Does Bitcoin affect decomposed oil shocks differently? Evidence from a quantile-based framework
This paper studies the impact of Bitcoin on decomposed oil price shocks within a quantile-
based framework, through which the underlying investment sheltering role of Bitcoin for …
based framework, through which the underlying investment sheltering role of Bitcoin for …
Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries
SY Choi - Finance Research Letters, 2022 - Elsevier
This study conducted partial and multiple wavelet coherence analysis to investigate the
impact of geopolitical risks (GPR) on the volatility of stock indices in North-East Asian …
impact of geopolitical risks (GPR) on the volatility of stock indices in North-East Asian …
Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?
Recent literature extensively studies the safe-haven properties of different asset classes in
crisis periods. The magnitude of the economic policy uncertainty index (EPU) and the …
crisis periods. The magnitude of the economic policy uncertainty index (EPU) and the …
Search for safe havens and resilience to global financial volatility: Response of GCC equity indexes to GFC and Covid-19
Abstract The bear Gulf Cooperation Council (GCC) sectoral equity markets in the midst of
the COVID-19 pandemic presented us a test case to revisit the previously proclaimed refuge …
the COVID-19 pandemic presented us a test case to revisit the previously proclaimed refuge …
COVID-19 pandemic and Romanian stock market volatility: A GARCH approach
This paper investigates the volatility of daily returns on the Romanian stock market between
January 2020 and April 2021. Volatility is analyzed by means of the representative index for …
January 2020 and April 2021. Volatility is analyzed by means of the representative index for …
Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness …
This paper investigates the dynamic volatility spillover among energy commodities and
financial markets in pre-and mid-COVID-19 periods by utilizing a novel TVP-VAR frequency …
financial markets in pre-and mid-COVID-19 periods by utilizing a novel TVP-VAR frequency …
Blockchain technology, cryptocurrency: entropy-based perspective
F Liu, HY Fan, JY Qi - Entropy, 2022 - mdpi.com
The large-scale application of blockchain technology is an expected to be an inevitable
trend. This study revolves around published papers and articles related to blockchain …
trend. This study revolves around published papers and articles related to blockchain …
COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling
N Apergis - Finance Research Letters, 2022 - Elsevier
This paper analyzes the role of COVID-19 pandemic crisis in determining and forecasting
conditional volatility returns for a set of eight cryptocurrencies through an asymmetric …
conditional volatility returns for a set of eight cryptocurrencies through an asymmetric …
Can infectious disease pandemic impact the long-term volatility and correlation of gold and crude oil markets?
Y Wei, Z Wang, D Li, X Chen - Finance Research Letters, 2022 - Elsevier
Infectious disease pandemic has been proved to have deep effects on financial and
commodity markets. Gold and crude oil as two commonly used commodities to diversify a …
commodity markets. Gold and crude oil as two commonly used commodities to diversify a …
Downside risk in Dow Jones Islamic equity indices: Precious metals and portfolio diversification before and after the COVID-19 bear market
Besides great turmoil in financial markets, the COVID-19 pandemic also disrupted the global
supply chain, putting the precious metal market into great uncertainty. In this study, we revisit …
supply chain, putting the precious metal market into great uncertainty. In this study, we revisit …