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1Academic Journal
Συγγραφείς: Faroque Ahmed, Kazi Sohag, Oleg Mariev
Πηγή: R-Economy. 11:110-137
Θεματικοί όροι: 金 融市场状况, GLOBAL ECONOMIC POLICY UNCERTAINTY, 全球地缘政治 风险, QUANTILE-BASED ANALYSIS, 经济政策不确定性, FINANCIAL STRESS INDEX, 金融压力指数, УСЛОВИЯ ФИНАНСОВОГО РЫНКА, GLOBAL GEOPOLITICAL RISK, 分位数分析, КВАНТИЛЬНЫЙ АНАЛИЗ, FINANCIAL MARKET CONDITIONS, ИНДЕКС ФИНАНСОВОГО СТРЕССА, ГЛОБАЛЬНЫЙ ГЕОПОЛИТИЧЕСКИЙ РИСК, НЕОПРЕДЕЛЕННОСТЬ ЭКОНО-МИЧЕСКОЙ ПОЛИТИКИ
Σύνδεσμος πρόσβασης: https://elar.urfu.ru/handle/10995/143123
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2
Συγγραφείς: 呂伊寒, Lu, Yi-Han
Συνεισφορές: 淡江大學經濟學系碩士班, 萬哲鈺, Wan, Jer-Yuh
Θεματικοί όροι: conditional correlation, DCC-GARCH, financial stress index, oil return, volatility contagion, 波動傳染, 金融壓力指數, 原油報酬, 條件相關係數
Περιγραφή αρχείου: 144 bytes; text/html
Relation: 參考文獻 1. 高崇瑋、萬哲鈺 (2014)，「臺灣之利率轉嫁分析」，《臺灣經濟預測與政策》，44，45-101。 2. Bain, C. (2014), “What Next for Commodity Price Correlations?” Capital Economics, London 3. Bicchetti, D. and N. Maystre (2013), “The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data,” Algorithmic Finance, 2(3-4), 233-239. 4. Bekaert, G., C. Harvey and A. Ng (2005), “Market integration and contagion,” Journal of Business, 78, 39-69 5. Burbidge, J. and A. Harrison (1984), “Testing for the effects of oil-price rises using vector autoregressions,” International Economic Review, 459-484. 6. Bruno, M. and J. Sachs (1982), “Energy and resource allocation: A dynamic model of the Dutch Disease,” The Review of Economic Studies 49, 845-859. 7. Baker, S. R., N. Bloom and S. J. Davis (2016), “Measuring economic policy uncertainty,” The Quarterly Journal of Economics, 131(4), 1593-1636. 8. Bollerslev, T. (1986), “Generalized autoregressive conditional heteroscedasticity,” Journal of econometrics, 31(3), 307-327. 9. Bodie, Z. (1976), “Common stocks as a hedge against inflation,” The journal of finance, 31(2), 459-470. 10. Bodie, Z. and V. I. Rosansky (1980), “Risk and return in commodity futures,” Financial Analysts Journal, 36(3), 27-39. 11. Creti, A., M. Joëts, and V. Mignon (2013), “On the links between stock and commodity markets'' volatility,” Energy Economics, 37, 16-28. 12. Caporale, G. M., A. Cipollini and N. Spagnolo (2005), “Testing for contagion: a conditional correlation analysis,” Journal of Empirical Finance, 12(3), 476-489. 13. Cheng, I. H., A. Kirilenko and W. Xiong (2015), “Convective risk flows in commodity futures markets,” Review of Finance, 19(5), 1733-1781. 14. Chiang, T. C., B.N. Jeon and H. Li (2007), “Dynamic correlation analysis of financial contagion: Evidence from Asian markets,” Journal of International Money and Finance 26, 1206-1228. 15. Delatte, A. L. and C. Lopez (2013), “Commodity and equity markets: Some stylized facts from a copula approach,” Journal of Banking & Finance, 37(12), 5346-5356. 16. Du, L., H. Yanan, and C. Wei (2010), “The relationship between oil price shocks and China’s macro-economy: An empirical analysis,” Energy Policy 38(8), 4142-4151. 17. Dua, P., and D. Tuteja (2016), “Financial crises and dynamic linkages across international stock and currency markets,” Economic Modelling, 59, 249-261. 18. Engle, R. F. (1982), “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation,” Econometrica: Journal of the Econometric Society, 987-1007. 19. Engle, R. E. (2002), “Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models,” Journal of Business & Economic Statistics 20, 339-350. 20. Fama, E. F. (1981), “Stock returns, real activity, inflation, and money,” The American Economic Review, 71(4), 545-565. 21. Forbes, K. and R. Rigobon (2001), “Measuring contagion: conceptual and empirical issues,” In S. Claessens and K Forbes (eds.), International financial contagion. Boston: Kluwer Academic. 22. Forbes, K. and R. Rigobon (2002), “No contagion, only interdependence: measuring stock market co-movements,” The journal of Finance, 57(5), 2223-2261. 23. Fry-McKibbin, R., C. Y.-L. Hsiao and C. Tang (2014), “Contagion and Global Financial Crises: Lessons from nine crisis episodes,” Open Economies Review, 25, 521-570. 24. Girardi, D. (2012), “Do financial investors affect the price of wheat?” PSL Q. Rev. 65 (260), 79-109. 25. Gisser, M., and T. H. Goodwin (1986), “Crude oil and the macroeconomy: Tests of some popular notions: Note,” Journal of Money, Credit and Banking 18 (1), 95-103. 26. Henderson, B.J., N.D. Pearson and W. Li (2012), “New Evidence on the Financialization of Commodity Markets,” Working paper. Georgetown University of Illinois. 27. Hamilton, J. D. (1983), ”Oil and the macroeconomy since World War II,” The Journal of Political Economy 38 (2), 228-248. 28. Kenourgios, D., Samitas, A., and Paltalidis, N. (2011), “Financial crises and stock market contagion in a multivariate time-varying asymmetric framework,” Journal of International Financial Markets, Institutions and Money, 21(1), 92-106. 29. Mork, K. A. (1989), “Oil and the macroeconomy when prices go up and down: An extension of Hamilton’s results,” Journal of Political Economy 97 (3), 740-744. 30. Nagayev, R., M. Disli, K. Inghelbrecht and A. Ng (2016), “On the dynamic links between commodities and Islamic equity,” Energy Economics, 58, 125-140. 31. Nazlioglu, S., C. Erdem, and U. Soytas (2013), “Volatility spillover between oil and agricultural commodity markets,” Energy Economics 36, 658-665 32. Nazlioglu, S., U. Soytas and R. Gupta (2015), “Oil prices and financial stress: A volatility spillover analysis,” Energy Policy, 82, 278-288. 33. Ordu, B. M., & U. Soytaş. (2016), ”The Relationship Between Energy Commodity Prices and Electricity and Market Index Performances: Evidence from an Emerging Market,” Emerging Markets Finance and Trade, 52(9), 2149-2164. 34. Reboredo, J. C., and Uddin, G. S. (2016), “Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach,” International Review of Economics & Finance, 43, 284-298. 35. Rigobon, R. (2003), “On the measurement of the international propagation of shocks: is the transmission stable?” Journal of International Economics 61, 261-283. 36. Rajwani, S. and D. Kumar (2015), “A Dynamic Conditional Correlation Analysis-Based Approach to Test Financial Contagion in Developing Markets,” In S. Chatterjee, N. P. Singh, D. P. Goyal and N. Gupta (eds.), Managing in Recovering Markets. Springer India, 1-13. 37. Silvennoinen, A., and S. Thorp (2013), “Financialization, crisis and commodity correlation dynamics,” Journal of International Financial Markets, Institutions and Money, 24, 42-65. 38. Schmukler, S. L. (2004), “Benefits and risks of financial globalization: challenges for developing countries,” Globalization, Growth, and Poverty, World Bank Policy Research Report. 39. Turhan, I., E. Hacihasanoglu and U. Soytas (2013), “Oil prices and emerging market exchange rates,” Emerging Markets Finance and Trade, 49(sup1), 21-36. doi:10.2753/REE1540-496X4901S102 40. Teterin, P., Brooks, R., and Enders, W. (2016), “Smooth volatility shifts and spillovers in US crude oil and corn futures markets,” Journal of Empirical Finance, 38, 22-36. 41. van Horen, N., H. Jager and F. Klaassen (2006), “Foreign exchange market contagion in the Asian Crisis: A regression-based approach,” Review of World Economics, 142, 374-401; https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/114224; https://tkuir.lib.tku.edu.tw/dspace/bitstream/987654321/114224/1/index.html
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3Dissertation/ Thesis
Συγγραφείς: 刘黎平
Συνεισφορές: 李晓峰
Θεματικοί όροι: 系统性风险, 金融压力指数, 风险指数, systemic risk, financial stress index, systemic importance of financial institution
Relation: http://210.34.4.28/opac/openlink.php?strText=40890&doctype=ALL&strSearchType=callno; http://dspace.xmu.edu.cn/handle/2288/82180
Διαθεσιμότητα: http://dspace.xmu.edu.cn/handle/2288/82180