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Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach
(
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 ...
Green bonds’ connectedness with hedging and conditional diversification performance
(
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 ...
Comovement and spillover among energy markets: A Comparison across different crisis periods
(
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 ...