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Spillovers between cryptocurrencies, gold and stock markets: Implication for hedging strategies and portfolio diversification under the COVID-19 pandemic

Lamine, Ahlem; Jeribi, Ahmed; Fakhfakh, Tarek - In: Journal of Economics, Finance and Administrative Science 29 (2024) 57, pp. 21-41

Purpose - This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers....

Persistent link: https://www.econbiz.de/10014516347

Can gold-backed cryptocurrencies have dynamic hedging and safe-haven abilities against DeFi and NFT assets?

Belguith, Rihab; Snene Manzli, Yasmine; Bejaoui, Azza; … - In: Digital business 4 (2024) 2, pp. 1-17

Given that the interconnections of NFT and DeFi digital assets with other stablecoins still not sufficiently studied, this paper is two-fold. We first examine the dynamic conditional correlation between gold-backed cryptocurrencies and NFTs and DeFi assets during the period...

Persistent link: https://www.econbiz.de/10015190953

Is digital gold a hedge, safe haven, or diversifier? : An analysis of cryptocurrencies, DeFi tokens, and NFTs

Maouchi, Youcef; Fakhfekh, Mohamed; Charfeddine, Lanouar; … - In: Applied economics 56 (2024) 60, pp. 9158-9173

Persistent link: https://www.econbiz.de/10015142028

Portfolio management and dependence structure between cryptocurrencies and traditional assets : evidence from FIEGARCH-EVT-Copula

Jeribi, Ahmed; Fakhfekh, Mohamed - In: The journal of asset management : a major new, … 22 (2021) 3, pp. 224-239

Persistent link: https://www.econbiz.de/10012581598

Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times : an Archimax copula approach

Fakhfekh, Mohamed; Bejaoui, Azza; Bariviera, Aurelio … - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014492041

Spillovers between cryptocurrencies, gold and stock markets : implication for hedging strategies and portfolio diversification under the COVID-19 pandemic

Lamine, Ahlem; Jeribi, Ahmed; Fakhfakh, Tarek - In: Journal of economics, finance & administrative science 29 (2024) 57, pp. 21-41

Purpose This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers....

Persistent link: https://www.econbiz.de/10014506805

Forecasting developed and BRICS stock markets with cryptocurrencies and gold : generalized orthogonal generalized autoregressive conditional heteroskedasticity and generalized autoregressive score analysis

Jeribi, Ahmed; Ghorbel, Achraf - In: International journal of emerging markets 17 (2022) 9, pp. 2290-2320

Persistent link: https://www.econbiz.de/10014331745

Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies : a comparison between DCC, ADCC and GO-GARCH models

Fakhfekh, Mohamed; Jeribi, Ahmed; Ghorbel, Ahmed; … - In: International journal of emerging markets 18 (2023) 4, pp. 978-1006

Persistent link: https://www.econbiz.de/10014333595

Copula model dependency between oil prices and stock markets : evidence from Tunisia and Egypt

Hamma, Wajdi; Ghorbel, Ahmed; Jarboui, Anis - In: American journal of finance and accounting 5 (2018) 2, pp. 111-150

Persistent link: https://www.econbiz.de/10011966793

Hedging Islamic and conventional stock markets with other financial assets : comparison between competing DCC models on hedging effectiveness

Hamma, Wajdi; Ghorbel, Ahmed; Jarboui, Anis - In: The journal of asset management : a major new, … 22 (2021) 3, pp. 179-199

Persistent link: https://www.econbiz.de/10012581564