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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

Frequency connectedness and spillovers among oil and Islamic sector stock markets : portfolio hedging implications

Mensi, Walid; Al Kharusi, Sami; Xuan Vinh Vo; Kang, … - In: Borsa Istanbul Review 22 (2022) 6, pp. 1098-1117

Using the asymmetric Baba-Engle-Kraft-Kroner (BEKK)-GARCH model and the frequency spillover methodology by Baruník and Křehlík (2018), this paper examines spillovers and portfolio management between crude oil and US Islamic sector stocks. The results show significant time-varying spillovers...

Persistent link: https://www.econbiz.de/10014305868

Crude oil market efficiency : an empirical investigation via the Shannon Entropy

Mensi, Walid; Aloui, Chaker; Hamdi, Manel; Nguyen, Duc … - In: International economics : a journal published by CEPII … 129 (2012) 1, pp. 119-137

Persistent link: https://www.econbiz.de/10009765186

Structural breaks and the time-varying levels of weak-form efficiency in crude oil markets : Evidence from the Hurst exponent and Shannon entropy methods

Mensi, Walid; Beljid, Makram; Managi, Shunsuke - In: International economics : a journal published by CEPII … 140 (2014), pp. 89-106

Persistent link: https://www.econbiz.de/10011525285

Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? : Evidence from an asymmetric MF-DFA approach

Mensi, Walid; Lee, Yun-Jung; Xuan Vinh Vo; Yoon, Seong-min - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10012822250

Why cryptocurrency markets are inefficient : the impact of liquidity and volatility

Al-Yahyaee, Khamis Hamed; Mensi, Walid; Ko, Hee-Un; … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012654953

Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets : an asymmetric multifractal detrended fluctuation analysis

Mensi, Walid; Lee, Yun Jung; Al-Yahyaee, Khamis Hamed; … - In: Finance research letters 31 (2019), pp. 19-25

Persistent link: https://www.econbiz.de/10012420970

Efficiency, multifractality, and the long-memory property of the Bitcoin market : a comparative analysis with stock, currency, and gold markets

Al-Yahyaee, Khamis Hamed; Mensi, Walid; Yoon, Seong-min - In: Finance research letters 27 (2018), pp. 228-234

Persistent link: https://www.econbiz.de/10012006868

An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets

Mensi, Walid; Tiwari, Aviral Kumar; Al-Yahyaee, Khamis Hamed - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 168-177

Persistent link: https://www.econbiz.de/10012176113

Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis

Mensi, Walid; Sensoy, Ahmet; Xuan Vinh Vo; Kang, Sang Hoon - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013539024