Search Results - "Troster, Victor"

Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis by Troster, Victor, Shahbaz, Muhammad, Uddin, Gazi Salah

“…This paper analyzes the causal relationship between renewable energy consumption, oil prices, and economic activity in the United States from July 1989 to July…”
Get full text

Systemic risk contribution of banks and non-bank financial institutions across frequencies: The Australian experience by Rahman, Md Lutfur, Troster, Victor, Uddin, Gazi Salah, Yahya, Muhammad

“…The Australian financial sector (AFS) is highly concentrated and interconnected. Besides, Australian banks' lending portfolios are dominated by residential…”
Get full text

Liquidity shocks and interbank market failures: the role of deposit flights, non-performing loans, and competition by Macedo, Demian, Troster, Victor

“…Banks may be reluctant to remove bad loans from their portfolios during liquidity shortfalls, giving rise to a moral hazard problem. In this paper, we analyze…”
Get full text

Testing for Granger-causality in quantiles by Troster, Victor

“…This paper proposes a consistent parametric test of Granger-causality in quantiles. Although the concept of Granger-causality is defined in terms of the…”
Get full text

A specification test for dynamic conditional distribution models with function-valued parameters by Troster, Victor, Wied, Dominik

“…This paper proposes a practical and consistent specification test of conditional distribution models for dependent data in a general setting. Our approach…”
Get full text

A quantile regression analysis of flights-to-safety with implied volatilities by Troster, Victor, Bouri, Elie, Roubaud, David

“…In this paper, we perform a quantile regression analysis of flights-to-safety with the implied market volatilities of stock, gold, gold-mining, and silver. We…”
Get full text

Bitcoin returns and risk: A general GARCH and GAS analysis by Troster, Victor, Tiwari, Aviral Kumar, Shahbaz, Muhammad, Macedo, Demian Nicolás

“…•We apply heavy-tailed GARCH and GAS models to explain bitcoin returns and risk.•We compare the out-of-sample forecast performance of 45 models for…”
Get full text

Directional spillover effects between ASEAN and world stock markets by Kang, Sang Hoon, Uddin, Gazi Salah, Troster, Victor, Yoon, Seong-Min

“…•We investigated dynamic spillover between world markets and ASEAN-5 stock markets.•We used a multivariate AR-GARCH-DECO model and the directional spillover…”
Get full text

Exploring the critical demand drivers of electricity consumption in Thailand by Uddin, Gazi Salah, Hasan, Md. Bokhtiar, Phoumin, Han, Taghizadeh-Hesary, Farhad, Ahmed, Ali, Troster, Victor

“…In this study, we explore the critical demand drivers of electricity consumption in Thailand based on monthly data from 2002 to 2020. Using Autoregressive…”
Get full text

Ethical and unethical investments under extreme market conditions by Olofsson, Petter, Råholm, Anna, Uddin, Gazi Salah, Troster, Victor, Kang, Sang Hoon

“…This study investigates the time-varying volatility and risk measures of ethical and unethical investments. We apply the Bayesian Markov-switching generalized…”
Get full text

Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market by Troster, Victor, Penalva, José, Taamouti, Abderrahim, Wied, Dominik

“…This paper shows that lagged information transmission between industry portfolio and market prices entails cointegration. We analyze monthly industry…”
Get full text

Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro by Lindman, Sebastian, Tuvhag, Tom, Jayasekera, Ranadeva, Uddin, Gazi Salah, Troster, Victor

“…We contribute to the literature by providing a more comprehensive understanding of the impact the euro has had on financial market integration with economies…”
Get full text

Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets by Hanif, Waqas, Areola Hernandez, Jose, Troster, Victor, Kang, Sang Hoon, Yoon, Seong-Min

“…In this paper, we investigate the nonlinear dependence dynamics among eight cryptocurrencies (Monero, Bitcoin, Dash, Litecoin, Stellar, XRP, Ethereum, and Nem)…”
Get full text

Unemployment persistence in OECD countries after the Great Recession by Marques, André M., Lima, Gilberto Tadeu, Troster, Victor

“…The 2008 economic downturn in the United States resulted in a wave of contractionary effects across many OECD countries. This paper investigates the pattern of…”
Get full text

The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories by Uddin, Gazi Salah, Arreola Hernandez, Jose, Labidi, Chiraz, Troster, Victor, Yoon, Seong-Min

“…•Influence of financial, economic, uncertainty, and seasonality factors on the performance of funds are examined.•125 Islamic mutual funds across America,…”
Get full text

Quantile Granger Causality in the Presence of Instability by Mayer, Alexander, Wied, Dominik, Troster, Victor

“…We propose a new framework for assessing Granger causality in quantiles in unstable environments, for a fixed quantile or over a continuum of quantile levels…”
Get full text