2024
DOI: 10.1108/jrf-04-2023-0096
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Time–frequency correlation and risk spillovers between Euramerican mature and Asian emerging crude oil futures markets

Shuifeng Hong,
Yimin Luo,
Mengya Li
et al.

Abstract: PurposeThis paper aims to empirically investigate time–frequency linkages between Euramerican mature and Asian emerging crude oil futures markets in terms of correlation and risk spillovers.Design/methodology/approachWith daily data, the authors first undertake the MODWT method to decompose yield series into four different timescales, and then use the R-Vine Copula-CoVaR to analyze correlation and risk spillovers between Euramerican mature and Asian emerging crude oil futures markets.FindingsThe empirical resu… Show more

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“…Xie et al (2024) examine the pandemic's ramifications on market discipline, with a specific focus on the banking sector in emerging markets, providing crucial insights into market reactions and the resilience of financial institutions amidst global turmoil. Similarly, Hong et al (2024) explore the interactions and risk transmissions between mature and emerging crude oil markets, offering a vital understanding of how global crises affect market interconnections. Pham and Chu (2024) scrutinize governmental responses to the pandemic and their impacts on stock markets, offering a comparative analysis of different countries' measures on financial markets.…”
Section: Introductionmentioning
confidence: 99%
“…Xie et al (2024) examine the pandemic's ramifications on market discipline, with a specific focus on the banking sector in emerging markets, providing crucial insights into market reactions and the resilience of financial institutions amidst global turmoil. Similarly, Hong et al (2024) explore the interactions and risk transmissions between mature and emerging crude oil markets, offering a vital understanding of how global crises affect market interconnections. Pham and Chu (2024) scrutinize governmental responses to the pandemic and their impacts on stock markets, offering a comparative analysis of different countries' measures on financial markets.…”
Section: Introductionmentioning
confidence: 99%