Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal-Reference-Cited by-同舟云学术

Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal

Published:2019-07 Issue: Volume:49 Page:104-120
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Al-Yahyaee Khamis Hamed,Mensi Walid,Al-Jarrah Idries Mohammad Wanas,Hamdi Atef,Kang Sang Hoon

Funder

National Research Foundation of Korea

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference50 articles.

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3. Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets;Al-Yahyaee;Finance Research Letters,2018

4. Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management;Arouri;Journal of International Money and Finance,2011

5. On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness;Arouri;Energy Economics,2012

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