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Quantile dependencies and connectedness between stock and precious metals markets

Jain, Prachi; Maitra, Debasish; McIver, Ron; Kang, Sang Hoon - In: Journal of commodity markets 30 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014426833

Asymmetric volatility connectedness among main international stock markets : a high frequency analysis

Mensi, Walid; Maitra, Debasish; Vo Xuan Vinh; Kang, … - In: Borsa Istanbul Review 21 (2021) 3, pp. 291-306

This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized volatility and identify the magnitude of the volatility...

Persistent link: https://www.econbiz.de/10012816916

Do cryptocurrencies provide better hedging? : Evidence from major equity markets during COVID-19 pandemic

Maitra, Debasish; Ur Rehman, Mobeen; Dash, Saumya Ranjan; … - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-27

Persistent link: https://www.econbiz.de/10013539022

Spillovers and portfolio optimization of precious metals and global/regional equity markets

Hernandez, Jose Arreola; Kang, Sang Hoon; Yoon, Seong-min - In: Applied economics 54 (2022) 20, pp. 2320-2342

Persistent link: https://www.econbiz.de/10012875943

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

Upward and downward multifractality and efficiency of Chinese and Hong Kong stock markets

Mensi, Walid; Vo Xuan Vinh; Kang, Sang Hoon - In: Computational economics 64 (2024) 6, pp. 3207-3242

Persistent link: https://www.econbiz.de/10015144197

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

Value-at-risk analysis for Asian emerging markets : asymmetry and fat tails in returns innovation

Kang, Sang Hoon; Yoon, Seong-min - In: The Korean economic review 50 (2009) 2, pp. 387-411

Persistent link: https://www.econbiz.de/10003926834