Publicaciones (71) Publicaciones de ROMAN FERRER LAPEÑA

2023

  1. Cross-border capital flows and information spillovers across the equity and currency markets in emerging economies

    Journal of International Money and Finance, Vol. 139

  2. Default risk transmission in the travel and leisure industry

    International Journal of Hospitality Management, Vol. 113

  3. Explosive behavior in the Chinese stock market: A sectoral analysis

    Pacific Basin Finance Journal, Vol. 81

  4. Systemic Risk in the Global Energy Sector: Structure, Determinants and Portfolio Management Implications

    Energy Journal, Vol. 44, Núm. 6, pp. 211-242

2022

  1. A grey-based correlation with multi-scale analysis: S&P 500 VIX and individual VIXs of large US company stocks

    Finance Research Letters, Vol. 48

2021

  1. Are green bonds a different asset class? Evidence from time-frequency connectedness analysis

    Journal of Cleaner Production, Vol. 292

  2. Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis

    Energy Policy, Vol. 153

  3. Interdependence between green financial instruments and major conventional assets: Awavelet-based network analysis

    Mathematics, Vol. 9, Núm. 8

  4. U.S. stock prices and macroeconomic fundamentals: Fresh evidence using the quantile ARDL approach

    International Journal of Finance and Economics, Vol. 26, Núm. 3, pp. 3569-3587

2020

  1. A new wavelet tool to quantify non-periodicity of non-stationary economic time series

    Mathematics, Vol. 8, Núm. 5

  2. Dynamic spillover effects among tourism, economic growth and macro-finance risk factors

    Portuguese Economic Journal, Vol. 19, Núm. 3, pp. 173-194

  3. Oil price shocks, global financial markets and their connectedness

    Energy Economics, Vol. 88

2019

  1. Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility

    Energy Economics, Vol. 84

  2. Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach

    Physica A: Statistical Mechanics and its Applications, Vol. 536

  3. Nonlinear and extreme dependence between long-term sovereign bond yields and the stock market: A quantile-on-quantile analysis

    Economics Bulletin, Vol. 39, Núm. 2, pp. 969-981

2018

  1. Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states

    Applied Economics, Vol. 50, Núm. 42, pp. 4500-4521

  2. Industry-level determinants of the linkage between credit and stock markets

    Applied Economics, Vol. 50, Núm. 49, pp. 5277-5301

  3. Interactions between financial stress and economic activity for the U.S.: A time- and frequency-varying analysis using wavelets

    Physica A: Statistical Mechanics and its Applications, Vol. 492, pp. 446-462

  4. Is the tourism–economic growth nexus time-varying? Bootstrap rolling-window causality analysis for the top 10 tourist destinations

    Applied Economics, Vol. 50, Núm. 24, pp. 2677-2697

  5. Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices

    Energy Economics, Vol. 76, pp. 1-20