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Investment horizon heterogeneity and wavelet: Overview and further research directions

Citations

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Cited by:

  1. Aloui, Chaker & Shahzad, Syed Jawad Hussain & Hkiri, Besma & Hela, Ben Hamida & Khan, Muhammad Asif, 2021. "On the investors' sentiments and the Islamic stock-bond interplay across investments' horizons," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  2. Lakhwinder Pal Singh & Ravi Teja Challa, 2016. "Integrated Forecasting Using the Discrete Wavelet Theory and Artificial Intelligence Techniques to Reduce the Bullwhip Effect in a Supply Chain," Global Journal of Flexible Systems Management, Springer;Global Institute of Flexible Systems Management, vol. 17(2), pages 157-169, June.
  3. Hkiri, Besma & Hammoudeh, Shawkat & Aloui, Chaker & Shahbaz, Muhammad, 2018. "The interconnections between U.S. financial CDS spreads and control variables: New evidence using partial and multivariate wavelet coherences," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 237-257.
  4. Rehman, Mobeen Ur & Kang, Sang Hoon, 2021. "A time–frequency comovement and causality relationship between Bitcoin hashrate and energy commodity markets," Global Finance Journal, Elsevier, vol. 49(C).
  5. Soni, Rajat Kumar & Nandan, Tanuj, 2022. "Modeling Covid-19 contagious effect between asset markets and commodity futures in India," Resources Policy, Elsevier, vol. 79(C).
  6. Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2020. "The effects of investor emotions sentiments on crude oil returns: A time and frequency dynamics analysis," International Economics, Elsevier, vol. 162(C), pages 110-124.
  7. Aktham Maghyereh & Hussein Abdoh, 2022. "COVID-19 and the volatility interlinkage between bitcoin and financial assets," Empirical Economics, Springer, vol. 63(6), pages 2875-2901, December.
  8. Maghyereh, Aktham & Abdoh, Hussein, 2020. "The tail dependence structure between investor sentiment and commodity markets," Resources Policy, Elsevier, vol. 68(C).
  9. Marcos Albuquerque Junior & José António Filipe & Paulo de Melo Jorge Neto & Cristiano da Costa da Silva, 2021. "Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio," Mathematics, MDPI, vol. 9(5), pages 1-16, March.
  10. Maghyereh, Aktham I. & Awartani, Basel & Abdoh, Hussein, 2019. "The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations," Energy, Elsevier, vol. 169(C), pages 895-913.
  11. Aloui, Chaker & Hkiri, Besma & Lau, Marco Chi Keung & Yarovaya, Larisa, 2018. "Information transmission across stock indices and stock index futures: International evidence using wavelet framework," Research in International Business and Finance, Elsevier, vol. 44(C), pages 411-421.
  12. Sharif, Arshian & Aloui, Chaker & Yarovaya, Larisa, 2020. "COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach," International Review of Financial Analysis, Elsevier, vol. 70(C).
  13. Ur Rehman, Faheem & Islam, Md. Monirul, 2023. "Does energy infrastructure spur total factor productivity (TFP) in middle-income economies? An application of a novel energy infrastructure index," Applied Energy, Elsevier, vol. 336(C).
  14. Aloui, Chaker & Hkiri, Besma & Lau, Chi Keung Marco & Yarovaya, Larisa, 2016. "Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis," Finance Research Letters, Elsevier, vol. 19(C), pages 54-59.
  15. Opeoluwa Adeniyi Adeosun & Mosab I. Tabash & Xuan Vinh Vo & Suhaib Anagreh, 2023. "Uncertainty measures and inflation dynamics in selected global players: a wavelet approach," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(4), pages 3389-3424, August.
  16. Pan, Beier, 2023. "The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants," Economic Modelling, Elsevier, vol. 124(C).
  17. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
  18. Gideon Boako & Paul Alagidede, 2017. "Should Africa’s emerging markets still be considered as a separate asset class?," Applied Economics Letters, Taylor & Francis Journals, vol. 24(1), pages 61-66, January.
  19. Chaker Aloui & Rania Jammazi & Hela Ben Hamida, 2018. "Multivariate Co-movement Between Islamic Stock and Bond Markets Among the GCC: A Wavelet-Based View," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 603-626, August.
  20. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
  21. Ullah, Mirzat & Umair, Muhammad & Sohag, Kazi & Mariev, Oleg & Khan, Muhammad Asif & Sohail, Hafiz M., 2024. "The connection between disaggregate energy use and export sophistication: New insights from OECD with robust panel estimations," Energy, Elsevier, vol. 306(C).
  22. Liu, Xueyong & An, Haizhong & Huang, Shupei & Wen, Shaobo, 2017. "The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based GARCH–BEKK model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 374-383.
  23. Czudaj, Robert L., 2019. "Crude oil futures trading and uncertainty," Energy Economics, Elsevier, vol. 80(C), pages 793-811.
  24. Milan Bašta & Peter Molnár, 2019. "Long‐term dynamics of the VIX index and its tradable counterpart VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 322-341, March.
  25. Kamal, Elham & Bouri, Elie, 2023. "Dependence structure among rare earth and financial markets: A multiscale-vine copula approach," Resources Policy, Elsevier, vol. 83(C).
  26. Aktham Maghyereh & Basel Awartani & Abul Hassan, 2018. "Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management," Journal of Asset Management, Palgrave Macmillan, vol. 19(6), pages 394-412, October.
  27. Maghyereh, Aktham & Abdoh, Hussein, 2020. "Tail dependence between Bitcoin and financial assets: Evidence from a quantile cross-spectral approach," International Review of Financial Analysis, Elsevier, vol. 71(C).
  28. Gao, Yang & Liu, Xiaoyi, 2024. "Time and frequency spillovers and drivers between rare earth and energy, metals, green, and agricultural markets," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  29. Soni, Rajat Kumar & Nandan, Tanuj & Sawarn, Ujjawal, 2024. "Investment modeling between energy futures and responsible investment," Research in International Business and Finance, Elsevier, vol. 70(PB).
  30. Vogl, Markus, 2023. "Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framewo," Chaos, Solitons & Fractals, Elsevier, vol. 166(C).
  31. Raza, Syed Ali & Ahmed, Maiyra & Aloui, Chaker, 2022. "On the asymmetrical connectedness between cryptocurrencies and foreign exchange markets: Evidence from the nonparametric quantile on quantile approach," Research in International Business and Finance, Elsevier, vol. 61(C).
  32. Berger, Theo & Czudaj, Robert L., 2020. "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
  33. Marcela de Marillac Carvalho & Luiz Otávio de Oliveira Pala & Gabriel Rodrigo Gomes Pessanha & Thelma Sáfadi, 2021. "Asymmetric dependence of intraday frequency components in the Brazilian stock market," SN Business & Economics, Springer, vol. 1(6), pages 1-18, June.
  34. Kregždė Arvydas & Kišonaitė Karolina, 2018. "Co-movements of Lithuanian and Central European Stock Markets Across Different Time Horizons: A Wavelet Approach," Ekonomika (Economics), Sciendo, vol. 97(2), pages 55-69, December.
  35. Kenneth J. Tobin & Sugam Pokharel & Marvin E. Bennett, 2022. "Coccidioidomycosis (Valley Fever), Soil Moisture, and El Nino Southern Oscillation in California and Arizona," IJERPH, MDPI, vol. 19(12), pages 1-13, June.
  36. Zheng, Biao & Zhang, Yuquan W. & Qu, Fang & Geng, Yong & Yu, Haishan, 2022. "Do rare earths drive volatility spillover in crude oil, renewable energy, and high-technology markets? — A wavelet-based BEKK- GARCH-X approach," Energy, Elsevier, vol. 251(C).
  37. Ghaemi Asl, Mahdi & Ben Jabeur, Sami, 2024. "Tail connectedness of DeFi and CeFi with accessible banking pillars: Unveiling novel insights through wavelet and quantile cross-spectral coherence analyses," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  38. Qiao, Xingzhi & Zhu, Huiming & Zhang, Zhongqingyang & Mao, Weifang, 2022. "Time-frequency transmission mechanism of EPU, investor sentiment and financial assets: A multiscale TVP-VAR connectedness analysis," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  39. Yue-Jun Zhang & Shu-Hui Li, 2019. "The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach," Quantitative Finance, Taylor & Francis Journals, vol. 19(8), pages 1357-1371, August.
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