This article examines the nonlinear Granger causality and time-varying influence between crude oil prices US dollar (USD) exchange rate using Hiemstra Jones (HP) test, Diks Panchenko (DP) test parameter structural vector autoregression model. By applying iterated cumulative sums of squares (ICSS) algorithm DCC-GARCH model, effects breaks in volatility two markets are also investigated. The empirical analysis indicates that, first, Granger-cause USD rate, but not vice versa. Second, exerts a...

The 26th edition of the United Nations climate change conference (COP26) underlines importance financial products and markets related to "carbon" (e.g., carbon green bond markets). We, our knowledge, are first construct a framework based on multiple time scales market conditions quantify interrelationship between futures markets. Specifically, we estimate it from short-, medium-, long-term perspectives different by combining maximum overlap discrete wavelet transform (MODWT) two quantile...

This study investigates the environmental footprint impacts of nuclear energy consumption in presence technology and globalization ten largest ecological countries from 1990 up to 2017. By considering a set methods that can help solve issue cross-sectional dependence, we employ Lagrange multiplier bootstrap cointegration method, Driscoll-Kraay standard errors for long-run estimation feasible generalized least squares (FGLS) panel-corrected (PCSE) robustness. The finding revealed significant...

Abstract This paper proposes a new predictor by calculating the difference between Japanese candlestick’s upper and lower shadows (ULD) constructed from CBOE volatility index (VIX) data. ULD is powerful for future stock returns, higher leads to subsequent decline of returns. Our results show that our generates R^2 values up 2.531% 3.988% in-sample out-of-sample, respectively; these are much larger than previous fundamental predictors. Moreover, predictive information contained in can help...

Abstract This paper develops a time‐varying parameter vector autoregressive model to examine the dynamic effects of crude oil prices and monetary policy on China's economy during January 1996 June 2017. The empirical results indicate that (a) in general, international price shocks have positive effect economic growth inflation short run, but long‐run appears diverse; (b) overall; specifically, an increase supply can partly offset prices' negative growth; (c) has plays important role...

This paper examines whether the equity market uncertainty (EMU) index contains incremental information for forecasting realized volatility of crude oil futures. We use 5-min high-frequency transaction data WTI futures and develop six heterogeneous autoregressive (HAR) models based on classical HAR-type models. The empirical results suggest that EMU more than economic policy (EPU) More importantly, we argue is a non negligible additional predictive variable can significantly improve 1-day...

This paper, using the singular spectrum analysis (SSA), decomposes stock price into terms of trend, market fluctuation, and noise with different economic features over time horizons, then introduce these support vector machine (SVM) to make predictions. The empirical evidence shows that, compared SVM without features, combination predictive methods-the EEMD-SVM SSA-SVM, which combine SVMs perform better, best prediction SSA-SVM.

This article mainly focuses on investigating the nonlinear co-integration and causality relationships between oil prices Chinese stock market at overall sectoral levels by using autoregressive distributed lags (NARDL) model Diks Panchenko (DP) test. The empirical results show that there are not significantly asymmetric effects for levels. However, can be found. Specifically, widely affect indices through channel. cases in reverse also work Mining, Utilities, Financial Real Estate sectors....

In this paper, by taking full consideration of distributed delay, demographics and contact heterogeneity the individuals, we present a detailed analytical study Susceptible-Infected-Removed (SIR) epidemic model on complex population networks. The basic reproduction number R 0 is dominated topology underlying network, properties individuals which include birth rate, death removed rate infected continuously time delay. By constructing suitable Lyapunov functional employing Kirchhoff's matrix...

We investigate the effect of investor risk compensation (IRC) on stock market returns and role sentiment in influencing link between IRC returns. Results reveal that current has a significant positive while past negative effect. Meanwhile, is sustainable with different states, this not associated magnitude sentiment. Regarding compensation, its impact return also exists signs related to value discuss implications findings.