Browsing Finance & Economics by Author "n 81065687"
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Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets
Walid, Mensi; Hammoudeh, Shawkat; Rehman, Mobeen Ur; Al-Maadid, Alanoud Ali S.; Hoon Kang, Sang ( Elsevier , 2020 , Article)This study examines portfolio management and risk spillovers between four major precious metals (gold, silver, palladium and platinum) and 20 important U.S. exchange markets. To this end, we employ the multivariate DECO-GARCH ... -
Extreme linkages of carbon futures, energy markets, and economic indicators: A copula approach
Trabelsi, Nader; Tiwari, Aviral Kumar; Hammoudeh, Shawkat; Benlagha, Noureddine ( Taylor & Francis , 2023 , Article)The interdependence of carbon allowances and different energy sources in extreme market behavior is still unsettled in the literature. Using different types of static and time-varying copulas, this piece of research aims ... -
Systemic risk for financial institutions in the major petroleum-based economies: The role of oil
Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; Hammoudeh, Shawkat ( International Association for Energy Economics , 2020 , Article)We examine the relationship between oil returns and systemic risk of financial institutions in major petroleum-based economies. By estimating ΔCoVaR, we observe the presence of remarkable increases in risk levels during ...