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Hedging U.S. Metals & Mining Industry’s Credit Risk With Industrial and Precious Metals

Umar, Zaghum - 2019

This study examines the conditional correlation and the resulting optimal hedge ratios between the Credit Default Swap (CDS) spreads of the U.S. metal and mining industries, and the prices of copper, platinum, silver and gold using the daily date from December 14, 2007 to August 18, 2018. It...

Persistent link: https://www.econbiz.de/10012864310

The demand of energy from an optimal portfolio choice perspective

Umar, Zaghum - In: Economic modelling 61 (2017), pp. 478-494

Persistent link: https://www.econbiz.de/10011737015

Islamic vs conventional equities in a strategic asset allocation framework

Umar, Zaghum - In: Pacific-Basin finance journal 42 (2017), pp. 1-10

Persistent link: https://www.econbiz.de/10011800528

Stocks, Bonds, T-Bills and Inflation Hedging

Spierdijk, Laura - 2013

We analyze the inflation-hedging properties of US stocks, bonds, and T-bills at the subindex level during the 1983 – 2012 period, for investment horizons between 1 month and 10 years. Bonds other than T-bills turn out poor inflation hedges during the entire sample period, regardless of the...

Persistent link: https://www.econbiz.de/10013092092

Diversification benefits of NFTs for conventional asset investors : evidence from CoVaR with higher moments and optimal hedge ratios

Umar, Zaghum; Usman, Muhammad; Choi, Sun-Yong; Rice, John - In: Research in international business and finance 65 (2023), pp. 1-26

Persistent link: https://www.econbiz.de/10014432749

Stocks for the long run? : evidence from emerging markets

Spierdijk, Laura; Umar, Zaghum - In: Journal of international money and finance 47 (2014), pp. 217-238

Persistent link: https://www.econbiz.de/10010464022

Stocks, bonds, T-bills and inflation hedging : from great moderation to great recession

Spierdijk, Laura; Umar, Zaghum - In: Journal of economics & business 79 (2015), pp. 1-37

Persistent link: https://www.econbiz.de/10011317169

Inflation hedging with commodities : a wavelet analysis of seven centuries worth of data

Zaremba, Adam; Umar, Zaghum; Mikutowski, Mateusz - In: Economics letters 181 (2019), pp. 90-94

Persistent link: https://www.econbiz.de/10012121850

Inflation hedging in the long run : practical perspectives from seven centuries of commodity prices

Zaremba, Adam; Szczygielski, Jan J.; Umar, Zaghum; … - In: The journal of alternative investments : JAI 24 (2021) 1, pp. 119-134

Persistent link: https://www.econbiz.de/10012613092

The demand for eurozone stocks and bonds in a time-varying asset allocation framework

Umar, Zaghum; Shehzad, Choudhry Tanveer; Samitas, Aristeidis - In: The European journal of finance 25 (2019) 11, pp. 994-1011

Persistent link: https://www.econbiz.de/10012207048