Co-jump dynamicity in the cryptocurrency market: A network modelling perspective
L Zhang, E Bouri, Y Chen - Finance Research Letters, 2023 - Elsevier
We examine the co-jumps of 37 cryptocurrencies based on a network model, and analyse
the portfolio implications. The results reveal that, firstly, Bitcoin exerts the strongest influence …
the portfolio implications. The results reveal that, firstly, Bitcoin exerts the strongest influence …
Dynamic connectedness, portfolio performance, and hedging effectiveness of the hydrogen economy, renewable energy, equity, and commodity markets: Insights from …
This study employs a Time-Varying Parameter Vector Auto Regressive (TVP-VAR)
connectedness approach to investigate the dynamic interconnections, portfolio performance …
connectedness approach to investigate the dynamic interconnections, portfolio performance …
From the pandemic to the Russia–Ukraine crisis: Dynamic behavior of connectedness between financial markets and implications for portfolio management
M Yousfi, R Farhani, H Bouzgarrou - Economic Analysis and Policy, 2024 - Elsevier
This study assesses the time-varying connectedness and portfolio implications among
equity markets, commodities, and cryptocurrencies. To this end, we employ the DCC …
equity markets, commodities, and cryptocurrencies. To this end, we employ the DCC …
Is gold a safe haven for the US dollar during extreme conditions?
A Azimli - International Economics, 2024 - Elsevier
This paper examines whether gold can act as a hedge/safe-haven asset for the US dollar
exchange rate risk against a broad range of currencies. Findings imply the important …
exchange rate risk against a broad range of currencies. Findings imply the important …
Exploring connectedness among cryptocurrency, technology communication, and FinTech through dynamic and fractal analysis
This study explores the dynamic connectedness and multivariate connectivity among
Bitcoin, Innovative Technology Communication (ITC), and FinTech indices. Using TVP-VAR …
Bitcoin, Innovative Technology Communication (ITC), and FinTech indices. Using TVP-VAR …
Decomposing interconnectedness: A study of cryptocurrency spillover effects in global financial markets
J Liu, J Julaiti, S Gou - Finance Research Letters, 2024 - Elsevier
This paper employs a novel R 2 decomposition connectivity method to analyze the spillover
effects between cryptocurrencies and other markets, distinguishing between …
effects between cryptocurrencies and other markets, distinguishing between …
Tail risk intersection between tech-tokens and tech-stocks
This study investigates the interconnectedness of upside and downside tail risks between
tech-industry tokens and equities, focusing on uncertainties and portfolio implications. We …
tech-industry tokens and equities, focusing on uncertainties and portfolio implications. We …
The dynamic connectedness between collateralized loan obligations and major asset classes: a TVP-VAR approach and portfolio hedging strategies for investors
Motivated by the increasing demand for alternative assets that can contribute to reducing
portfolio risk, this paper examines the volatility spillovers between collateralized loan …
portfolio risk, this paper examines the volatility spillovers between collateralized loan …
[PDF][PDF] The historical transition of return transmission, volatility spillovers, and dynamic conditional correlations: A fresh perspective and new evidence from the US, UK …
C Tsuji - Quantitative Finance and Economics, 2024 - aimspress.com
This paper quantitatively investigated the historical transition of return transmission, volatility
spillovers, and correlations between the US, UK, and Japanese stock markets. Applying a …
spillovers, and correlations between the US, UK, and Japanese stock markets. Applying a …