Search Results for author:
Found 13 papers, 1 papers with code
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.
Correlation structure analysis of the global agricultural futures market
This paper adopts the random matrix theory (RMT) to analyze the correlation structure of the global agricultural futures market from 2000 to 2020.
Testing for intrinsic multifractality in the global grain spot market indices: A multifractal detrended fluctuation analysis
Extensive statistical tests confirm the presence of intrinsic multifractality in the maize and barley sub-indices and the absence of intrinsic multifractality in the wheat and rice sub-indices.
Visibility graph analysis of the grains and oilseeds indices
The average clustering coefficients of the six VGs are quite large (>0. 5) and exhibit a nice power-law relation with respect to the average degrees of the VGs.
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.
Hierarchical contagions in the interdependent financial network
We derive the default cascade model and the fire-sale spillover model in a unified interdependent framework.
How does economic policy uncertainty comove with stock markets: New evidence from symmetric thermal optimal path method
We revisit the dynamic relationship between domestic economic policy uncertainty and stock markets using the symmetric thermal optimal path (TOPS) method.
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.
Visibility graph analysis of economy policy uncertainty indices
Uncertainty plays an important role in the global economy.
Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market
Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum based on raw returns and idiosyncratic returns, respectively.
Generalized q-Analysis of Log-Periodicity: Applications to Critical Ruptures
We use this generalized q-analysis to construct a signature called the (H, q)-derivative of discrete scale invariance, which we use to detect the log-periodicity in the energy release rate and its cumulative preceding the rupture of five pressure tanks made of composite carbon-matrix material.
Statistical Mechanics
