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Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? : a portfolio risk analysis

Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, … - In: International review of economics & finance : IREF 76 (2021), pp. 96-113

Persistent link: https://www.econbiz.de/10013175750

Quantile dependencies and connectedness between the gold and cryptocurrency markets : effects of the COVID-19 crisis

Mensi, Walid; El Khoury, Rim; Syed Riaz Mahmood Ali; Vo … - In: Research in international business and finance 65 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014432490

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

Multifractality during upside/downside trends in the MENA stock markets : the effects of the global financial crisis, oil crash and COVID-19 pandemic

Mensi, Walid; Yousaf, Imran; Vo Xuan Vinh; Kang, Sang Hoon - In: International journal of emerging markets 18 (2023) 10, pp. 4408-4435

Persistent link: https://www.econbiz.de/10014456152

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

Oil, Gold and International Stock Markets : Extreme Spillovers, Connectedness and its Determinants

mensi, walid; Ziadat, Salem Adel; Al Rababa'a, Abdel Razzaq - 2022

This study examines the lower and upper return spillovers and connectedness between important commodity (crude oil and gold) and main international stock markets using the quantile connectedness approach by Ando et al. (2018). The results show stronger return spillovers during bearish and...

Persistent link: https://www.econbiz.de/10013308737

Spillovers and connectedness between green bond and stock markets in bearish and bullish market scenarios

Mensi, Walid; Muhammad Shafiullah; Vo Xuan Vinh; Kang, … - In: Finance research letters 49 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10013479407

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

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

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