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Co-movement among oil, stock, bond, and housing markets : an analysis of U.S., Asian, and European economies

Yunus, Nafeesa - In: International review of finance : the official journal … 23 (2023) 2, pp. 393-436

Persistent link: https://www.econbiz.de/10014326307

Are Islamic gold-backed cryptocurrencies different?

Aloui, Chaker; Ben Hamida, Hela; Yarovaya, Larisa - In: Finance research letters 39 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10012805330

Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX : a comparison between DCC, ADCC and GO-GARCH models

Hachicha, Nejib; Ghorbel, Ahmed; Feki, Mohamed Chiheb; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 209-225

January 2000 to April 2019, along with, DCC, ADCC and GO-GARCH models as well as a hedging effectiveness criterion, we …

Persistent link: https://www.econbiz.de/10013183878

Hedge and safe haven properties during COVID-19 : evidence from Bitcoin and gold

Chemkha, Rahma; BenSaïda, Ahmed; Ghorbel, Ahmed; … - In: The quarterly review of economics and finance : journal … 82 (2021), pp. 71-85

Persistent link: https://www.econbiz.de/10013258258

On the hedge and safe haven properties of Bitcoin : is it really more than a diversifier?

Bouri, Elie; Molnár, Peter; Azzi, Georges; Roubaud, David - In: Finance research letters 20 (2017), pp. 192-198

Persistent link: https://www.econbiz.de/10011806908

On the economic determinants of optimal stock-bond portfolios : international evidence

Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … new DCC-MIDAS model, we construct stock-bond hedge portfolios and show that these portfolios outperform various benchmark …

Persistent link: https://www.econbiz.de/10011745369

Cryptocurrencies and the downside risk in equity investments

Bouri, Elie; Lucey, Brian M.; Roubaud, David - In: Finance research letters 33 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012430937

Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?

Lv, Fei; Yang, Chen; Fang, Libing - In: International review of financial analysis 71 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012436466

SRISK : a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - 2017

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...

Persistent link: https://www.econbiz.de/10011975954

Bitcoin, VIX futures and CDS : a triangle for hedging the international equity portfolios

Zghal, Rania; Ghorbel, Ahmed - In: International journal of emerging markets 17 (2022) 1, pp. 71-97

Persistent link: https://www.econbiz.de/10012886357

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