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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 spillover between energy and agricultural commodity markets : a dependence-switching CoVaR-copula model
Ji, Qiang; Bouri, Elie; Roubaud, David; Shahzad, Syed … - In: Energy economics 75 (2018), pp. 14-27
Persistent link: https://www.econbiz.de/10011973850
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Uncertainties and extreme risk spillover in the energy markets : a time-varying copula-based CoVaR approach
Ji, Qiang; Liu, Bing-Yue; Nehler, Henrik; Uddin, … - In: Energy economics 76 (2018), pp. 115-126
Persistent link: https://www.econbiz.de/10011976598
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Systemic risk and financial contagion across top global energy companies
Wu, Fei; Zhang, Dayong; Ji, Qiang - In: Energy economics 97 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012820838
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Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Ji, Qiang; Liu, Bing-Yue; Cuñado Eizaguirre, Juncal; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012658792
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High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system
Liu, Bing-Yue; Fan, Ying; Ji, Qiang; Hussain, Nazim - In: Energy economics 105 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013201958
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Risk dependence of CoVaR and structural change between oil prices and exchange rates : a time-varying copula model
Ji, Qiang; Liu, Bing-Yue; Fan, Ying - In: Energy economics 77 (2019), pp. 80-92
Persistent link: https://www.econbiz.de/10012306349
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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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Dynamic return-volatility dependence and risk measure of CoVaR in the oil market : a time-varying mixed copula model
Liu, Bing-Yue; Ji, Qiang; Fan, Ying - In: Energy economics 68 (2017), pp. 53-65
Persistent link: https://www.econbiz.de/10011904999