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Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor

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Cited by:

  1. Billah, Mabruk & Karim, Sitara & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2022. "Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness," Research in International Business and Finance, Elsevier, vol. 62(C).
  2. Liow, Kim Hiang & Song, Jeong Seop, 2022. "Frequency volatility connectedness and market integration in international real estate investment trusts," Finance Research Letters, Elsevier, vol. 45(C).
  3. Ding, Qian & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility," Energy Economics, Elsevier, vol. 102(C).
  4. Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
  5. Zhang, Hua & Chen, Jinyu & Shao, Liuguo, 2021. "Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19," International Review of Financial Analysis, Elsevier, vol. 77(C).
  6. Cesario Mateus & Miramir Bagirov & Irina Mateus, 2024. "Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets," International Review of Finance, International Review of Finance Ltd., vol. 24(1), pages 83-103, March.
  7. Goswami, Mangal & Pontines, Victor & Mohammed, Yassier, 2023. "Portfolio capital flows and the US dollar exchange rate: Viewed from the lens of time and frequency dynamics of connectedness," International Review of Financial Analysis, Elsevier, vol. 89(C).
  8. Thai Hung, Ngo & Nguyen, Linh Thi My & Vinh Vo, Xuan, 2022. "Exchange rate volatility connectedness during Covid-19 outbreak: DECO-GARCH and Transfer Entropy approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  9. Asadi, Mehrad & Roudari, Soheil & Tiwari, Aviral Kumar & Roubaud, David, 2023. "Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy," Energy Economics, Elsevier, vol. 118(C).
  10. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A. & Ferreira, Paulo & Aslam, Faheem & Tabak, Benjamin Miranda, 2022. "Interplay multifractal dynamics among metal commodities and US-EPU," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 606(C).
  11. Mukhriz Izraf Azman Aziz & Norzalina Ahmad & Jin Zichu & Safwan Mohd Nor, 2022. "The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies," Mathematics, MDPI, vol. 10(9), pages 1-22, April.
  12. Mensi, Walid & Ali, Syed Riaz Mahmood & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Multiscale dependence, spillovers, and connectedness between precious metals and currency markets: A hedge and safe-haven analysis," Resources Policy, Elsevier, vol. 77(C).
  13. Zhu, Huiming & Li, Shuang & Huang, Zishan, 2023. "Frequency domain quantile dependence and connectedness between crude oil and exchange rates: Evidence from oil-importing and exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 1-30.
  14. Liuguo Shao & Hua Zhang & Senfeng Chang & Ziyang Wang, 2024. "Dynamic connectedness between China's commodity markets and China's sectoral stock markets: A multidimensional analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 903-926, January.
  15. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Time and frequency connectedness and network across the precious metal and stock markets: Evidence from top precious metal importers and exporters," Resources Policy, Elsevier, vol. 72(C).
  16. Hanif, Waqas & Mensi, Walid & Alomari, Mohammad & Andraz, Jorge Miguel, 2023. "Downside and upside risk spillovers between precious metals and currency markets: Evidence from before and during the COVID-19 crisis," Resources Policy, Elsevier, vol. 81(C).
  17. Spyros Papathanasiou & Dimitris Kenourgios & Drosos Koutsokostas & Georgios Pergeris, 2023. "Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 198-211, May.
  18. Yıldırım, Durmuş Çağrı & Erdoğan, Fatma & Tarı, Elif Nur, 2022. "Time-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies," Resources Policy, Elsevier, vol. 76(C).
  19. Papathanasiou, Spyros & Dokas, Ioannis & Koutsokostas, Drosos, 2022. "Value investing versus other investment strategies: A volatility spillover approach and portfolio hedging strategies for investors," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  20. Cunado, Juncal & Chatziantoniou, Ioannis & Gabauer, David & de Gracia, Fernando Perez & Hardik, Marfatia, 2023. "Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures," Journal of Commodity Markets, Elsevier, vol. 30(C).
  21. Ding, Qian & Huang, Jianbai & Zhang, Hongwei, 2022. "Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change," International Review of Financial Analysis, Elsevier, vol. 83(C).
  22. Nekhili, Ramzi & Mensi, Walid & Vo, Xuan Vinh, 2021. "Multiscale spillovers and connectedness between gold, copper, oil, wheat and currency markets," Resources Policy, Elsevier, vol. 74(C).
  23. Feng Han & Xiaojuan Ma & Jiheng Zhang, 2022. "Simulating Multi-Asset Classes Prices Using Wasserstein Generative Adversarial Network: A Study of Stocks, Futures and Cryptocurrency," JRFM, MDPI, vol. 15(1), pages 1-21, January.
  24. Mensi, Walid & Vo, Xuan Vinh & Ko, Hee-Un & Kang, Sang Hoon, 2023. "Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 558-580.
  25. Kyriazis, Nikolaos A. & Papadamou, Stephanos & Tzeremes, Panayiotis, 2023. "Are benchmark stock indices, precious metals or cryptocurrencies efficient hedges against crises?," Economic Modelling, Elsevier, vol. 128(C).
  26. Asadi, Mehrad & Tiwari, Aviral Kumar & Gholami, Samad & Ghasemi, Hamid Reza & Roubaud, David, 2023. "Understanding interconnections among steel, coal, iron ore, and financial assets in the US and China using an advanced methodology," International Review of Financial Analysis, Elsevier, vol. 89(C).
  27. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
  28. Chowdhury, Md Shahedur R. & Damianov, Damian S. & Elsayed, Ahmed H., 2022. "Bubbles and crashes in cryptocurrencies: Interdependence, contagion, or asset rotation?," Finance Research Letters, Elsevier, vol. 46(PB).
  29. Jose Arreola Hernandez & Sang Hoon Kang & Ron P. McIver & Seong-Min Yoon, 2021. "Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 613-647, December.
  30. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures," Resources Policy, Elsevier, vol. 74(C).
  31. Jose Arreola Hernandez & Sang Hoon Kang & Seong‐Min Yoon, 2022. "Nonlinear spillover and portfolio allocation characteristics of energy equity sectors: Evidence from the United States and Canada," Review of International Economics, Wiley Blackwell, vol. 30(1), pages 1-33, February.
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