Browsing by Author "Vo, Xuan Vinh"

Now showing items 1-7 of 7

    • Asymmetric pass through of energy commodities to US sectoral returns 

      Mobeen Ur, Rehman; Zeitun, Rami; Mardani, Abbas; Vo, Xuan Vinh; Eraslan, Veysel ( Elsevier , 2022 , Article)
      The influence of the international energy market on different economic aspects has increased significantly, especially after an escalation in the financialization of the energy market. Likewise following this trend, the ...

    • 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 ...

    • Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies 

      Mobeen Ur, Rehman; Katsiampa, Paraskevi; Zeitun, Rami; Vo, Xuan Vinh ( Elsevier , 2023 , Article)
      This paper investigates the extreme dependence and risk spillovers between Bitcoin and the currencies of the BRICS and G7 economies. We find time-varying dependence between Bitcoin and all currencies. Moreover, when analysing ...

    • Do oil shocks affect the green bond market? 

      Mobeen Ur, Rehman; Raheem, Ibrahim D.; Zeitun, Rami; Vo, Xuan Vinh; Ahmad, Nasir ( Elsevier , 2022 , Article)
      This study examines the predictive power of oil shocks for the green bond markets. In line with this aim, we investigated the extent to which oil shocks could be used to accurately make in- and out-of-sample forecasts for ...

    • Dynamic volatility transmission and portfolio management across major cryptocurrencies: Evidence from hourly data 

      Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, Idries Mohammad Wanas; Vo, Xuan Vinh; Kang, Sang Hoon ( Elsevier , 2020 , Article)
      This study used hourly data to examine the dynamic conditional correlations and hedging strategies in the main cryptocurrency markets: Bitcoin (BTC), Ethereum (ETH), Litecoin (LTC), and Ripple (XRP). Multivariate generalized ...

    • 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 ...