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The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model
The findings indicate that modeling based on rolling window performs better in describing the overall volatility of the wheat, maize, soybean, and rice markets, and the two-factor models generally exhibit stronger explanatory power in most cases.
Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures markets
Based on these results, decision-makers are advised to safeguard against the price risk of agricultural futures under sudden economic events, and investors can utilize the results to construct a superior investment portfolio by taking different agricultural product futures as risk-leading indicators according to various situations.
The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots
The ongoing Russia-Ukraine conflict between two major agricultural powers has posed significant threats and challenges to the global food system and world food security.
Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets
This paper combines the Copula-CoVaR approach with the ARMA-GARCH-skewed Student-t model to investigate the tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets, taking four main agricultural commodities, namely soybean, maize, wheat, and rice as examples.
Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic.
The impact of COVID-19 on the stock market crash risk in China
This study investigates the impact of the COVID-19 pandemic on the stock market crash risk in China.
Visibility graph analysis of economy policy uncertainty indices
Uncertainty plays an important role in the global economy.
The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model
For single-factor models, the GEPU index and its changes, as well as realized volatility, are consistent effective factors in predicting the volatility of crude oil futures.
The impact of economic policy uncertainties on the volatility of European carbon market
The European Union Emission Trading Scheme is a carbon emission allowance trading system designed by Europe to achieve emission reduction targets.
