Search Results - "Reboredo, Juan C."

Green bond and financial markets: Co-movement, diversification and price spillover effects by Reboredo, Juan C.

“…We examine co-movement between the green bond and financial markets, finding that the green bond market couples with corporate and treasury bond markets and…”
Get full text

Price connectedness between green bond and financial markets by Reboredo, Juan C., Ugolini, Andrea

“…We study price connectedness between the green bond and financial markets using a structural vector autoregressive (VAR) model that captures direct and…”
Get full text

The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach by Reboredo, Juan C., Ugolini, Andrea

“…We assess the impact of quantile price movements in oil, gas, coal and electricity on the quantiles of clean energy stock returns using a multivariate…”
Get full text

Network connectedness of green bonds and asset classes by Reboredo, Juan C., Ugolini, Andrea, Aiube, Fernando Antonio Lucena

“…We identify network connectedness between green bonds and different asset classes over different investment horizons in the EU and US asset markets. We first…”
Get full text

Systemic risk in European sovereign debt markets: A CoVaR-copula approach by Reboredo, Juan C., Ugolini, Andrea

“…We studied systemic risk in European sovereign debt markets before and after the onset of the Greek debt crisis, taking the conditional value-at-risk (CoVaR)…”
Get full text

The impact of Twitter sentiment on renewable energy stocks by Reboredo, Juan C., Ugolini, Andrea

“…We study the impact of Twitter sentiment and sentiment divergence on returns, volatility and trading volumes for renewable energy stocks. Based on daily time…”
Get full text

Wavelet-based test of co-movement and causality between oil and renewable energy stock prices by Reboredo, Juan C., Rivera-Castro, Miguel A., Ugolini, Andrea

“…We studied co-movement and causality between oil and renewable energy stock prices using continuous and discrete wavelets, firstly, to obtain information on…”
Get full text

Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach by Reboredo, Juan C., Uddin, Gazi Salah

“…This paper examines the impact of financial stress and policy uncertainty on the price dynamics of energy (crude oil, heating oil and gas) and metal (gold,…”
Get full text

Volatility spillovers between the oil market and the European Union carbon emission market by Reboredo, Juan C.

“…This paper examines the dynamics of volatility transmission between EU emission allowances (EUA) and oil markets using a range-based volatility measure. We…”
Get full text

Modeling EU allowances and oil market interdependence. Implications for portfolio management by Reboredo, Juan C.

“…This paper examines the dependence structure between European Union allowances (EUAs) and crude oil markets during the second commitment period of the European…”
Get full text

A wavelet decomposition approach to crude oil price and exchange rate dependence by Reboredo, Juan C., Rivera-Castro, Miguel A.

“…This paper studies the relationship between oil prices and US dollar exchange rates using wavelet multi-resolution analysis. We characterized the oil…”
Get full text

Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets? by Mensi, Walid, Hammoudeh, Shawkat, Reboredo, Juan C., Nguyen, Duc Khuong

“…This study examines whether the Sharia-compliant stocks measured by Dow Jones Islamic World Emerging Market index (DJIWEM), gold and the U.S. Treasury bills…”
Get full text

Is there dependence and systemic risk between oil and renewable energy stock prices? by Reboredo, Juan C.

“…We study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the…”
Get full text

Gold and exchange rates: Downside risk and hedging at different investment horizons by Reboredo, Juan C., Rivera-Castro, Miguel A.

“…This paper assesses the hedging and downside risk benefits of using gold for currency risk management at different investment horizons. Using wavelet…”
Get full text

Is gold a safe haven or a hedge for the US dollar? Implications for risk management by Reboredo, Juan C.

“…•We assess the role of gold as a safe haven or hedge against the US dollar.•We consider copulas to model average and extreme market dependence between gold and…”
Get full text

Forecasting emergency department arrivals using INGARCH models by Reboredo, Juan C., Barba-Queiruga, Jose Ramon, Ojea-Ferreiro, Javier, Reyes-Santias, Francisco

“…Background Forecasting patient arrivals to hospital emergency departments is critical to dealing with surges and to efficient planning, management and…”
Get full text

Is gold a hedge or safe haven against oil price movements? by Reboredo, Juan C.

“…This paper assesses the role of gold as a hedge or safe haven against oil price movements. We use an approach based on copulas to analyse the dependence…”
Get full text

US dollar exchange rate and food price dependence: Implications for portfolio risk management by Reboredo, Juan C., Ugando, Mikel

“…•We use copulas to study the relationship between the USD and food markets.•We find evidence of weak average dependence and tail independence.•Food price…”
Get full text

Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic by Mensi, Walid, Reboredo, Juan C., Ugolini, Andrea

“…This paper examines price-switching spillovers between the US and Chinese stock, crude oil, and gold futures markets before and during the COVID-19 pandemic…”
Get full text

Do food and oil prices co-move? by Reboredo, Juan C.

“…This paper studies co-movements between world oil prices and global prices for corn, soybean and wheat using copulas. Several copula models with different…”
Get full text