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The analytics of momentum

Kwon, Oh Kang; Satchell, Stephen - In: The journal of asset management 20 (2019) 6, pp. 433-441

Persistent link: https://www.econbiz.de/10012125379

Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets

Mensi, Walid; Jiang, Zhuhua; Xuan Vinh Vo; Yoon, Seong-min - In: Australian economic papers 62 (2023) 4, pp. 597-615

Persistent link: https://www.econbiz.de/10014443716

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

Dynamic global linkages of the brics stock markets with the United States and Europe under external crisis shocks : implications for portfolio risk forecasting

Hammoudeh, Shawkat; Kang, Sang Hoon; Mensi, Walid; … - In: The world economy : the leading journal on … 39 (2016) 11, pp. 1703-1727

Persistent link: https://www.econbiz.de/10011584204

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

Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications

Mensi, Walid; Hammoudeh, Shawkat; Al-Jarrah, Idries … - In: Energy economics 67 (2017), pp. 454-475

Persistent link: https://www.econbiz.de/10011897952

High frequency multiscale relationships among major cryptocurrencies : portfolio management implications

Mensi, Walid; Ur Rehman, Mobeen; Muhammad Shafiullah; … - In: Financial innovation : FIN 7 (2021), pp. 1-21

This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min-data. Empirical RWCC results indicate...

Persistent link: https://www.econbiz.de/10012705417

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

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

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

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

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