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The impact of economic policy uncertainties on the volatility of European carbon market

Dai, Peng-Fei; Xiong, Xiong; Toan Luu Duc Huynh; Wang, … - In: Journal of commodity markets 26 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013453831

Dynamic linkages between international oil price, plastic stock index and recycle plastic markets in China

Gu, Fu; Wang, Jiqiang; Guo, Jianfeng; Fan, Ying - In: International review of economics & finance : IREF 68 (2020), pp. 167-179

Persistent link: https://www.econbiz.de/10012486314

Preventing crash in stock market: The role of economic policy uncertainty during COVID-19

Dai, Peng-Fei; Xiong, Xiong; Liu, Zhifeng; Sun, Jianjun - In: Financial Innovation 7 (2021) 1, pp. 1-15

This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show...

Persistent link: https://www.econbiz.de/10012602912

Tail Dependence Structure and Extreme Risk Spillover Effects between the International Agricultural Futures and Spot Markets

Dai, Yun-Shi; Dai, Peng-Fei; Zhou, Wei-Xing - 2023

This paper combines the Copula-CoVaR approach with the ARMA-GARCH-skewed Student-t model to investigate the tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets, taking four main agricultural commodities, namely soybean,...

Persistent link: https://www.econbiz.de/10014355159

Industries' heterogeneous reactions during the COVID-19 outbreak : evidence from Chinese stock markets

Liu, Zhifeng; Dai, Peng-Fei; Toan Luu Duc Huynh; Zhang, … - In: Journal of international financial management & accounting 34 (2023) 2, pp. 243-278

Persistent link: https://www.econbiz.de/10014336555

How does climate policy uncertainty affect financial markets? : evidence from Europe

Tedeschi, Marco; Foglia, Matteo; Bouri, Elie; Dai, Peng-Fei - In: Economics letters 234 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015065789

Preventing crash in stock market : the role of economic policy uncertainty during COVID-19

Dai, Peng-Fei; Xiong, Xiong; Liu, Zhifeng; Toan Luu Duc … - In: Financial innovation : FIN 7 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012510333

A global economic policy uncertainty index from principal component analysis

Dai, Peng-Fei; Xiong, Xiong; Zhou, Wei-Xing - In: Finance research letters 40 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012819228

Stress testing climate risk : a network-based analysis of the Chinese banking system

Xu, Hai-Chuan; Li, Tai-Min; Dai, Peng-Fei; Nguyen, Duc … - In: Journal of international money and finance 149 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015183332

The impact of COVID-19 on the stock market crash risk in China

Liu, Zhifeng; Toan Luu Duc Huynh; Dai, Peng-Fei - In: Research in international business and finance 57 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10013332988