Standard regression techniques model only the mean of the response variable. Quantile regression (QR) is more powerful in that it depicts a comprehensive relationship between the response variable and independent covariates at different quantiles. It…
This study tests and documents the information content of all publicly available implied volatility indices regarding both the realized volatility and the returns of the underlying asset. These topics present a path traveled by earlier work, but…
The main aim of this paper is to investigate the influence of global oil and gold prices on the Iran stock market during the Covid-19 pandemic. The approach used in this study is the quantile regression method and the effective parameters on the…
This paper proposes two new methods (the Quantile Group LASSO and the Quantile Group SCAD models) to evaluate the predictability of a large group of factors on carbon futures returns. The most powerful predictors are selected through the…
This study investigates how energy and stock markets affect the dynamics of green stock price returns considering recent periods of crises and increased uncertainty. Particularly, following the 21st Conference of the Parties (COP21)-Paris agreement…
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 Africa,…
With the proposal of the new development pattern of "dual circulation", the connection between China and the international market is even closer. As crude oil is one of the commodities which has been financialized deeply, the active international…