Global ETD Search
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Showing 1 to 2 of 2 for “"Return Spillover"”.
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Quantile Connectedness and Tail Risks: Interactions between Agricultural and Energy Markets
This study examines the return spillovers and tail-risk dynamics between energy and agricultural commodity markets using a quantile vector autoregression (QVAR) model. We investigate connectedness in the futures contract returns of ten commodities, including energy products (crude oil, heating oil, …
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Momentum, Nonlinear Price Discovery and Asymmetric Spillover: Sovereign Credit Risk and Equity Markets of Emerging Countries and
… error correction model (TVECM) asymmetrical return spillover modeling for sovereign credit default swaps (CDS), bonds and equity markets of seventeen emerging markets from four geographical regions. I find that there is non-linear cointegration and momentum in long-run adjustment process in …