Similar Search Results

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

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

Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications

Mensi, Walid; Hammoudeh, Shawkat; Al-Jarrah, Idries … - In: Energy economics 67 (2017), pp. 454-475

Persistent link: https://www.econbiz.de/10011897952

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

Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets

Mensi, Walid; Hammoudeh, Shawkat; Ur Rehman, Mobeen; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012659807

Spillovers and connectedness between major precious metals and major currency markets : the role of frequency factor

Mensi, Walid; Hernandez, Jose Arroeola; Yoon, Seong-min; … - In: International review of financial analysis 74 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012803817

Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets

Mensi, Walid; Yousaf, Imran; Vo Xuan Vinh; Kang, Sang Hoon - In: Journal of international financial markets, … 76 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013412815

Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets

Hanif, Waqas; Ko, Hee-Un; Pham, Linh; Kang, Sang Hoon - In: Financial innovation : FIN 9 (2023) 1, pp. 1-40

This study examines the connectedness in high-order moments between cryptocurrency, major stock (U.S., U.K., Eurozone, and Japan), and commodity (gold and oil) markets. Using intraday data from 2020 to 2022 and the time and frequency connectedness models of Diebold and Yilmaz (Int J Forecast...

Persistent link: https://www.econbiz.de/10014289116

Oil, gold and international stock markets : extreme spillovers, connectedness and its determinants

Mensi, Walid; Ziadat, Salem Adel; Al Rababa'a, Abdel Razzaq - In: The quarterly review of economics and finance 95 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014631290

Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions

Ur Rehman, Mobeen; Vo Xuan Vinh; McIver, Ron; Kang, … - In: Energy economics 108 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013203096