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Title:Black swan events and safe havens : the role of gold in globally integrated emerging markets Author(s):BEKIROS, Stelios D.
; BOUBAKER, Sabri; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2017Citation:
- Journal of international money and finance, 2017, Vol. 73, Part B, pp. 317-334
Type:ArticleAbstract:There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification ...
; BOUBAKER, Sabri; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2017Citation:
Title:Enhancing the predictability of crude oil markets with hybrid wavelet approaches Author(s):UDDIN, Gazi Salah; GENCAY, Ramazan; BEKIROS, Stelios D.; SAHAMKHADAM, MaziarDate:2019Citation:
- Economics letters, 2019, Vol. 182, pp. 50-54
Type:ArticleAbstract:We explore the robustness, efficiency and accuracy of the multi-scale forecasting in crude oil markets. We adopt a novel hybrid wavelet auto-ARMA model to detect the inherent nonlinear dynamics of crude oil returns with ...
; SAHAMKHADAM, MaziarDate:2019Citation:
Title:Analysing the systemic risk of Indian banks Author(s):VERMA, Ramprasad; AHMAD, Wasim; UDDIN, Gazi Salah; BEKIROS, Stelios D.Date:2019Citation:
- Economics letters, 2019, Vol. 176, pp. 103-108
Type:ArticleAbstract:This paper adopts the Tail-Event driven NETwork (TENET) risk model to assess the systemic risk of Indian banks. Building upon the Value at Risk (VaR), Conditional Value at Risk (CoVaR) and a Single Index Model (SIM) in a ...
Date:2019Citation:
Title:The high frequency multifractal properties of Bitcoin Author(s):STAVROYIANNIS, Stavros; BABALOS, Vassilios; BEKIROS, Stelios D.; LAHMIRI, Salim; UDDIN, Gazi SalahDate:2019Citation:
- Physica a : statistical mechanics and its applications, 2019, Vol. 520, pp. 62-71
Type:ArticleAbstract:Following the new advances in encryption and network computing, Bitcoin emerged as a private sector system facilitating peer-to-peer exchange via distributed ledgers based on blockchains, driving a transformational change ...
; LAHMIRI, Salim; UDDIN, Gazi SalahDate:2019Citation: