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Quantile connectedness in the cryptocurrency market
Bouri, Elie; Saeed, Tareq; Xuan Vinh Vo; Roubaud, David - In: Journal of international financial markets, … 71 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012800041
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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
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Modelling cryptocurrency high-low prices using fractional cointegrating VAR
Yaya, OlaOluwa S.; Xuan Vinh Vo; Ogbonna, Ahamuefula E.; … - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 489-505
Persistent link: https://www.econbiz.de/10012814609
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Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies
Aharon, David Y.; Umar, Zaghum; Xuan Vinh Vo - In: Financial innovation : FIN 7 (2021), pp. 1-25
This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland, EURO, Japan, and the UK) and the leading...
Persistent link: https://www.econbiz.de/10012617325
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Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? : a portfolio risk analysis
Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, … - In: International review of economics & finance : IREF 76 (2021), pp. 96-113
Persistent link: https://www.econbiz.de/10013175750
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"Small things matter most" : the spillover effects in the cryptocurrency market and gold as a silver bullet
Toan Luu Duc Huynh; Nasir, Muhammad Ali; Xuan Vinh Vo; … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012665431
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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 … spillover between cryptocurrencies and volatility indices for the major traditional markets varies substantially across … bearish and bullish market conditions. Moreover, we show that under all market conditions, cryptocurrencies have a leadership …
Persistent link: https://www.econbiz.de/10014289114
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Influence of unconventional monetary policy on agricultural commodities futures : network connectedness and dynamic spillovers of returns and volatility
Umar, Zaghum; Sayed, Ayesha; Gubareva, Mariya; Xuan Vinh Vo - In: Applied economics 55 (2023) 22, pp. 2521-2535
Persistent link: https://www.econbiz.de/10014294972
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Impacts of COVID-19 outbreak on the spillovers between US and Chinese stock sectors
Hanif, Waqas; Mensi, Walid; Xuan Vinh Vo - In: Finance research letters 40 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012819863
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Dynamic spillover and connectedness between oil futures and European bonds
Mensi, Walid; Al-Yahyaee, Khamis Hamed; Xuan Vinh Vo; … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012822033