Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic [0.03%]
中国原油期货波动率的预测：MIDAS-RV模型和COVID-19疫情的新证据
Zhonglu Chen,Yong Ye,Xiafei Li
Zhonglu Chen
In this study, we focus on the role of jumps and leverage in predicting the realized volatility (RV) of China's crude oil futures. We employ a standard mixed data sampling (MIDAS) modeling framework. First, the in-sample results indicate th...
Coping with a dual shock: The economic effects of COVID-19 and oil price crises on African economies [0.03%]
应对双重危机冲击：COVID-19和石油价格危机对非洲经济的影响
Théophile T Azomahou,Njuguna Ndung&#x;u,Mahamady Ouédraogo
Théophile T Azomahou
Oil-dependent countries face a twin-shock: in addition to the COVID-19 outbreak, they are facing an oil price collapse. In this paper, we study the impact of this dual shock on the forecasted GDP growth in Africa using the COVID-19 outbreak...
The impact of COVID-19 news, panic and media coverage on the oil and gold prices: An ARDL approach [0.03%]
COVID-19新闻，恐慌和媒体报道对石油和黄金价格的影响：ARDL方法分析
Hanen Atri,Saoussen Kouki,Mohamed Imen Gallali
Hanen Atri
This study investigates whether COVID-19 news, panic and media coverage affect oil and gold prices. Using the ARDL approach over the period January 23, 2020 to June 23, 2020, we find that COVID-19 deaths and panic have negative effects on c...
On the relation between Pandemic Disease Outbreak News and Crude oil, Gold, Gold mining, Silver and Energy Markets [0.03%]
关于流行病疫情新闻与原油、黄金、金矿、白银和能源市场的关系
Imlak Shaikh
Imlak Shaikh
Fear of the disease outbreak news (DONs) has shocked commodity markets and raised the likelihood of economic uncertainty and recession globally. This article examines the unprecedented overreaction of investors sentiments in the commodities...
Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold [0.03%]
比特币能否在新冠爆发前和期间为伊斯兰股市提供对冲？与黄金的比较分析
Walid Chkili,Aymen Ben Rejeb,Mongi Arfaoui
Walid Chkili
This paper applies the DCC-FIGARCH model to investigate the role of Bitcoin as a hedge and safe haven for Islamic stock markets in comparison with gold. We use daily data for the period January 2010-May 2020, which covers the recent COVID-1...
Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach [0.03%]
COVID-19大流行对原油价格的影响：来自经济物理学方法的证据
Cheima Gharib,Salma Mefteh-Wali,Vanessa Serret et al.
Cheima Gharib et al.
This paper provides an analysis of crude oil, diesel, and gasoline prices for the period from November 1, 2019 to December 31, 2020. We apply Log Periodic Power-Law Singularity (LPPLS) and Discrete Scale LPPLS bubble indicators to explore t...
Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic [0.03%]
加密货币与石油价格冲击：COVID-19大流行中的NARDL分析
Francisco Jareño,María de la O González,Raquel López et al.
Francisco Jareño et al.
This study explores potential non-linear and asymmetric interdependencies between oil price shocks and leading cryptocurrency returns. In addition, this research splits changes in crude oil prices into three relevant components: risk, deman...
Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic [0.03%]
新冠病毒大流行中原油隐含波动率指数与非洲股票之间异质性关系的模型分析
Ebenezer Boateng,Anokye M Adam,Peterson Owusu Junior
Ebenezer Boateng
This paper revisited the crude oil - stock market nexus to examine how the oil implied volatility index (a forward-looking and more accurate measure for uncertainty in oil prices) affects stock returns in major Africa's oil-importing (South...
Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak [0.03%]
稀土与金融市场：COVID-19爆发期间收益和波动性联系的动态变化
Ying Song,Elie Bouri,Sajal Ghosh et al.
Ying Song et al.
This study examines the return and volatility connectedness between the rare earth stock market and clean energy markets, world equity, base metals, gold, and crude oil. Using daily data from September 21, 2010 to August 28, 2020, a time-va...
Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices [0.03%]
COVID-19疫情对食品和石油价格多尺度不对称溢出效应的影响
Yan Cao,Sheng Cheng
Yan Cao
This paper analyzes the time-frequency spillover effects between food and crude oil markets, two particularly important commodity markets, under the impact of the pandemic. Using the BK frequency domain spillover index and the rolling windo...