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Akademický článek

Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

Autor: Walid Mensi, Mariya Gubareva, Hee-Un Ko, Xuan Vinh Vo, Sang Hoon Kang

Publikováno v: Financial Innovation, Vol 9, Iss 1, Pp 1-27 (2023)

Abstract This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile

Externí odkaz: https://doaj.org/article/57d3357469864c33be539711e35a3b6e

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Akademický článek

Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets

Autor: Waqas Hanif, Hee-Un Ko, Linh Pham, Sang Hoon Kang

Publikováno v: Financial Innovation, Vol 9, Iss 1, Pp 1-40 (2023)

Abstract This study examines the connectedness in high-order moments between cryptocurrency, major stock (U.S., U.K., Eurozone, and Japan), and commodity (gold and oil) markets. Using intraday data from 2020 to 2022 and the time and frequency connect

Externí odkaz: https://doaj.org/article/fe5a0b0e2faf480bba1fec5e79241186

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Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis

Autor: Walid, Mensi, Xuan Vinh, Vo, Hee-Un, Ko, Sang Hoon, Kang

Publikováno v: Economic Analysis and Policy. 77:558-580

This paper examines frequency dynamic spillovers in return and volatility and the hedging ability of Green Bonds, gold, silver, oil, the US dollar index, and volatility index against downside US stock prices before and during the COVID-19 pandemic ou

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::619125dae40cf82b4207403f46f2bd41
https://doi.org/10.1016/j.eap.2022.12.010

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