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On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios

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  1. Chunhachinda, Pornchai & de Boyrie, Maria E. & Pavlova, Ivelina, 2019. "Measuring the hedging effectiveness of commodities," Finance Research Letters, Elsevier, vol. 30(C), pages 201-207.
  2. Imran Yousaf & Shoaib Ali, 2020. "Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
  3. Lv, Fei & Yang, Chen & Fang, Libing, 2020. "Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?," International Review of Financial Analysis, Elsevier, vol. 71(C).
  4. Wang, Yudong & Wu, Chongfeng, 2012. "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, vol. 34(6), pages 2167-2181.
  5. Guo, Dong & Zhou, Peng, 2021. "Green bonds as hedging assets before and after COVID: A comparative study between the US and China," Energy Economics, Elsevier, vol. 104(C).
  6. Mensi, Walid & Shafiullah, Muhammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies," Resources Policy, Elsevier, vol. 71(C).
  7. Yousaf, Imran & Yarovaya, Larisa, 2022. "Static and dynamic connectedness between NFTs, Defi and other assets: Portfolio implication," Global Finance Journal, Elsevier, vol. 53(C).
  8. El Hedi Arouri, Mohamed & Lahiani, Amine & Nguyen, Duc Khuong, 2015. "World gold prices and stock returns in China: Insights for hedging and diversification strategies," Economic Modelling, Elsevier, vol. 44(C), pages 273-282.
  9. Mohamed Yousfi & Abderrazak Dhaoui & Houssam Bouzgarrou, 2021. "Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management," JRFM, MDPI, vol. 14(5), pages 1-29, May.
  10. Asma Abdallah & Ahmed Ghorbela, 2018. "Hedging Oil Prices with Renewable Energy Indices A Comparison between Various Multivariate Garch Versions," Biostatistics and Biometrics Open Access Journal, Juniper Publishers Inc., vol. 6(3), pages 74-86, April.
  11. Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Syed Ali, 2018. "Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach," Resources Policy, Elsevier, vol. 57(C), pages 10-29.
  12. Asl, Mahdi Ghaemi & Canarella, Giorgio & Miller, Stephen M., 2021. "Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies," Resources Policy, Elsevier, vol. 71(C).
  13. Mensi, Walid & Nekhili, Ramzi & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 73-96.
  14. Ali, Shoaib & Ijaz, Muhammad Shahzad & Yousaf, Imran, 2023. "Dynamic spillovers and portfolio risk management between defi and metals: Empirical evidence from the Covid-19," Resources Policy, Elsevier, vol. 83(C).
  15. Zanotti, Giovanna & Gabbi, Giampaolo & Geranio, Manuela, 2010. "Hedging with futures: Efficacy of GARCH correlation models to European electricity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 135-148, April.
  16. Mensi, Walid & Hamed Al-Yahyaee, Khamis & Vinh Vo, Xuan & Hoon Kang, Sang, 2021. "Dynamic spillover and connectedness between oil futures and European bonds," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  17. Meng, Juan & Nie, He & Mo, Bin & Jiang, Yonghong, 2020. "Risk spillover effects from global crude oil market to China’s commodity sectors," Energy, Elsevier, vol. 202(C).
  18. Khalifa, Ahmed A.A. & Hammoudeh, Shawkat & Otranto, Edoardo, 2014. "Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets," Economic Modelling, Elsevier, vol. 41(C), pages 365-374.
  19. Iglesias-Casal, Ana & López-Penabad, María-Celia & López-Andión, Carmen & Maside-Sanfiz, José Manuel, 2020. "Diversification and optimal hedges for socially responsible investment in Brazil," Economic Modelling, Elsevier, vol. 85(C), pages 106-118.
  20. Han, Liyan & Jin, Jiayu & Wu, Lei & Zeng, Hongchao, 2020. "The volatility linkage between energy and agricultural futures markets with external shocks," International Review of Financial Analysis, Elsevier, vol. 68(C).
  21. Mesakh Prihanto Surya Putra & Apriani Dorkas Rambu Atahau & Robiyanto Robiyanto, 2018. "Cross–asset class portfolio between gold and stocks in Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 10(1), pages 69-81, April.
  22. Andreas Renard Widarto & Harjum Muharam & Sugeng Wahyudi & Irene Rini Demi Pangestuti, 2022. "ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach," SAGE Open, , vol. 12(2), pages 21582440221, April.
  23. Cui, Tianxiang & Suleman, Muhammad Tahir & Zhang, Hongwei, 2022. "Do the green bonds overreact to the COVID-19 pandemic?," Finance Research Letters, Elsevier, vol. 49(C).
  24. Zhuo Chen & Bo Yan & Hanwen Kang, 2022. "Dynamic correlation between crude oil and agricultural futures markets," Review of Development Economics, Wiley Blackwell, vol. 26(3), pages 1798-1849, August.
  25. Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad & Suleman, Muhammad Tahir & Kang, Sang Hoon, 2022. "Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications," Energy Economics, Elsevier, vol. 105(C).
  26. Jose Arreola Hernandez & Sang Hoon Kang & Seong-Min Yoon, 2022. "Spillovers and portfolio optimization of precious metals and global/regional equity markets," Applied Economics, Taylor & Francis Journals, vol. 54(20), pages 2320-2342, April.
  27. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 397-419.
  28. Dutta, Anupam, 2018. "A note on the implied volatility spillovers between gold and silver markets," Resources Policy, Elsevier, vol. 55(C), pages 192-195.
  29. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
  30. Gustafsson, Robert & Dutta, Anupam & Bouri, Elie, 2022. "Are energy metals hedges or safe havens for clean energy stock returns?," Energy, Elsevier, vol. 244(PA).
  31. Jin, Jiayu & Han, Liyan & Xu, Yang, 2022. "Does the SDR stabilize investing in commodities?," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 160-172.
  32. Sarwar, Suleman & Shahbaz, Muhammad & Anwar, Awais & Tiwari, Aviral Kumar, 2019. "The importance of oil assets for portfolio optimization: The analysis of firm level stocks," Energy Economics, Elsevier, vol. 78(C), pages 217-234.
  33. Wen, Danyan & Wang, Yudong, 2021. "Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications," Resources Policy, Elsevier, vol. 74(C).
  34. Yousaf, Imran & Jareño, Francisco & Tolentino, Marta, 2023. "Connectedness between Defi assets and equity markets during COVID-19: A sector analysis," Technological Forecasting and Social Change, Elsevier, vol. 187(C).
  35. JEBABLI, Ikram & KOUAISSAH, Noureddine & AROURI, Mohamed, 2022. "Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis," Finance Research Letters, Elsevier, vol. 46(PA).
  36. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Sensoy, Ahmet & Kang, Sang Hoon, 2019. "Energy, precious metals, and GCC stock markets: Is there any risk spillover?," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 45-70.
  37. Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2014. "Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 354-366.
  38. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2020. "Spillovers and co-movements between precious metals and energy markets: Implications on portfolio management," Resources Policy, Elsevier, vol. 69(C).
  39. Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2019. "Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification," Empirical Economics, Springer, vol. 56(3), pages 1117-1144, March.
  40. Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Econometrics, MDPI, vol. 11(3), pages 1-36, August.
  41. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
  42. Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013. "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 164-182.
  43. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014. "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 159-177.
  44. Awatef Ourir & Elie Bouri & Essahbi Essaadi, 2023. "Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 197-231, January.
  45. Arfaoui Mongi & Haj Ali Dhouha, 2016. "Do Structural Breaks Affect Portfolio Designs and Hedging Strategies? International Evidence from Stock-Commodity Markets Linkages," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 252-270.
  46. Mensi, Walid & Aslan, Aylin & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 219-232.
  47. Jebabli, Ikram & Arouri, Mohamed & Teulon, Frédéric, 2014. "On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility," Energy Economics, Elsevier, vol. 45(C), pages 66-98.
  48. Selma Izadi & M. Kabir Hassan, 2018. "Portfolio and hedging effectiveness of financial assets of the G7 countries," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 183-213, August.
  49. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2022. "Carbon credit futures as an emerging asset: Hedging, diversification and downside risks," Energy Economics, Elsevier, vol. 113(C).
  50. 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).
  51. Vollmer, Teresa & von Cramon-Taubadel, Stephan, 2020. "The Optimal Wheat Futures Hedge at the Euronext Paris from a Farmer’s Perspective," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 69(1), March.
  52. Ali, Syed Riaz Mahmood & Mensi, Walid & Anik, Kaysul Islam & Rahman, Mishkatur & Kang, Sang Hoon, 2022. "The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 345-372.
  53. Boako, Gideon & Alagidede, Paul, 2016. "Global commodities and African stocks: A ‘market of one?’," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 226-237.
  54. Shanglei Chai, 2015. "Dependence Structure and Hedging of U.S. Spot and Futures Markets in Financial Crisis," Accounting and Finance Research, Sciedu Press, vol. 4(3), pages 1-77, August.
  55. Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Rehman, Mobeen Ur & Salman, Aneel, 2019. "Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models," Resources Policy, Elsevier, vol. 61(C), pages 210-230.
  56. Ihsan Erdem Kayral & Ahmed Jeribi & Sahar Loukil, 2023. "Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War?," JRFM, MDPI, vol. 16(4), pages 1-22, April.
  57. El Hedi Arouri, Mohamed & Jouini, Jamel & Nguyen, Duc Khuong, 2011. "Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1387-1405.
  58. López Cabrera, Brenda & Schulz, Franziska, 2016. "Volatility linkages between energy and agricultural commodity prices," Energy Economics, Elsevier, vol. 54(C), pages 190-203.
  59. Fabio Filipozzi & Kersti Harkmann, 2014. "Currency hedge – walking on the edge?," Bank of Estonia Working Papers wp2014-5, Bank of Estonia, revised 10 Oct 2014.
  60. Bonato, Matteo, 2019. "Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 184-202.
  61. Ahmed Ghorbel & Wajdi Hamma & Anis Jarboui, 2017. "Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(9), pages 1509-1542, July.
  62. Gaurav Gairola & Kushankur Dey, 2023. "Price discovery and risk management in asset class: a bibliometric analysis and research agenda," Applied Economics Letters, Taylor & Francis Journals, vol. 30(17), pages 2320-2331, October.
  63. Prange, Philipp, 2021. "Does online investor attention drive the co-movement of stock-, commodity-, and energy markets? Insights from Google searches," Energy Economics, Elsevier, vol. 99(C).
  64. Liow, Kim Hiang & Song, Jeongseop, 2020. "Dynamic interdependence of ASEAN5 with G5 stock markets," Emerging Markets Review, Elsevier, vol. 45(C).
  65. Dutta, Anupam & Bouri, Elie & Noor, Md Hasib, 2018. "Return and volatility linkages between CO2 emission and clean energy stock prices," Energy, Elsevier, vol. 164(C), pages 803-810.
  66. Yudong Wang & Li Liu, 2016. "Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging," Empirical Economics, Springer, vol. 50(4), pages 1481-1509, June.
  67. Cho, Jae-Beom & Min, Hong-Ghi & McDonald, Judith Ann, 2020. "Volatility and dynamic currency hedging," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
  68. Suleman, Muhammad Tahir & Rehman, Mobeen Ur & Sheikh, Umaid A. & Kang, Sang Hoon, 2023. "Dynamic time-frequency connectedness between European emissions trading system and sustainability markets," Energy Economics, Elsevier, vol. 123(C).
  69. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Alomari, Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis," Resources Policy, Elsevier, vol. 79(C).
  70. Robiyanto Robiyanto & Rihfenti Ernayani & Rendi Susiswo Ismail, 2019. "Formulation Of A Dynamic Portfolio With Stocks And Fixed-Income Instruments In The Indonesian Capital Market," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 10(1).
  71. Jin, Jiayu & Han, Liyan & Wu, Lei & Zeng, Hongchao, 2020. "The hedging effect of green bonds on carbon market risk," International Review of Financial Analysis, Elsevier, vol. 71(C).
  72. Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Adekoya, Oluwasegun B. & Oteng-Abayie, Eric Fosu, 2023. "An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices," Technological Forecasting and Social Change, Elsevier, vol. 186(PA).
  73. Ángel López-Oriona & José A. Vilar, 2021. "F4: An All-Purpose Tool for Multivariate Time Series Classification," Mathematics, MDPI, vol. 9(23), pages 1-26, November.
  74. Cui, Yan & Feng, Yun, 2020. "Composite hedge and utility maximization for optimal futures hedging," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 15-32.
  75. Lin, Ling & Zhou, Zhongbao & Jiang, Yong & Ou, Yangchen, 2021. "Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  76. Ali, Sajid & Raza, Naveed & Vinh Vo, Xuan & Le, Van, 2022. "Modelling the joint dynamics of financial assets using MGARCH family models: Insights into hedging and diversification strategies," Resources Policy, Elsevier, vol. 78(C).
  77. Rehman, Mobeen Ur & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Asymmetric multifractal behaviour and network connectedness between socially responsible stocks and international oil before and during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
  78. Hachicha, Néjib & Ben Amar, Amine & Ben Slimane, Ikrame & Bellalah, Makram & Prigent, Jean-Luc, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," International Review of Financial Analysis, Elsevier, vol. 83(C).
  79. Асатуров К.Г. & Теплова Т.В., 2014. "Построение Коэффициентов Хеджирования Для Высоколиквидных Акций Российского Рынка На Основе Моделей Класса Garch," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 50(1), pages 37-54, январь.
  80. Taicir Mezghani & Mouna Boujelbène Abbes, 2023. "Forecast the Role of GCC Financial Stress on Oil Market and GCC Financial Markets Using Convolutional Neural Networks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 505-530, September.
  81. Jebabli, Ikram & Roubaud, David, 2018. "Time-varying efficiency in food and energy markets: Evidence and implications," Economic Modelling, Elsevier, vol. 70(C), pages 97-114.
  82. 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.
  83. Čech, František & Zítek, Michal, 2022. "Marine fuel hedging under the sulfur cap regulations," Energy Economics, Elsevier, vol. 113(C).
  84. Chkili, Walid, 2016. "Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries," Research in International Business and Finance, Elsevier, vol. 38(C), pages 22-34.
  85. Guannan Wang & Juan Meng & Bin Mo, 2023. "Dynamic Volatility Spillover Effects and Portfolio Strategies among Crude Oil, Gold, and Chinese Electricity Companies," Mathematics, MDPI, vol. 11(4), pages 1-25, February.
  86. Tarchella, Salma & Dhaoui, Abderrazak, 2021. "Chinese jigsaw: Solving the equity market response to the COVID-19 crisis: Do alternative asset provide effective hedging performance?," Research in International Business and Finance, Elsevier, vol. 58(C).
  87. Basher, Syed Abul & Sadorsky, Perry, 2016. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," Energy Economics, Elsevier, vol. 54(C), pages 235-247.
  88. Yahya, Muhammad & Kanjilal, Kakali & Dutta, Anupam & Uddin, Gazi Salah & Ghosh, Sajal, 2021. "Can clean energy stock price rule oil price? New evidences from a regime-switching model at first and second moments," Energy Economics, Elsevier, vol. 95(C).
  89. Umar, Zaghum & Hussain Shahzad, Syed Jawad & Kenourgios, Dimitris, 2019. "Hedging U.S. metals & mining Industry's credit risk with industrial and precious metals," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
  90. Lei, Lei & Aziz, Ghazala & Sarwar, Suleman & Waheed, Rida & Tiwari, Aviral Kumar, 2023. "Spillover and portfolio analysis for oil and stock market: A new insight across financial crisis, COVID-19 and Russian-Ukraine war," Resources Policy, Elsevier, vol. 85(PA).
  91. Abuzayed, Bana & Al-Fayoumi, Nedal & Bouri, Elie, 2022. "Hedging UK stock portfolios with gold and oil: The impact of Brexit," Resources Policy, Elsevier, vol. 75(C).
  92. Wajdi Hamma & Ahmed Ghorbel & Anis Jarboui, 2021. "Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 179-199, May.
  93. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets," Energy Economics, Elsevier, vol. 98(C).
  94. Yousaf, Imran & Yarovaya, Larisa, 2022. "Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
  95. Alomari, Mohammad & Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Extreme return spillovers and connectedness between crude oil and precious metals futures markets: Implications for portfolio management," Resources Policy, Elsevier, vol. 79(C).
  96. Jin, Jiayu & Han, Liyan & Wu, Lei & Zeng, Hongchao, 2020. "The hedging effectiveness of global sectors in emerging and developed stock markets," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 92-117.
  97. Kotkatvuori-Örnberg, Juha, 2016. "Dynamic conditional copula correlation and optimal hedge ratios with currency futures," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 60-69.
  98. Arfaoui, Mongi & Chkili, Walid & Ben Rejeb, Aymen, 2022. "Asymmetric and dynamic links in GCC Sukuk-stocks: Implications for portfolio management before and during the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
  99. Arfaoui Mongi & Ben Rejeb Aymen, 2015. "Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 46(1), pages 72-100, June.
  100. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Hoon Kang, Sang, 2017. "Time-varying volatility spillovers between stock and precious metal markets with portfolio implications," Resources Policy, Elsevier, vol. 53(C), pages 88-102.
  101. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022. "Time-varying dependence dynamics between international commodity prices and Australian industry stock returns: a Perspective for portfolio diversification," Energy Economics, Elsevier, vol. 108(C).
  102. Pham, Linh, 2019. "Do all clean energy stocks respond homogeneously to oil price?," Energy Economics, Elsevier, vol. 81(C), pages 355-379.
  103. Ahmed Jeribi & Mohamed Fakhfekh, 2021. "Portfolio management and dependence structure between cryptocurrencies and traditional assets: evidence from FIEGARCH-EVT-Copula," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 224-239, May.
  104. Rehman, Mobeen Ur & Asghar, Nadia & Kang, Sang Hoon, 2020. "Do Islamic indices provide diversification to bitcoin? A time-varying copulas and value at risk application," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
  105. repec:ipg:wpaper:2014-549 is not listed on IDEAS
  106. Ahmad, Wasim & Sadorsky, Perry & Sharma, Amit, 2018. "Optimal hedge ratios for clean energy equities," Economic Modelling, Elsevier, vol. 72(C), pages 278-295.
  107. Hao Chen & Zhixin Liu & Yinpeng Zhang & You Wu, 2020. "The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase," Sustainability, MDPI, vol. 12(6), pages 1-18, March.
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