Search Results - subject:"Frequency spillovers"

Frequency connectedness and spillovers among oil and Islamic sector stock markets : portfolio hedging implications

Mensi, Walid; Al Kharusi, Sami; Vo Xuan Vinh; Kang, … - In: Borsa Istanbul Review 22 (2022) 6, pp. 1098-1117

Using the asymmetric Baba-Engle-Kraft-Kroner (BEKK)-GARCH model and the frequency spillover methodology by Baruník and Křehlík (2018), this paper examines spillovers and portfolio management between crude oil and US Islamic sector stocks. The results show significant time-varying spillovers...

Persistent link: https://www.econbiz.de/10014305868

Quantile connectedness between social network sentiment and sustainability index volatility : evidence from the Moroccan financial market

El Oubani, Ahmed - In: Economics and business review 10 (2024) 3, pp. 163-196

Persistent link: https://www.econbiz.de/10015138238

Spillovers and portfolio management between the uncertainty indices of oil and gold and G7 stock markets

Mensi, Walid; Ziadat, Salem Adel; Vo Xuan Vinh; Kang, … - In: Computational economics 64 (2024) 4, pp. 2233-2262

Persistent link: https://www.econbiz.de/10015144010

Frequency interdependence and portfolio management between gold, oil and sustainability stock markets

Nekhili, Ramzi; Ziadat, Salem Adel; Mensi, Walid - In: International economics : the quarterly journal in … 178 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10014578360

Dynamic time-frequency connectedness between European emissions trading system and sustainability markets

Suleman, Muhammad Tahir; Ur Rehman, Mobeen; Sheikh, Umaid A. - In: Energy economics 123 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014476473

Are exchange rate contagions asymmetric? : evidence from emerging market economies

Naeem, Muhammad Abubakr; Anwer, Zaheer; Karim, Sitara; … - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 15, pp. 4107-4124

Persistent link: https://www.econbiz.de/10014444280

Spillover relationship between different oil shocks and high- and low-carbon assets : an analysis based on time-frequency spillover effects

Liu, Yanqiong; Lu, Jinjin; Shi, Fengyuan - In: Finance research letters 58 (2023) 3, pp. 1-11

Persistent link: https://www.econbiz.de/10014631600

Frequency interdependence and portfolio management between gold, oil and sustainability stock markets

Nekhili, Ramzi; Ziadat, Salem Adel; Mensi, Walid - In: International economics : a journal published by CEPII … 176 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014468604

Liquidity spillovers between cryptocurrency and foreign exchange markets

Nekhili, Ramzi; Sultan, Jahangir; Bouri, Elie - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014485287

Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs

Kang, Sang Hoon; Hernandez, Jose Arreola; Sadorsky, Perry A. - In: Energy economics 99 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012939407