Browsing by Author "Rehman, Mobeen Ur"
Now showing items 1-6 of 6
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Can uncertainty indices predict Bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches
Al-Yahyaee, Khamis Hamed; Rehman, Mobeen Ur; Mensi, Walid; Al-Jarrah, Idries Mohammad Wanas ( Elsevier Inc. , 2019 , Article)This paper uses bivariate and multivariate wavelet approaches to revisit the co-movements between the Volatility Uncertainty Index (VIX) and Bitcoin (BTC). This is achieved by accounting for the impacts of the three major ... -
Comovement and spillover among energy markets: A Comparison across different crisis periods
Rehman, Mobeen Ur; Nautiyal, Neeraj; Ghardallou, Wafa; Vo, Xuan Vinh; Zeitun, Rami ( Elsevier B.V. , 2023 , Article)We compare the comovement and spillover between returns of six developed energy markets during different crisis periods using wavelet multiple correlation and wavelet multiple cross-correlation. The considered countries ... -
Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach
Mensi, Walid; Shahzad, Syed Jawad Hussain; Hammoudeh, Shawkat; Zeitun, Rami; Rehman, Mobeen Ur ( Elsevier B.V. , 2017 , Article)This study examines the portfolio risk and the co-movements between each of the BRIC emerging and South Asian frontier stock markets and each of the major developed stock markets (U.S., UK and Japan), using the wavelet ... -
Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets
Walid, Mensi; Hammoudeh, Shawkat; Rehman, Mobeen Ur; Al-Maadid, Alanoud Ali S.; Hoon Kang, Sang ( Elsevier , 2020 , Article)This study examines portfolio management and risk spillovers between four major precious metals (gold, silver, palladium and platinum) and 20 important U.S. exchange markets. To this end, we employ the multivariate DECO-GARCH ... -
Green bonds’ connectedness with hedging and conditional diversification performance
Rehman, Mobeen Ur; Zeitun, Rami; Vo, Xuan Vinh; Ahmad, Nasir; Al-Faryan, Mamdouh Abdulaziz Saleh ( Elsevier Ltd , 2023 , Article)Investments in green assets are becoming increasingly significant, and they present a new asset class for investors. Consequently, the resulting connectedness among these green assets has implications for investments. Our ... -
The impact of Twitter-based sentiment on US sectoral returns
Rehman, Mobeen Ur; Ahmad, Nasir; Vo, Xuan Vinh ( Elsevier , 2022 , Article)This paper scrutinizes the effect of Twitter-based sentiment on US sectoral returns using data from between 21 June 2010 and 13 April 2020. We apply causality in quantiles as a non-parametric measure, followed by a rolling ...