Browsing by Author "Al-Yahyaee K.H."
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Portfolio management and dependencies among precious metal markets: Evidence from a Copula quantile-on-quantile approach
Al-Yahyaee K.H.; Mensi W.; Maitra D.; Al-Jarrah I.M.W. ( Elsevier Ltd , 2019 , Article)This study examines the dependence structure among four major precious metal markets: gold, palladium, platinum, and silver. Using the novel Copula Quantile-on-Quantile Regression (C-QQR) approach of Sim (2016), we show ... -
Risk spillovers and hedging effectiveness between major commodities, and Islamic and conventional GCC banks
Mensi W.; Hammoudeh S.; Al-Jarrah I.M.W.; Al-Yahyaee K.H.; Kang S.H. ( Elsevier Ltd , 2019 , Article)This paper examines the dynamic risk spillovers and hedging effectiveness between two important commodity markets (oil and gold) and both the Islamic and conventional bank stock indices for five GCC countries (Bahrain, ... -
Testing for the Granger-causality between returns in the U.S. and GIPSI stock markets
Al-yahyaee K.H.; Mensi W.; Al-Jarrah I.M.W.; Tiwari A.K. ( Elsevier B.V. , 2019 , Article)This paper studies the Granger-causality between the U.S. stock market and five stock markets in so-called ‘debtor countries’ of the European Union: Greece, Ireland, Portugal, Spain and Italy (GIPSI). We consider four novel ... -
Time frequency analysis of the commonalities between Bitcoin and major Cryptocurrencies: Portfolio risk management implications
Mensi W.; Rehman M.U.; Al-Yahyaee K.H.; Al-Jarrah I.M.W.; Kang S.H. ( Elsevier Inc. , 2019 , Article)This paper uses wavelet coherence and cross wavelet transform approaches to examine co-movement between Bitcoin and five major cryptocurrencies (Dash, Ethereum, Litecoin, Monero and Ripple) and their portfolio risk ...