Browsing by Author "Mensi, Walid"
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 ... -
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 between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications
Mensi, Walid; Hammoudeh, Shawkat; Al-Jarrah, Idries Mohammad Wanas; Sensoy, Ahmet; Kang, Sang Hoon ( 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 ... -
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 ... -
Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal
Al-Yahyaee, Khamis Hamed; Mensi, Walid; Al-Jarrah, Idries Mohammad Wanas; Hamdi, Atef; Kang, Sang Hoon ( 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
Al-Yahyaee, Khamis Hamed; Mensi, Walid; Al-Jarrah, Idries Mohammad Wanas; Hamdi, Atef; Kang, Sang Hoon ( 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, ...