Part A: Special Section on COVID-19 Research

Sharma, Susan Sunila; Sha, Yezhou

doi:10.1080/1540496x.2020.1858617

Cited by 54 publications

(19 citation statements)

References 12 publications

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“…The COVID-19 pandemic has slowed down global economic progress (see [34] , [35] , [36] ; Sha & Sharma, 2020; Sharma and Sha, 2020). In this paper, we propose the hypothesis that COVID-19 has influenced the relationship between oil prices and exchange rates (Euro/USD).…”

Section: Introductionmentioning

confidence: 99%

Effect of COVID-19 on the relationship between Euro/USD exchange rate and oil price

Devpura

2021

MethodsX

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We investigate the relationship between the Euro-United States Dollar (Euro/USD) exchange rate and oil futures price using intra-day data. The dataset is on hourly basis from 01/07/2019 to 30/11/2020 and 17-hour per day, from 01:00am to 17:00pm. By employing a predictive regression model, we observe oil price has influenced Euro/USD exchange rate but the evidence is very limited. Further, when we control for the effect of COVID-19, this relationship vanishes. Overall, COVID-19 shows some effect on the exchange rate during March 2020. There is no predictive ability of oil price on Euro/USD exchange rate after controlling for COVID-19.

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Section: Introductionmentioning

confidence: 99%

Effect of COVID-19 on the relationship between Euro/USD exchange rate and oil price

Devpura

2021

MethodsX

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“…This paper examines the asymmetric causal relationship from COVID-19 to fossil energy prices. The emergence of COVID-19 has challenged the global economic and financial systems (Iyke, 2020b;Phan & Narayan, 2020;Sharma & Sha, 2020). On March 11, the World Health Organization (WHO) announced that the COVID-19 pandemic had become a "global pandemic" and cumulative confirmed cases had reached 42 million in more than 200 nations in October 2020.…”

Section: Introduction I Introductionmentioning

confidence: 99%

Asymmetric Link Between COVID-19 and Fossil Energy Prices

Wang

2021

Asian Economics Letters

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This paper investigates the asymmetric relationship between COVID-19 and fossil energy prices through bootstrap Fourier Granger Causality test in quantiles. The empirical results indicate that COVID-19 influences oil and natural gas prices in high volatile quantiles. Meanwhile, no significant causal link is discovered in the coal market. Therefore, we provide some important policy implications in terms of results.

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“…Also, increasing the firm year observations can provide better results when ML techniques are used. In stressful times, like Covid-19 pandemic (see Sharma and Sha, 2020), measurement of credit risk is very important and incorporating new pandemic related data points will make the credit risk model more robust and valid. In our study, the best predictive model was selected using trial and error method by training the model through many iterations.…”

Section: Discussionmentioning

confidence: 99%

Credit Risk Modelling for Indian Debt Securities Using Machine Learning

Charumathi

Thiagarajan

2021

BEMP

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We develop a new credit risk model for Indian debt securities rated by major credit rating agencies in India using the ordinal logistic regression (OLR). The robustness of the model is tested by comparing it with classical models available for ratings prediction. We improved the model’s accuracy by using machine learning techniques, such as the artificial neural networks (ANN), support vector machines (SVM) and random forest (RF). We found that the accuracy of our model has improved from 68% using OLR to 82% when using ANN and above 90% when using SVM and RF.

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Part A: Special Section on COVID-19 Research

Cited by 54 publications

References 12 publications

Effect of COVID-19 on the relationship between Euro/USD exchange rate and oil price

Effect of COVID-19 on the relationship between Euro/USD exchange rate and oil price

Asymmetric Link Between COVID-19 and Fossil Energy Prices

Credit Risk Modelling for Indian Debt Securities Using Machine Learning

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