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Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold

Mensi, Walid; Beljid, Makram; Boubaker, Adel; Managi, … - In: Economic Modelling 32 (2013) C, pp. 15-22

This paper employs a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000 to 2011. Understanding the price behavior of commodity prices and the...

Persistent link: https://www.econbiz.de/10010664399

Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold

Mensi, Walid; Beljid, Makram; Boubaker, Adel; Managi, … - Volkswirtschaftliche Fakultät, … - 2013

This paper employs a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000-2011. Understanding the price behavior of commodity prices and the volatility...

Persistent link: https://www.econbiz.de/10011112482

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

Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method

Mensi, Walid; Hammoudeh, Shawkat; Shahzad, Syed Jawad … - In: Journal of banking & finance 75 (2017), pp. 258-279

Persistent link: https://www.econbiz.de/10011742164

Diversification potential of Asian frontier, BRIC emerging and major developed stock markets : a wavelet-based value at risk approach

Mensi, Walid; Shahzad, Syed Jawad Hussain; Hammoudeh, … - In: Emerging markets review 32 (2017), pp. 130-147

Persistent link: https://www.econbiz.de/10011803251

Dynamic linkages between developed and BRICS stock markets : portfolio risk analysis

Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: Finance research letters 21 (2017), pp. 26-33

Persistent link: https://www.econbiz.de/10011807276

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

Correlations and volatility spillovers across commodity and stock markets : linking energies, food, and gold

Mensi, Walid; Beljid, Makram; Boubaker, Adel; Managi, … - In: Economic modelling 32 (2013), pp. 15-22

Persistent link: https://www.econbiz.de/10009760820

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

Extreme dependence and spillovers between uncertainty indices and stock markets : does the US market play a major role?

Mensi, Walid; Kamal, Md Rajib; Xuan Vinh Vo; Kang, Sang Hoon - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014485327