Details about Jose Arreola Hernandez

Access statistics for papers by Jose Arreola Hernandez.

Last updated 2024-11-16. Update your information in the RePEc Author Service.

Short-id: pfo387

Working Papers

2020

1. Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?
   Post-Print, HAL View citations (5)
   See also Journal Article Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?, The North American Journal of Economics and Finance, Elsevier (2020) View citations (5) (2020)
2. Characteristics of spillovers between the US stock market and precious metals and oil
   Post-Print, HAL View citations (40)
   See also Journal Article Characteristics of spillovers between the US stock market and precious metals and oil, Resources Policy, Elsevier (2020) View citations (40) (2020)
3. Inflation cycle synchronization in ASEAN countries
   Post-Print, HAL View citations (1)
   See also Journal Article Inflation cycle synchronization in ASEAN countries, Physica A: Statistical Mechanics and its Applications, Elsevier (2020) View citations (1) (2020)
4. On the predictability of crude oil market: A hybrid multiscale wavelet approach
   Post-Print, HAL View citations (6)
   See also Journal Article On the predictability of crude oil market: A hybrid multiscale wavelet approach, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) View citations (7) (2020)
5. Spillovers and diversification potential of bank equity returns from developed and emerging America
   Post-Print, HAL View citations (15)
   See also Journal Article Spillovers and diversification potential of bank equity returns from developed and emerging America, The North American Journal of Economics and Finance, Elsevier (2020) View citations (15) (2020)

2019

6. Co-movements between Bitcoin and Gold: A wavelet coherence analysis
   Post-Print, HAL View citations (53)
   See also Journal Article Co-movements between Bitcoin and Gold: A wavelet coherence analysis, Physica A: Statistical Mechanics and its Applications, Elsevier (2019) View citations (59) (2019)
7. Forecasting of dependence, market, and investment risks of a global index portfolio
   Post-Print, HAL
   See also Journal Article Forecasting of dependence, market, and investment risks of a global index portfolio, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) View citations (4) (2020)
8. Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit
   Post-Print, HAL View citations (14)
   See also Journal Article Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit, Journal of Quantitative Economics, Springer (2019) View citations (14) (2019)
9. Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe
   Post-Print, HAL View citations (15)
   See also Journal Article Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe, Finance Research Letters, Elsevier (2019) View citations (15) (2019)
10. Spillover across Eurozone credit market sectors and determinants
    Post-Print, HAL View citations (14)
    See also Journal Article Spillover across Eurozone credit market sectors and determinants, Applied Economics, Taylor & Francis Journals (2019) View citations (19) (2019)
11. Tail dependence risk exposure and diversification potential of Islamic and conventional banks
    Post-Print, HAL View citations (3)
    See also Journal Article Tail dependence risk exposure and diversification potential of Islamic and conventional banks, Applied Economics, Taylor & Francis Journals (2019) View citations (3) (2019)
12. The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories
    Post-Print, HAL View citations (4)
    See also Journal Article The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories, Journal of Multinational Financial Management, Elsevier (2019) View citations (4) (2019)
13. Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies
    Post-Print, HAL View citations (1)
    See also Journal Article Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies, International Economics, CEPII research center (2019) View citations (1) (2019)

2018

14. A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
    Post-Print, HAL View citations (25)
    See also Journal Article A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling, Journal of International Financial Markets, Institutions and Money, Elsevier (2018) View citations (25) (2018)
15. Asymmetric risk spillovers between oil and agricultural commodities
    Post-Print, HAL View citations (70)
    See also Journal Article Asymmetric risk spillovers between oil and agricultural commodities, Energy Policy, Elsevier (2018) View citations (74) (2018)
16. Directional predictability and time-varying spillovers between stock markets and economic cycles
    Post-Print, HAL View citations (8)
    See also Journal Article Directional predictability and time-varying spillovers between stock markets and economic cycles, Economic Modelling, Elsevier (2018) View citations (11) (2018)
17. Risk transmitters and receivers in global currency markets
    Post-Print, HAL View citations (9)
    See also Journal Article Risk transmitters and receivers in global currency markets, Finance Research Letters, Elsevier (2018) View citations (6) (2018)

2016

18. Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach, Applied Economics, Taylor & Francis Journals (2017) View citations (13) (2017)
19. Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios, European Journal of Operational Research, Elsevier (2017) View citations (25) (2017)

Journal Articles

2024

1. Interdependence and spillovers between big oil companies and regional and global energy equity markets
   International Review of Economics & Finance, 2024, 92, (C), 451-469

2023

2. Bitcoin, gold, and the VIX: short- and long-term effects of economic policy uncertainty
   Applied Economics Letters, 2023, 30, (6), 761-765 View citations (3)
3. Dependence and risk management of portfolios of metals and agricultural commodity futures
   Resources Policy, 2023, 82, (C) View citations (5)
4. Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities
   Resources Policy, 2023, 81, (C) View citations (23)

2022

5. Effect of Increasing Import Competition from China on the Local Labor Market: Evidence from Sweden
   Sustainability, 2022, 14, (5), 1-18 View citations (1)
6. Interdependence and portfolio optimisation of bank equity returns from developed and emerging Europe
   International Journal of Finance & Economics, 2022, 27, (1), 678-696 View citations (1)
7. Nonlinear spillover and portfolio allocation characteristics of energy equity sectors: Evidence from the United States and Canada
   Review of International Economics, 2022, 30, (1), 1-33
8. Regime specific spillovers across US sectors and the role of oil price volatility
   Energy Economics, 2022, 107, (C) View citations (14)
9. Spillovers and portfolio optimization of precious metals and global/regional equity markets
   Applied Economics, 2022, 54, (20), 2320-2342 View citations (1)
10. The influence of oil, gold and stock market index on US equity sectors
    Applied Economics, 2022, 54, (6), 719-732 View citations (4)

2021

11. Dynamic spillovers and network structure among commodity, currency, and stock markets
    Resources Policy, 2021, 74, (C) View citations (23)
12. Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs
    Energy Economics, 2021, 99, (C) View citations (34)
13. Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries
    Asia-Pacific Financial Markets, 2021, 28, (4), 613-647
14. Nonlinear dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices
    Energy Economics, 2021, 101, (C) View citations (55)
15. Spillovers and portfolio optimization of agricultural commodity and global equity markets
    Applied Economics, 2021, 53, (12), 1326-1341 View citations (6)
16. The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?
    Resources Policy, 2021, 72, (C) View citations (21)

2020

17. Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?
    The North American Journal of Economics and Finance, 2020, 51, (C) View citations (5)
    See also Working Paper Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?, Post-Print (2020) View citations (5) (2020)
18. Characteristics of spillovers between the US stock market and precious metals and oil
    Resources Policy, 2020, 66, (C) View citations (40)
    See also Working Paper Characteristics of spillovers between the US stock market and precious metals and oil, Post-Print (2020) View citations (40) (2020)
19. Forecasting of dependence, market, and investment risks of a global index portfolio
    Journal of Forecasting, 2020, 39, (3), 512-532 View citations (4)
    See also Working Paper Forecasting of dependence, market, and investment risks of a global index portfolio, Post-Print (2019) (2019)
20. Impact of food price volatility on the US restaurant sector
    Applied Economics, 2020, 52, (39), 4250-4262 View citations (1)
21. Inflation cycle synchronization in ASEAN countries
    Physica A: Statistical Mechanics and its Applications, 2020, 545, (C) View citations (1)
    See also Working Paper Inflation cycle synchronization in ASEAN countries, Post-Print (2020) View citations (1) (2020)
22. On the predictability of crude oil market: A hybrid multiscale wavelet approach
    Journal of Forecasting, 2020, 39, (4), 599-614 View citations (7)
    See also Working Paper On the predictability of crude oil market: A hybrid multiscale wavelet approach, Post-Print (2020) View citations (6) (2020)
23. Regional and copula estimation effects on EU and US energy equity portfolios
    Applied Economics, 2020, 52, (49), 5311-5342 View citations (4)
24. Spillovers and diversification potential of bank equity returns from developed and emerging America
    The North American Journal of Economics and Finance, 2020, 54, (C) View citations (15)
    See also Working Paper Spillovers and diversification potential of bank equity returns from developed and emerging America, Post-Print (2020) View citations (15) (2020)
25. Time and frequency relationship between household investors’ sentiment index and US industry stock returns
    Finance Research Letters, 2020, 36, (C) View citations (10)

2019

26. Co-movements between Bitcoin and Gold: A wavelet coherence analysis
    Physica A: Statistical Mechanics and its Applications, 2019, 536, (C) View citations (59)
    See also Working Paper Co-movements between Bitcoin and Gold: A wavelet coherence analysis, Post-Print (2019) View citations (53) (2019)
27. Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit
    Journal of Quantitative Economics, 2019, 17, (4), 885-912 View citations (14)
    See also Working Paper Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit, Post-Print (2019) View citations (14) (2019)
28. Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe
    Finance Research Letters, 2019, 28, (C), 153-159 View citations (15)
    See also Working Paper Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe, Post-Print (2019) View citations (15) (2019)
29. Spillover across Eurozone credit market sectors and determinants
    Applied Economics, 2019, 51, (59), 6333-6349 View citations (19)
    See also Working Paper Spillover across Eurozone credit market sectors and determinants, Post-Print (2019) View citations (14) (2019)
30. Tail dependence risk exposure and diversification potential of Islamic and conventional banks
    Applied Economics, 2019, 51, (44), 4856-4869 View citations (3)
    See also Working Paper Tail dependence risk exposure and diversification potential of Islamic and conventional banks, Post-Print (2019) View citations (3) (2019)
31. The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories
    Journal of Multinational Financial Management, 2019, 52-53 View citations (4)
    See also Working Paper The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories, Post-Print (2019) View citations (4) (2019)
32. Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies
    International Economics, 2019, (160), 56-71 View citations (1)
    Also in International Economics, 2019, 160, (C), 56-71 (2019) View citations (1)
    See also Working Paper Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies, Post-Print (2019) View citations (1) (2019)

2018

33. A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
    Journal of International Financial Markets, Institutions and Money, 2018, 56, (C), 104-127 View citations (25)
    See also Working Paper A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling, Post-Print (2018) View citations (25) (2018)
34. Asymmetric risk spillovers between oil and agricultural commodities
    Energy Policy, 2018, 118, (C), 182-198 View citations (74)
    See also Working Paper Asymmetric risk spillovers between oil and agricultural commodities, Post-Print (2018) View citations (70) (2018)
35. Directional predictability and time-varying spillovers between stock markets and economic cycles
    Economic Modelling, 2018, 69, (C), 301-312 View citations (11)
    See also Working Paper Directional predictability and time-varying spillovers between stock markets and economic cycles, Post-Print (2018) View citations (8) (2018)
36. Risk transmitters and receivers in global currency markets
    Finance Research Letters, 2018, 25, (C), 1-9 View citations (6)
    See also Working Paper Risk transmitters and receivers in global currency markets, Post-Print (2018) View citations (9) (2018)

2017

37. Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach
    Applied Economics, 2017, 49, (25), 2409-2427 View citations (13)
    See also Working Paper Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach, MPRA Paper (2016) View citations (2) (2016)
38. Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
    European Journal of Operational Research, 2017, 259, (3), 1121-1131 View citations (25)
    See also Working Paper Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios, MPRA Paper (2016) (2016)

2015

39. Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios
    Resources Policy, 2015, 46, (P2), 1-11 View citations (30)

2014

40. Are oil and gas stocks from the Australian market riskier than coal and uranium stocks? Dependence risk analysis and portfolio optimization
    Energy Economics, 2014, 45, (C), 528-536 View citations (33)