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Spillover in higher-order moments across carbon and energy markets : a portfolio view

Ahmed, Rizwan; Bouri, Elie; Hosseini, Seyedmehdi; … - In: European financial management : the journal of the … 30 (2024) 5, pp. 2556-2595

Persistent link: https://www.econbiz.de/10015142061

A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling

Shahzad, Syed Jawad Hussain; Arreola-Hernandez, Jose; … - In: Journal of international financial markets, … 56 (2018), pp. 104-127

Persistent link: https://www.econbiz.de/10011990981

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

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

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

Regime specific spillover across cryptocurrencies and the role of COVID-19

Shahzad, Syed Jawad Hussain; Bouri, Elie; Kang, Sang Hoon; … - In: Financial innovation : FIN 7 (2021), pp. 1-24

The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous...

Persistent link: https://www.econbiz.de/10012418495

Gold as safe haven for G-7 stocks and bonds : a revisit

Shahzad, Syed Jawad Hussain; Raza, Naveed; Roubaud, David; … - In: Journal of quantitative economics 17 (2019) 4, pp. 885-912

Persistent link: https://www.econbiz.de/10012418769

Dependence dynamics of US REITs

Ur Rehman, Mobeen; Shahzad, Syed Jawad Hussain; Ahmad, Nasir - In: International review of financial analysis 81 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013411148

Spillover across Eurozone credit market sectors and determinants

Shahzad, Syed Jawad Hussain; Bouri, Elie; Hernandez, … - In: Applied economics 51 (2019) 59, pp. 6333-6349

Persistent link: https://www.econbiz.de/10012197344

Spillovers across European sovereign credit markets and role of surprise and uncertainty

Bekiros, Stelios; Shahzad, Syed Jawad Hussain; Jammazi, … - In: Applied economics 52 (2020) 8, pp. 851-865

Persistent link: https://www.econbiz.de/10012197481