Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests

Jena, Sangram Keshari; Tiwari, Aviral Kumar; Hammoudeh, Shawkat; Roubaud, David

doi:10.1016/j.eneco.2018.11.013

Cited by 52 publications

(18 citation statements)

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“…In doing so, the authors adopted the Brock et al [43] test on the residuals of the variable equation of the vector autoregressive model (VAR). The results of the BDS test are presented in Table 3; 'm' in the first row refers to the embedded dimensions [44][45][46]. The outcomes confirmed the rejection of the null hypothesis of residuals at the 1% significance level across different dimensions.…”

Section: Resultsmentioning

confidence: 54%

An Investigation of an Adaptive Neuro-Fuzzy Inference System to Predict the Relationship among Energy Intensity, Globalization, and Financial Development in Major ASEAN Economies

et al. 2020

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The enhancement of the financial sector significantly drives a nation’s economy and thereby increase energy intensity. Considering this situation, the current study aims to examine the link between globalization and financial advancements with the energy intensity of the top 5 ASEAN (Association of Southeast Asian Nations) economies. The development structure of the ASEAN region is considered significant for having stable growth. The authors used the annual data from 1990 to 2018 for five of the largest ASEAN economies: Singapore, Malaysia, Thailand, Indonesia, and the Philippines. The present study used novel methodology, the Adaptive Neuro-Fuzzy Inference System (ANFIS), to examine the nonlinear behaviour among globalization, financial development, and energy intensity in the top 5 ASEAN countries. The study results using ANFIS confirm that globalization and financial development are positively correlated and have a significant impact on the energy intensity level in the top ASEAN countries. The results further suggest that globalization and financial development increase the level of energy intensity more in the countries that are developed relative to their peers in the top ASEAN countries. Moreover, the outcomes of ANFIS also suggest that those countries, which are more globalized and financially developed, have more potential to increase the level of energy intensity. Therefore, the government needs to focus more on projects that involve renewable energy and are environmentally friendly.

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Section: Resultsmentioning

confidence: 54%

An Investigation of an Adaptive Neuro-Fuzzy Inference System to Predict the Relationship among Energy Intensity, Globalization, and Financial Development in Major ASEAN Economies

et al. 2020

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“…We believe that, to some extent, the results obtained from this procedure are able to control for the effect of Z on X. We used this procedure following Jena, Tiwari, Hammoudeh, and Roubaud ().…”

Section: Robustness Analysismentioning

confidence: 99%

Dependence between the global gold market and emerging stock markets (E7+1): Evidence from Granger causality using quantile and quantile‐on‐quantile regression methods

2019

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“…CiQ model being nonparametric also helps in analyzing the causality-in-variance, i.e., high-order dependencies. (Balcilar et al 2017a , b , c , 2018 ) for which the CiQ model is gaining popularity recently (Shahbaz et al 2017 ; Raza et al 2018b ; Jena et al 2019 ). Linear causality test using Toda-Yamamoto method of Granger causality test and CiQ model are discussed in detail in next section.…”

Section: Introductionmentioning

confidence: 99%

The asymmetric relationship between Baltic Dry Index and commodity spot prices: evidence from nonparametric causality-in-quantiles test

Bandyopadhyay

Rajib

2021

Miner Econ

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Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests

Cited by 52 publications

References 60 publications

An Investigation of an Adaptive Neuro-Fuzzy Inference System to Predict the Relationship among Energy Intensity, Globalization, and Financial Development in Major ASEAN Economies

An Investigation of an Adaptive Neuro-Fuzzy Inference System to Predict the Relationship among Energy Intensity, Globalization, and Financial Development in Major ASEAN Economies

Dependence between the global gold market and emerging stock markets (E7+1): Evidence from Granger causality using quantile and quantile‐on‐quantile regression methods

The asymmetric relationship between Baltic Dry Index and commodity spot prices: evidence from nonparametric causality-in-quantiles test

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