Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal
Year of publication: |
2019
|
---|---|
Authors: | Al-Yahyaee, Khamis Hamed ; Mensi, Walid ; Al-Jarrah, Idries Mohammad Wanas ; Hamdi, Atef ; Kang, Sang Hoon |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 49.2019, p. 104-120
|
Subject: | Bitcoin | Commodity markets | Downside risk | Forecasting | Multivariate GARCH models | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffmarkt | Commodity market | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Rohstoffderivat | Commodity derivative | Welt | World | Portfolio-Management | Portfolio selection | Ölpreis | Oil price |
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