192 citations · 415 across the 7 of their papers we have counts for
7 papers
Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets
Yun-Shi Dai, Peng-Fei Dai, Wei-Xing Zhou
This paper combines the Copula-CoVaR approach with the ARMA-GARCH-skewed Student-t model to investigate the tail dependence structure and extreme risk spillover effects between the…
Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
Peng-Fei Dai, Xiong Xiong, Zhifeng Liu +2
This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH wi…
The impact of COVID-19 on the stock market crash risk in China
Zhifeng Liu, Toan Luu Duc Huynh, Peng-Fei Dai
This study investigates the impact of the COVID-19 pandemic on the stock market crash risk in China. For this purpose, we first estimated the conditional skewness of the return dis…
Visibility graph analysis of economy policy uncertainty indices
Peng-Fei Dai, Xiong Xiong, Wei-Xing Zhou
Uncertainty plays an important role in the global economy. In this paper, the economic policy uncertainty (EPU) indices of the United States and China are selected as the proxy var…
The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model
Peng-Fei Dai, Xiong Xiong, Wei-Xing Zhou
This paper aims to examine whether the global economic policy uncertainty (GEPU) and uncertainty changes have different impacts on crude oil futures volatility. We establish single…
The impact of economic policy uncertainties on the volatility of European carbon market
Peng-Fei Dai, Xiong Xiong, Toan Luu Duc Huynh +1
The European Union Emission Trading Scheme is a carbon emission allowance trading system designed by Europe to achieve emission reduction targets. The amount of carbon emission cau…
A global economic policy uncertainty index from principal component analysis
Peng-Fei Dai, Xiong Xiong, Wei-Xing Zhou
This paper constructs a global economic policy uncertainty index through the principal component analysis of the economic policy uncertainty indices for twenty primary economies ar…