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Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

Mensi, Walid; Gubareva, Mariya; Ko, Hee-Un; Vo Xuan Vinh; … - In: Financial innovation : FIN 9 (2023) 1, pp. 1-27

This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile connectedness approach, we identify cross-quantile...

Persistent link: https://www.econbiz.de/10014289114

Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets : hedge and safe haven implications

Mensi, Walid; Aslan, Aylin; Vo Xuan Vinh; Kang, Sang Hoon - In: International review of economics & finance : IREF 83 (2023), pp. 219-232

Persistent link: https://www.econbiz.de/10014239971

Quantile-based extended joint connectedness between trade policy uncertainty and GCC Islamic stock sectoral volatility

Tabash, Mosab I.; Sheikh, Umaid A.; Mensi, Walid; Kang, … - In: Borsa Istanbul Review 24 (2024) 6, pp. 1146-1165

This study quantifies the shock transmission mechanism between the trade policy uncertainty (TPU) index and Sharia-compliant stock sectoral conditional volatility in the Gulf Cooperation Council (GCC) countries. We employ a comprehensive analysis that includes the time-domain extended joint and...

Persistent link: https://www.econbiz.de/10015152585

Spillovers and portfolio management between the uncertainty indices of oil and gold and G7 stock markets

Mensi, Walid; Ziadat, Salem Adel; Vo Xuan Vinh; Kang, … - In: Computational economics 64 (2024) 4, pp. 2233-2262

Persistent link: https://www.econbiz.de/10015144010

Upward and downward multifractality and efficiency of Chinese and Hong Kong stock markets

Mensi, Walid; Vo Xuan Vinh; Kang, Sang Hoon - In: Computational economics 64 (2024) 6, pp. 3207-3242

Persistent link: https://www.econbiz.de/10015144197

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

Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries

Mensi, Walid; Hammoudeh, Shawkat; Vo Xuan Vinh; Kang, … - In: Journal of international financial markets, … 75 (2021), pp. 1-27

Persistent link: https://www.econbiz.de/10012820834

Asymmetric volatility connectedness among US stock sectors

Mensi, Walid; Nekhili, Ramzi; Vo Xuan Vinh; Suleman, Tahir - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10012822000

Precious metals, cereal, oil and stock market linkages and portfolio risk management : evidence from Saudi Arabia

Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: Economic modelling 51 (2015), pp. 340-358

Persistent link: https://www.econbiz.de/10011476048

Risk spillovers and portfolio management between developed and BRICS stock markets

Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: The North American journal of economics and finance : a … 41 (2017), pp. 133-155

Persistent link: https://www.econbiz.de/10011878945