Article
Economics
John Elder, James E. Payne
Summary: This study examines how oil price uncertainty affects unemployment rates among different racial and ethnic groups. The findings show that increased oil price uncertainty leads to higher unemployment rates, particularly for Blacks and Hispanics. The economic impact is substantial, with oil price uncertainty contributing to about 13 basis points increase in the overall unemployment rate and about 35 basis points during periods of high uncertainty. The study also reveals that uncertainty has a disproportionately larger effect on Black and Hispanic unemployment rates compared to White unemployment rates. Moreover, the analysis suggests that uncertainty exacerbates racial disparities in employment.
Article
Computer Science, Artificial Intelligence
Laura Arenas, Anna Maria Gil-Lafuente
Summary: The study found that the emerging technology environment has a significant impact on the volatility of the Spanish banking sector, Spanish market portfolio, and finance industry in the EU, with strong volatility transmission effects. Adding stocks from different emerging technologies to a portfolio does not necessarily reduce risk, as evidenced by increased integration and volatility spillover during high volatility periods.
JOURNAL OF INTELLIGENT & FUZZY SYSTEMS
(2021)
Article
Hospitality, Leisure, Sport & Tourism
Jagjeevan Kanoujiya, Soumyadip Pal, Shailesh Rastogi
Summary: This paper examines the impact of cryptocurrency volatility spillover effects on the tourism sector in India. The study finds that there is a connection between cryptocurrencies and foreign tourism in India. These findings have significant implications for policymakers to understand the importance of cryptocurrency and blockchain for tourism sector policies in India.
ASIA PACIFIC JOURNAL OF TOURISM RESEARCH
(2023)
Article
Economics
Nidhaleddine Ben Cheikh, Younes Ben Zaied, Sana Saidi, Mohamed Sellami
Summary: This study investigates the impact of the COVID-19 outbreak on the volatility spillover between oil and Gulf Cooperation Council (GCC) stock markets. The results show that there is a significant discrepancy in the GCC group, with some countries experiencing more apparent shock and volatility linkages between oil and equities than others. However, the GCC region seems to be less affected by the emergence of the new infectious disease.
JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION
(2022)
Article
Environmental Sciences
Mohammed A. Alkathery, Kausik Chaudhuri
Summary: This study analyzed the co-movement between oil price, EU carbon allowance prices, global clean energy index and equity index from GCC countries, revealing the existence of volatility spillover effects and co-movement among these variables. The research also found that market volatilities are influenced by shocks from the markets themselves, with long-run persistent volatilities more pronounced for oil and CO2 emission prices. The forecasting exercise demonstrated the superior performance of multivariate diagonal-BEKK GARCH models.
JOURNAL OF ENVIRONMENTAL MANAGEMENT
(2021)
Article
Energy & Fuels
Octavian Jude, Avraham Turgeman, Claudiu Botoc, Laura Raisa Milos
Summary: This paper aims to examine the spillover effects between energy markets and stock markets, specifically during significant crisis periods such as the 2008 financial crisis, the COVID-19 pandemic, and the recent Eastern Europe conflict. Understanding the transmission mechanisms and spillover effects between the energy and capital markets is crucial. The study utilizes multivariate GARCH models to analyze the spillover effects between energy commodities and equities in Central and Eastern Europe, highlighting the highest correlations with electricity and Brent, and the lowest with gas. The research finds that the COVID-19 pandemic resulted in the largest symmetric shocks, while the financial crisis and the Ukrainian invasion caused the biggest asymmetric shocks for gas and Brent, respectively. It also concludes that volatility in the marketplace is more sensitive to its lagged values than to new information, and that shocks from the oil market have a greater impact and contagion compared to other energy markets.
Article
Business, Finance
Surachai Chancharat, Parichat Sinlapates
Summary: This research examines the dynamic relationship between WTI crude oil and stock prices in twelve Asian countries. The study utilizes data from January 2, 2018, to June 13, 2023, and employs BEKK- and DCC-GARCH models. The findings indicate that crude oil volatility affects the stock markets in the ASEAN+6 region, with asymmetric volatility remaining prominent after significant crises. The research suggests that investors seeking portfolio diversification should take into account dynamic volatility and crude oil-stock price correlations to optimize returns and mitigate risk.
FINANCE RESEARCH LETTERS
(2023)
Article
Business, Finance
Yusui Tang, Feng Ma, Yaojie Zhang, Yu Wei
Summary: The study found that negative returns and 'bad' jumps have a greater impact on oil futures volatility than positive returns and 'good' jumps. The multivariate heterogeneous autoregressive model can generate more accurate volatility forecasts than individual models, highlighting the importance of incorporating stock market volatility information. The findings are robust across different test conditions and suggest that using common information can lead to greater gains for investors in the future.
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
(2022)
Article
Fisheries
Juan Jose Garcia-del-Hoyo, Ramon Jimenez-Toribio, David Castilla-Espino
Summary: This study examines the price volatility transmission of fresh anchovies (Engraulis encrasicolus) among different markets along the value chain in Spain. A VAR model and an asymmetric MGARCH model are used to analyze the relationship of price volatility among the markets. The results show that the retail market has the lowest volatility, and volatility in the first-hand sale and wholesale markets is only minimally transmitted to consumers. Asymmetric effects are observed in the price volatility transmission along the fresh anchovy value chain.
FISHERIES RESEARCH
(2023)
Article
Environmental Sciences
Domingo Rodriguez-Benavides, Roldan Andres-Rosales, Maria de la Cruz del Rio-Rama, Muhammad Irfan
Summary: This paper analyzes the impact of international oil price uncertainty on different sectors of the Mexican economy and suggests the need to implement public policies to mitigate the effects of oil market uncertainty on economic stability.
ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH
(2022)
Article
Environmental Sciences
Murat Can Genc, Aykut Ekinci, Burchan Sakarya
Summary: The study reveals that in Turkey, CO2 emissions are influenced by economic growth and energy consumption, but are restrained by the volatility of economic growth. The validity of the environmental Kuznets curve in Turkey was also confirmed in this study.
ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH
(2022)
Article
Economics
Pinar Deniz, Thanasis Stengos, M. Ege Yazgan
Summary: This paper explores the relationship between output growth and volatility using macroeconomic variables for a panel of countries during 1971-2014. It introduces an augmented panel GARCH-M model that incorporates independent variables into conditional equations for the first time and includes a wide range of countries and country groups. The findings suggest that trade openness contributes to economic growth while institutional quality reduces economic volatility.
EMPIRICAL ECONOMICS
(2021)
Article
Mathematics
Debopam Rakshit, Ranjit Kumar Paul, Md Yeasin, Walid Emam, Yusra Tashkandy, Christophe Chesneau
Summary: Seasonal production, weather abnormalities, and perishability contribute to the volatility of potato prices. Asymmetric price volatility occurs when positive and negative shocks have different effects. GARCH is a symmetric model that cannot capture this asymmetry, while EGARCH, APARCH, and GJR-GARCH models are popular for capturing asymmetric price volatility. This paper attempts to model the price volatility of potatoes in various markets using these models and confirms the presence of asymmetry through News Impact Curves (NICs).
Article
Mathematics
Jong-Min Kim, Chulhee Jun, Junyoup Lee
Summary: In handling extremely volatile financial data such as cryptocurrencies, the SV model outperforms the GARCH family models, with forecasting errors becoming more accurate as the forecast time horizon increases. This study provides deeper insights into volatility forecast models in the complex cryptocurrency market.
Article
Economics
Chao Liang, Zhenglan Xia, Xiaodong Lai, Lu Wang
Summary: This study analyzes the predictability of natural gas volatility by considering extreme weather information, and finds that the predictive model with weather indicators outperforms the model without them.
Article
Economics
Dayong Zhang, Marco R. Barassi, Jijun Tan
ECONOMETRIC REVIEWS
(2015)
Article
Economics
Marco Barassi, Yuqian Zhao
Article
Economics
M. R. Barassi, M. G. Ercolani, M. J. Herrerias, Z. Jin
Article
Computer Science, Interdisciplinary Applications
Marco R. Barassi, Guglielmo Maria Caporale, Stephen G. Hall
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
(2008)
Article
Economics
Marco R. Barassi, Nicola Spagnolo, Yuqian Zhao
ENVIRONMENTAL & RESOURCE ECONOMICS
(2018)
Article
Economics
Marco R. Barassi, Ying Zhou
EUROPEAN JOURNAL OF POLITICAL ECONOMY
(2012)
Article
Economics
Marco R. Barassi, Matthew A. Cole, Robert J. R. Elliott
ENVIRONMENTAL & RESOURCE ECONOMICS
(2011)
Article
Economics
Marco R. Barassi, Matthew A. Cole, Robert J. R. Elliott
ENVIRONMENTAL & RESOURCE ECONOMICS
(2008)
Article
Agricultural Economics & Policy
M. R. Barassi, A. Ghoshray
JOURNAL OF AGRICULTURAL ECONOMICS
(2007)
Article
Economics
MR Barassi, GM Caporale, SG Hall
OPEN ECONOMIES REVIEW
(2005)
Article
Economics
MR Barassi, GM Caporale, SG Hall
ECONOMIC MODELLING
(2005)
Article
Business, Finance
MR Barassi, GM Caporale, SG Hall
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
(2001)
Article
Economics
Marco Barassi
ECONOMICS BULLETIN
(2005)
