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COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs

Naeem, Muhammad Abubakr; Karim, Sitara; Yarovaya, Larisa; … - In: Energy economics 122 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014440746

Non-linear relationship between oil and cryptocurrencies : evidence from returns and shocks

Naeem, Muhammad Abubakr; Karim, Sitara; Abrar, Afsheen; … - In: International review of financial analysis 89 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014465059

Covid-Induced Sentiment and the Intraday Volatility Spillovers between Energy and Other Etfs

Naeem, Muhammad Abubakr; Lucey, Brian M.; Yarovaya, Larisa - 2022

Did Covid19 indiced market turmoil impact the intraday volatility spillovers between energy and other ETFs?. To examine this , we first estimate the realized volatility of ETFs using the 5-minute high-frequency data. Next, we employ time-varying parameter vector autoregressions (TVP-VAR)....

Persistent link: https://www.econbiz.de/10014081207

Good versus bad information transmission in the cryptocurrency market : evidence from high-frequency data

Naeem, Muhammad Abubakr; Iqbal, Najaf; Lucey, Brian M.; … - In: Journal of international financial markets, … 81 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013533419

Do financial volatilities mitigate the risk of cryptocurrency indexes?

Naeem, Muhammad Abubakr; Lucey, Brian M.; Karim, Sitara; … - In: Finance research letters 50 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014239936

Extreme downside risk transmission between green cryptocurrencies and energy markets : the diversification benefits

Naeem, Muhammad Abubakr; Nguyen Thi Thu Ha; Karim, Sitara; … - In: Finance research letters 58 (2023) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10014580518

Oil Shocks and BRIC Markets : Evidence from Extreme Quantile Approach

Naeem, Muhammad Abubakr; Pham, Linh; Senthilkumar, … - 2022

The present study aims to configure the extreme quantile dependence between oil shocks and BRIC markets from January 2, 1995 to July 27, 2021. Using the cross-quantilogram technique, the current study first decomposed oil shocks pertaining to demand and supply and analyzed their asymmetric...

Persistent link: https://www.econbiz.de/10013321720

Return and volatility spillovers among global assets : comparing health crisis with geopolitical crisis

Naeem, Muhammad Abubakr; Hamouda, Foued; Karim, Sitara; … - In: International review of economics & finance : IREF 87 (2023), pp. 557-575

Persistent link: https://www.econbiz.de/10014472481

Are exchange rate contagions asymmetric? : evidence from emerging market economies

Naeem, Muhammad Abubakr; Anwer, Zaheer; Karim, Sitara; … - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 15, pp. 4107-4124

Persistent link: https://www.econbiz.de/10014444280

When one domino falls, others follow : a machine learning analysis of extreme risk spillovers in developed stock markets

Karim, Sitara; Muhammad Shafiullah; Naeem, Muhammad Abubakr - In: International review of financial analysis 93 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543472