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Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets

Ugolini, Andrea; Reboredo, Juan Carlos; Mensi, Walid - In: Finance research letters 53 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014472526

Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

Mensi, Walid; Gubareva, Mariya; Ko, Hee-Un; Xuan Vinh Vo; … - In: Financial innovation : FIN 9 (2023) 1, pp. 1-27

This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile connectedness approach, we identify cross-quantile...

Persistent link: https://www.econbiz.de/10014289114

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

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

Frequency connectedness between DeFi and cryptocurrency markets

Mensi, Walid; Gubareva, Mariya; Kang, Sang Hoon - In: The quarterly review of economics and finance 93 (2024), pp. 12-27

Persistent link: https://www.econbiz.de/10014494633

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 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

Structural breaks and double long memory of cryptocurrency prices : a comparative analysis from Bitcoin and Ethereum

Mensi, Walid; Al-Yahyaee, Khamis Hamed; Kang, Sang Hoon - In: Finance research letters 29 (2019), pp. 222-230

Persistent link: https://www.econbiz.de/10012418764

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

Quantile dependencies and connectedness between the gold and cryptocurrency markets : effects of the COVID-19 crisis

Mensi, Walid; El Khoury, Rim; Syed Riaz Mahmood Ali; … - In: Research in international business and finance 65 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014432490