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Tail dependence risk and spillovers between oil and food prices

Hanif, Waqas; Areola Hernandez, Jose; Shahzad, Syed … - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 195-209

Persistent link: https://www.econbiz.de/10012655347

Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method

Mensi, Walid; Hammoudeh, Shawkat; Shahzad, Syed Jawad … - In: Journal of banking & finance 75 (2017), pp. 258-279

Persistent link: https://www.econbiz.de/10011742164

Tail dependence structures between economic policy uncertainty and foreign exchange markets : nonparametric quantiles methods

Al-Yahyaee, Khamis Hamed; Shahzad, Syed Jawad Hussain; … - In: International economics : a journal published by CEPII … 161 (2020), pp. 66-82

Persistent link: https://www.econbiz.de/10012642528

Extreme dependence and risk spillovers between oil and Islamic stock markets

Shahzad, Syed Jawad Hussain; Mensi, Walid; Hammoudeh, … - In: Emerging markets review 34 (2018), pp. 42-63

Persistent link: https://www.econbiz.de/10012114666

Long-run relationships between US financial credit markets and risk factors : evidence from the quantile ARDL approach

Mensi, Walid; Shahzad, Syed Jawad Hussain; Hammoudeh, … - In: Finance research letters 29 (2019), pp. 101-110

Persistent link: https://www.econbiz.de/10012417962

Risk transmission between Islamic and conventional stock markets : a return and volatility spillover analysis

Shahzad, Syed Jawad Hussain; Ferrer, Román; Ballester, … - In: International review of financial analysis 52 (2017), pp. 9-26

Persistent link: https://www.econbiz.de/10011868686

A tale of two shocks : what do we learn from the impacts of economic policy uncertainties on tourism?

Balli, Faruk; Shahzad, Syed Jawad Hussain; Uddin, … - In: Tourism management : research, policies, practice 68 (2018), pp. 470-475

Persistent link: https://www.econbiz.de/10011871227

Risk spillover between energy and agricultural commodity markets : a dependence-switching CoVaR-copula model

Ji, Qiang; Bouri, Elie; Roubaud, David; Shahzad, Syed … - In: Energy economics 75 (2018), pp. 14-27

Persistent link: https://www.econbiz.de/10011973850

The impact of terrorism on industry returns and systematic risk in Pakistan : a wavelet approach

Shahzad, Syed Jawad Hussain; Stauvermann, Peter; Kumar, … - In: Accounting research journal 30 (2017) 4, pp. 413-429

Persistent link: https://www.econbiz.de/10011813124

Is Geopolitical Risk Priced in the Cross-Section of Cryptocurrency Returns?

Long, Huaigang; Demir, Ender; Bedowska-Sojka, Barbara; … - 2022

We examine the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies. We calculate cryptocurrency exposure to changes in the geopolitical risk index and document that coins with the lowest geopolitical beta outperform those with high geopolitical beta. Our findings suggest...

Persistent link: https://www.econbiz.de/10013406340