Browsing Artikkel - fagfellevurdert vitenskapelig / Articles - peer-reviewed by Author "Yahya, Muhammad"
Now showing items 1-7 of 7
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Dependence structure between the international crude oil market and the European markets of biodiesel and rapeseed oil
Yahya, Muhammad; Dutta, Anupam; Bouri, Elie; Wadström, Christoffer; Uddin, Gazi Salah (Peer reviewed; Journal article, 2022)Being an environmentally friendly fuel obtained from rapeseed oil, biodiesel is used extensively in Europe. However, the dependence structure between global crude oil prices and the European prices of biodiesel and ... -
In search of light in the darkness: What can we learn from ethical, sustainable and green investments?
Uddin, Gazi Salah; Yahya, Muhammad; Ahmed, Ali; Park, Donghyun; Tian, Shu (Peer reviewed; Journal article, 2022)We analyse time-varying risk spillover and dependence to assess the systemic risk benefits of ethical, sustainable, and green investments. Our data comprise sustainable investments from ethical, environmental, social and ... -
Investment opportunities in the energy market: What can be learnt from different energy sectors
Uddin, Gazi Salah; Sahamkhadam, Maziar; Yahya, Muhammad; Tang, Ou (Peer reviewed; Journal article, 2022)We construct portfolio strategies consisting of different stocks from four main energy market sectors, including oil and gas, oil and gas related equipment and services, multiline utilities, and renewable energy. To construct ... -
Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures
Ewald, Christian Oliver; Hadina, Jelena; Haugom, Erik; Lien, Gudbrand; Størdal, Ståle; Yahya, Muhammad (Peer reviewed; Journal article, 2023)In this paper we examine how sensitive Value-at-Risk (VaR) forecasts based on simple linear quantile regressions are to the sampling frequency used to calculate realized volatility. We use sampling frequencies from one to ... -
Stock market contagion during the COVID-19 pandemic in emerging economies
Uddin, Gazi Salah; Yahya, Muhammad; Goswami, Gour Gobinda; Lucey, Brian; Ahmed, Ali (Peer reviewed; Journal article, 2022)The purpose of this paper is to examine the connected dynamics of the affected Asian financial markets and global financial market in relation to the outbreak of the coronavirus (COVID-19) pandemic. We particularly examine ... -
Systematic risk in the biopharmaceutical sector: a multiscale approach
Uddin, Gazi Salah; Yahya, Muhammad; Bekiros, Stelios; Jayasekera, Raanadeva; Kling, Gerhard (Peer reviewed; Journal article, 2021)It is well documented that the biopharmaceutical sector has exhibited weak financial returns,contributing to underinvestment. Innovations in the industry carry high risks; however, ananalysis of systematic risk and return ... -
Systemic risk contribution of banks and non-bank financial institutions across frequencies: The Australian experience
Rahman, Md Lutfur; Troster, Victor; Uddin, Gazi Salah; Yahya, Muhammad (Peer reviewed; Journal article, 2021)The Australian financial sector (AFS) is highly concentrated and interconnected. Besides, Australian banks' lending portfolios are dominated by residential mortgage loans, and 70% of insurance companies' revenues arise ...