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Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness
16 references·0 citing·36 second hopsampled
Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness (2021)Hedging Islamic and conventional stock ma…Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Hedging emerging market stock…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Financialization, crisis and commodity correlation dynamics (2012)Financialization, crisis and …Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)On the impacts of oil price f…Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Correlations and volatility s…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2009)Is Gold a Hedge or a Safe Hav…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Bivariate garch estimation of the optimal commodity futures Hedge (1991)Bivariate garch estimation of…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Multivariate GARCH models: a surveyDynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)Rational contagion and the globalization of securities markets (2000)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2009Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,707 cited
  • 2010Is gold a safe haven? International evidence2,082 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,814 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,529 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies877 cited
  • 1991Bivariate garch estimation of the optimal commodity futures Hedge731 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management666 cited
  • 2012Financialization, crisis and commodity correlation dynamics650 cited

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2015
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH
553 cited
  • 2011On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness487 cited
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