Mobeen Ur-Rehman's Outputs (4)

Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure? (2021)
Journal Article
Ur Rehman, M., Al Rababa'a, A. R., El-Nader, G., Alkhataybeh, A., & Vo, X. V. (2022). Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?. Journal of International Financial Markets, Institutions and Money, 76, Article 101495. https://doi.org/10.1016/j.intfin.2021.101495

This paper examined the presence of daily returns coherence and spillover between 30 forex markets over the complete sample and crisis sub-periods. We mainly employed the quantile cross-spectral approach of Barunik and Kley (2019) to measure returns... Read More about Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?.

Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications (2021)
Journal Article
Maitra, D., Rehman, M. U., Dash, S. R., & Kang, S. H. (2021). Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications. Energy Economics, 102, Article 105499. https://doi.org/10.1016/j.eneco.2021.105499

This paper investigates the direction and extent of volatility connectedness between fluctuating oil prices and the stock returns of international transportation or logistics companies. The dynamic equicorrelation, and the spillover index are employe... Read More about Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications.

The hedge asset for BRICS stock markets: Bitcoin, gold or VIX (2021)
Journal Article
Shahzad, S. J. H., Bouri, E., Rehman, M. U., & Roubaud, D. (2022). The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. World Economy, 45(1), 292-316. https://doi.org/10.1111/twec.13138

We compare the weak/strong hedging abilities of three alternative assets, namely bitcoin, gold and US VIX futures, against the downside movements in BRICS stock market indices. Results from the cross-quantilogram approach indicate that bitcoin and go... Read More about The hedge asset for BRICS stock markets: Bitcoin, gold or VIX.

Oil price risk exposure of BRIC stock markets and hedging effectiveness (2021)
Journal Article
Shahzad, S. J. H., Bouri, E., Rehman, M. U., Naeem, M. A., & Saeed, T. (2022). Oil price risk exposure of BRIC stock markets and hedging effectiveness. Annals of Operations Research, 313(1), 145-170. https://doi.org/10.1007/s10479-021-04078-0

We study the tail dependence between crude oil and BRIC stock markets using a time-varying optimal copula (TVOC) approach. We show evidence of multiple tail dependence regimes, suggesting that simple static or dynamic copula specifications do not ful... Read More about Oil price risk exposure of BRIC stock markets and hedging effectiveness.