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Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks
Hammoudeh, Shawkat; Santos, Paulo Araújo; Al-Hassan, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 318-334
Persistent link: https://www.econbiz.de/10009779210
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High quantiles estimation with Quasi-PORT and DPOT : an application to value-at-risk for financial variables
Santos, Paulo Araújo; Alves, Isabel Fraga; Hammoudeh, … - In: The North American journal of economics and finance : a … 26 (2013), pp. 487-496
Persistent link: https://www.econbiz.de/10010367568
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Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - In: Energy economics 42 (2014), pp. 332-342
Persistent link: https://www.econbiz.de/10010503584
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Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
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Time frequency analysis of the commonalities between Bitcoin and major Cryptocurrencies : portfolio risk management implications
Mensi, Walid; Ur Rehman, Mobeen; Al-Yahyaee, Khamis Hamed; … - In: The North American journal of economics and finance : a … 48 (2019), pp. 283-294
Persistent link: https://www.econbiz.de/10012120250
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Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - In: Energy economics 36 (2013), pp. 526-535
Persistent link: https://www.econbiz.de/10009724647
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Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal
Al-Yahyaee, Khamis Hamed; Mensi, Walid; Al-Jarrah, … - In: The North American journal of economics and finance : a … 49 (2019), pp. 104-120
Persistent link: https://www.econbiz.de/10012269157
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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
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Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas
Mensi, Walid; Hammoudeh, Shawkat; Shahzad, Syed Jawad … - In: Energy economics 67 (2017), pp. 476-495
Persistent link: https://www.econbiz.de/10011897955
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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