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Precious metals, cereal, oil and stock market linkages and portfolio risk management : evidence from Saudi Arabia

Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: Economic modelling 51 (2015), pp. 340-358

Persistent link: https://www.econbiz.de/10011476048

Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries

Mensi, Walid; Hammoudeh, Shawkat; Xuan Vinh Vo; Kang, … - In: Journal of international financial markets, … 75 (2021), pp. 1-27

Persistent link: https://www.econbiz.de/10012820834

High frequency multiscale relationships among major cryptocurrencies : portfolio management implications

Mensi, Walid; Ur Rehman, Mobeen; Muhammad Shafiullah; … - In: Financial innovation : FIN 7 (2021), pp. 1-21

This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min-data. Empirical RWCC results indicate...

Persistent link: https://www.econbiz.de/10012705417

Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets

Mensi, Walid; Hammoudeh, Shawkat; Ur Rehman, Mobeen; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012659807

Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? : a portfolio risk analysis

Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, … - In: International review of economics & finance : IREF 76 (2021), pp. 96-113

Persistent link: https://www.econbiz.de/10013175750

Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data

Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012665455

Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal

Al-Yahyaee, Khamis Hamed; Mensi, Walid; Al-Jarrah, … - In: The North American journal of economics and finance : a … 49 (2019), pp. 104-120

Persistent link: https://www.econbiz.de/10012269157

Dynamic global linkages of the brics stock markets with the United States and Europe under external crisis shocks : implications for portfolio risk forecasting

Hammoudeh, Shawkat; Kang, Sang Hoon; Mensi, Walid; … - In: The world economy : the leading journal on … 39 (2016) 11, pp. 1703-1727

Persistent link: https://www.econbiz.de/10011584204

Dynamic linkages between developed and BRICS stock markets : portfolio risk analysis

Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: Finance research letters 21 (2017), pp. 26-33

Persistent link: https://www.econbiz.de/10011807276

Risk spillovers and portfolio management between developed and BRICS stock markets

Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: The North American journal of economics and finance : a … 41 (2017), pp. 133-155

Persistent link: https://www.econbiz.de/10011878945