Browsing Finance & Economics by Subject "Commodity markets"
Now showing items 1-3 of 3
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Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications
( Elsevier B.V. , 2017 , Article)This paper investigates the time-varying equicorrelations and risk spillovers between crude oil, gold and the Dow Jones conventional, sustainability and Islamic stock index aggregates and 10 associated disaggregated Islamic ... -
Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal
( Elsevier Inc. , 2019 , Article)This study examines the diversification and hedging properties of Bitcoin (BTC) and gold assets for oil and S&P GSCI investors. We model and forecast the volatility performance of the pairs BTC–oil, gold–oil, BTC–S&P GSCI, ... -
Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal
( Elsevier , 2019 , Article)This study examines the diversification and hedging properties of Bitcoin (BTC) and gold assets for oil and S&P GSCI investors. We model and forecast the volatility performance of the pairs BTC-oil, gold-oil, BTC-S&P GSCI, ...