using copula functions that allow for measuring both average and tail...

We develop models for examining possible predictors of the return on gold that embrace six global factors (business cycle, nominal, interest rate, commodity, exchange rate and stock price factors) and two uncertainty indices (the Kansas City Fed’s financial stress index and the U.S. Economic...

This paper investigates the influence of structural changes on the asymmetry of volatility spillovers, asset allocation and portfolio diversification between the USD/euro exchange market and each of six major spot petroleum markets including WTI, Europe Brent, kerosene, gasoline and propane....

This study aims to test the existence of J-curve phenomenon in Laos’s economy using quarterly data over the period of 1993-2010. The ARDL bounds testing approach to cointegration is used to examine short run as well as long run impact of real depreciation of Lao kip on Lao trade balance. The...

This paper investigates the relationship between industrialization, electricity consumption and CO2 emissions in case of Bangladesh using quarter frequency data over the period of 1975–2010. The ARDL bounds testing approach is applied to examine cointegration in the presence of structural...

The relationship between financial development and economic growth is not conclusive in existing economics literature. The aim of this paper is to test two hypotheses: ‘supply-leading’ hypothesis and ‘demand-following’ hypothesis, using Laos time series data. The ARDL bounds testing...