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Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach

Trucíos, Carlos; Tiwari, Aviral Kumar; Alqahtani, Faisal - In: Applied economics 52 (2020) 24, pp. 2580-2593

Persistent link: https://www.econbiz.de/10012210957

Testing the long-memory features in return and volatility of NSE index

Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440

Persistent link: https://www.econbiz.de/10011396558

The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework

Tiwari, Aviral Kumar; Mutascu, Mihai; Albulescu, … - In: Energy economics 40 (2013), pp. 714-733

Persistent link: https://www.econbiz.de/10010354948

Comovement of exchange rates : a wavelet analysis

Andrieş, Alin Marius; Ihnatov, Iulian; Tiwari, Aviral Kumar - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 574-588

Persistent link: https://www.econbiz.de/10011562523

Revisiting the financial volatility : derivative products relationship on Euronext.liffe using a frequency domain analysis

Albulescu, Claudiu Tiberiu; Goyeau, Daniel; Tiwari, … - In: Brussels economic review 56 (2013) 3/4, pp. 349-364

Persistent link: https://www.econbiz.de/10010400880

Interdependence and lead-lag relationships between the oil price and metal markets : fresh insights from the wavelet and quantile coherency approaches

Khalfaoui, Rabeh; Tiwari, Aviral Kumar; Kablan, … - In: Energy economics 101 (2021), pp. 1-36

Persistent link: https://www.econbiz.de/10013161506

Connectedness in international crude oil markets

Bhanja, Niyati; Nasreen, Samia; Dar, Arif Billah; … - In: Computational economics 59 (2022) 1, pp. 227-262

Persistent link: https://www.econbiz.de/10013168983

Does Economic Policy Uncertainty Connect Financial Markets? Evidence from Oil and Commodity Currencies

Albulescu, Claudiu - 2019

We explore the possible causal effect of economic policy uncertainty on the connectedness of crude oil and currency markets using a sample of commodity currencies from advanced and emerging nations. A battery of linear and nonlinear Granger-based causality tests indicate the presence of a causal...

Persistent link: https://www.econbiz.de/10012896152

Correlations among cryptocurrencies : evidence from multivariate factor stochastic volatility model

Shi, Yongjing; Tiwari, Aviral Kumar; Gozgor, Giray; Lu, Zhou - In: Research in international business and finance 53 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012549821

Systemic risk spillovers between crude oil and stock index returns of G7 economies : conditional value-at-risk and marginal expected shortfall approaches

Tiwari, Aviral Kumar; Trabelsi, Nader; Alqahtani, Faisal; … - In: Energy economics 86 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10012512191