Similar Search Results

Philippas, Dionisis; Rjiba, Hatem; Guesmi, Khaled; … - In: Finance research letters 30 (2019), pp. 37-43

Persistent link: https://www.econbiz.de/10012420185

Risk spillover during the COVID-19 global pandemic and portfolio management

Yousfi, Mohamed; Dhaoui, Abderrazak; Bouzgarrou, Houssam - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-29

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the...

Persistent link: https://www.econbiz.de/10012611779

Risk spillover during the COVID-19 global pandemic and portfolio management

Yousfi, Mohamed; Dhaoui, Abderrazak; Bouzgarrou, Houssam - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-29

Persistent link: https://www.econbiz.de/10012587420

Chinese jigsaw : solving the equity market response to the COVID-19 crisis : do alternative asset provide effective hedging performance?

Tarchella, Salma; Dhaoui, Abderrazak - In: Research in international business and finance 58 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013287813

Diversifying equity with cryptocurrencies during COVID-19

Goodell, John W.; Goutte, Stéphane - In: International review of financial analysis 76 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012805071

A non-linear approach to measure the dependencies between Bitcoin and other commodity markets

Goutte, Stéphane; Keddad, Benjamin - In: Recent econometric techniques for macroeconomic and …, (pp. 303-314). 2021

In this paper, we explore the relationship across cryptocurrencies and a set of commodities by using a Markov-Switching-VAR model. The parametric form of the model allows us to compute the regime-dependent impulse response functions during high and low volatility episodes and then to quantify...

Persistent link: https://www.econbiz.de/10012395551

Co-movement of COVID-19 and Bitcoin : evidence from wavelet coherence analysis

Goodell, John W.; Goutte, Stéphane - In: Finance research letters 38 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012490619

Deep learning and technical analysis in cryptocurrency market

Goutte, Stéphane; Le, Hoang-Viet; Liu, Fei; … - In: Finance research letters 54 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014472779

Bitcoin and liquidity risk diversification

Ghabri, Yosra; Guesmi, Khaled; Zantour, Ahlem - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012819160

Is Bitcoin rooted in confidence? : unraveling the determinants of globalized digital currencies

Gaies, Brahim; Nakhli, Mohamed Sahbi; Sahut, Jean-Michel; … - In: Technological forecasting & social change : an … 172 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10013175688