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COVID-19 and time-frequency spillovers between oil and sectoral stocks and portfolio implications : evidence from China and US economies

Mensi, Walid; Al-Yahyaee, Khamis Hamed; Vo Xuan Vinh; … - In: International economics : the quarterly journal in … 180 (2024), pp. 1-23

Persistent link: https://www.econbiz.de/10015166867

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

Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? : extreme co-movements and portfolio management analysis

Al-Yahyaee, Khamis Hamed; Mensi, Walid; Ur Rehman, Mobeen; … - In: Pacific-Basin finance journal 62 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012491782

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

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

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

Asymmetric volatility connectedness among US stock sectors

Mensi, Walid; Nekhili, Ramzi; Vo Xuan Vinh; Suleman, Tahir - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10012822000

Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

Mensi, Walid; Gubareva, Mariya; Ko, Hee-Un; Vo Xuan Vinh; … - In: Financial innovation : FIN 9 (2023) 1, pp. 1-27

This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile connectedness approach, we identify cross-quantile...

Persistent link: https://www.econbiz.de/10014289114

Dynamic spillover and connectedness in higher moments of European stock sector markets

Nekhili, Ramzi; Mensi, Walid; Vo Xuan Vinh; Kang, Sang Hoon - In: Research in international business and finance 68 (2024), pp. 1-23

Persistent link: https://www.econbiz.de/10014451818

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

Extreme dependence, connectedness, and causality between US sector stocks and oil shocks

Mensi, Walid; Gök, Remzi; Gemici, Eray; Vo Xuan Vinh; … - In: International review of economics & finance : IREF 98 (2025), pp. 1-26

Persistent link: https://www.econbiz.de/10015333022

Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets

Mensi, Walid; Jiang, Zhuhua; Vo Xuan Vinh; Yoon, Seong-min - In: Australian economic papers 62 (2023) 4, pp. 597-615

Persistent link: https://www.econbiz.de/10014443716