Zaghum Umar

TL;DR: Wavelet analyses corroborate the thesis that the cross-currency hedge strategies, which could work under normal market conditions, are likely to fail during the periods of global crisis, e.g., such as the Covid-19 pandemic.

TL;DR: In this article, the authors examined return and volatility spillovers across the global Islamic stock market, three main conventional national stock markets (the US, UK and Japan) and a number of influential macroeconomic and financial variables over the period from July 1996 to June 2016.

TL;DR: Gabauer et al. as mentioned in this paper introduced a novel time-varying parameter vector autoregression (TVP-VAR) based extended joint connectedness approach in order to characterize connectedness of 11 agricultural commodity and Crude Oil futures prices spanning from July 1, 2005 to May 1, 2020.

TL;DR: In this article, the authors studied how different sources of oil price shocks are connected to exchange rates of major oil-dependent countries using daily data from March 1996 to February 2019. And they found that the connectedness of this relationship between price shocks and exchange rates has significantly increased after the global financial crisis.

TL;DR: In this article , the authors investigate the impact of geopolitical risks caused by the Russian-Ukrainian conflict on Russia, European financial markets, and the global commodity markets, measuring the dynamic connectedness among them using time and frequency-based time-varying parameter vector autoregression (TVP-VAR) approaches.