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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

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

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

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

Global financial crisis and spillover effects among the U.S. and BRICS stock markets

Mensi, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong; … - In: International review of economics & finance : IREF 42 (2016), pp. 257-276

Persistent link: https://www.econbiz.de/10011625114

Structural breaks and double long memory of cryptocurrency prices : a comparative analysis from Bitcoin and Ethereum

Mensi, Walid; Al-Yahyaee, Khamis Hamed; Kang, Sang Hoon - In: Finance research letters 29 (2019), pp. 222-230

Persistent link: https://www.econbiz.de/10012418764

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 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