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Extreme risk spillover between Chinese and global crude oil futures

Yang, Yuying; Ma, Yan-Ran; Hu, Min; Zhang, Dayong; Ji, Qiang - In: Finance research letters 40 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012819882

Frequency domain quantile dependence and connectedness between crude oil and exchange rates : evidence from oil-importing and exporting countries

Zhu, Huiming; Li, Shuang; Huang, Zishan - In: The quarterly review of economics and finance : journal … 90 (2023), pp. 1-30

Persistent link: https://www.econbiz.de/10014431798

Network connectedness between China's crude oil futures and sector stock indices

Wang, Zi-Xin; Liu, Bing-Yue; Fan, Ying - In: Energy economics 125 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014485223

Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Financial innovation : FIN 6 (2020) 53, pp. 1-29

effectiveness of put replication, gold, and oil on hedge equities in the ASEAN-5 (Indonesia, Malaysia, Singapore, Thailand, and the …-adjusted-performance such as Sharpe ratio, drawdown, and Omega ratio. The result reveals that gold is a cheaper hedge than oil and oil … less attractive than money market instruments and gold. This study also implies that risk-averse investors should prefer to …

Persistent link: https://www.econbiz.de/10012418412

Can cryptocurrencies hedge oil price fluctuations? : a pandemic perspective

Będowska-Sójka, Barbara; Kliber, Agata - In: Energy economics 115 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013541809

Bitcoin, gold, and the VIX : short- and long-term effects of economic policy uncertainty

Hernandez, Jose Arreola; Hasan, Mohammad Zahid; McIver, Ron - In: Applied economics letters 30 (2023) 6, pp. 761-765

Persistent link: https://www.econbiz.de/10013553970

Investing in cocoa-gold sector and the crude oil price-exchange rate uncertainty in Ghana : volatility transmission and hedging approach

Damba, Osman Tahidu; Bilgic, Abdulbaki; Amikuzuno, Joseph; … - In: African review of economics and finance : AREF : the … 13 (2021) 1, pp. 193-213

Persistent link: https://www.econbiz.de/10012618563

Dynamic relationship between the return of gold, crude oil, and the stock exchange of Thailand based on a vector autoregressive model

Wongtawan Uthumrat - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 4, pp. 350-356

Persistent link: https://www.econbiz.de/10013366525

Dynamic spillovers between gulf cooperation council's stocks, VIX, oil and gold volatility indices

Alqahtani, Abdullah; Chevallier, Julien - In: Journal of risk and financial management : JRFM 13 (2020) 4/69, pp. 1-17

Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the … oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to DCC … of the volatility measures, and the correlations are stronger during crisis periods; (ii) GCC stock returns are mostly …

Persistent link: https://www.econbiz.de/10012302563

Does the value of US dollar matter with the price of oil and gold? : a dynamic analysis from time-frequency space

Lin, Fu-Lai; Chen, Yu-Fen; Yang, Sheng-Yung - In: International review of economics & finance : IREF 43 (2016), pp. 59-71

Persistent link: https://www.econbiz.de/10011625532