19 documents found, page 1 of 2

Exploring the connection between geopolitical risks and energy markets

This study delves into the complexities of energy commodity futures and clean energy indexes, analyzing their responses to geopolitical risk. The detrended fluctuation analysis was applied, and the efficiency index was estimated to assess energy market behavior better. This approach allows the evaluation of long-range dependence and market efficiency. The findings show evolving patterns influenced by significan...

Information flow between asset classes during extreme events

The interconnectedness between asset classes becomes particularly relevant during extreme events, as market stress amplifies risk spillovers and impacts asset relationships, influencing risk transmission and financial market stability. While existing studies often examine financial interdependencies, including extended periods, they frequently focus on specific markets or asset classes, limiting the understandi...

Exploring the connection between geopolitical risks and energy markets

This study delves into the complexities of energy commodity futures and clean energy indexes, analyzing their responses to geopolitical risk. The detrended fluctuation analysis was applied, and the efficiency index was estimated to assess energy market behavior better. This approach allows the evaluation of long-range dependence and market efficiency. The findings show evolving patterns influenced by significan...

Changes in community mobility and Covid-19 cases: a multiscale analysis for por...

Application of Multifractal Analysis in Estimating the Reaction of Energy Marke...

Since the industrial revolution, the geopolitics of energy has been a driver of global prosperity and security, and determines the survival of life on our planet. This study examines the nonlinear structure and multifractal behavior of the cross-correlation between geopolitical risk and energy markets (West Texas Intermediate (WTI), Brent, natural gas and heating oil), using the multifractal detrended cross-cor...

Analysis of the Impact of COVID-19 Pandemic on the Intraday Efficiency of Agric...

The investigation of the fractal nature of financial data has been growing in the literature. The purpose of this paper is to investigate the impact of the COVID-19 pandemic on the efficiency of agricultural futures markets by using multifractal detrended fluctuation analysis (MF-DFA). To better understand the relative changes in the efficiency of agriculture commodities due to the pandemic, we split the datase...

The use of transfer entropy to analyse the comovements of European Union stock ...

Understanding the linkages among stock markets holds great importance for investors, policymakers and portfolio managers. When considering the integration of international stock markets and given they are complex systems, it is important to understand how they are related and how they influéncé each other. Studying data from 25 European Union stock market indices, this piece of research aims to evaluate the dyn...

A new vision about the influence of major stock markets in CEEC indices: a bidi...

This research work aims to understand the dynamics of influence among CEEC stock market indices and between these and the US, German, UK and Chinese indices. Through a nonlinear approach, based on transfer entropy, we find strongly influential relationships between some CEEC indices and the influencing nature of the US index stands out. In addition to the complexity of causality relationships, which has a limit...

Cross-correlations between economic policy uncertainty and precious and industr...

Intraday Volatility Spillovers among European Financial Markets during COVID-19