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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
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Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal
Al-Yahyaee, Khamis Hamed; Mensi, Walid; Al-Jarrah, … - In: The North American journal of economics and finance : a … 49 (2019), pp. 104-120
Persistent link: https://www.econbiz.de/10012269157
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Extreme dependence and risk spillovers between oil and Islamic stock markets
Shahzad, Syed Jawad Hussain; Mensi, Walid; Hammoudeh, … - In: Emerging markets review 34 (2018), pp. 42-63
Persistent link: https://www.econbiz.de/10012114666
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Analyzing time-frequency co-movements across gold and oil prices with BRICS stock markets : a VaR based on wavelet approach
Mensi, Walid; Hkiri, Besma; Al-Yahyaee, Khamis Hamed; … - In: International review of economics & finance : IREF 54 (2018), pp. 74-102
Persistent link: https://www.econbiz.de/10012033348
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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
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Tail dependence risk exposure and diversification potential of Islamic and conventional banks
Hernandez, Jose Arreola; Al-Yahyaee, Khamis Hamed; … - In: Applied economics 51 (2019) 44, pp. 4856-4869
Persistent link: https://www.econbiz.de/10012197121
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Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas
Mensi, Walid; Hammoudeh, Shawkat; Shahzad, Syed Jawad … - In: Energy economics 67 (2017), pp. 476-495
Persistent link: https://www.econbiz.de/10011897955