Syed Jawad Hussain Shahzad
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View article: Cryptocurrency momentum has (not) its moments
Cryptocurrency momentum has (not) its moments Open
This paper explores the tail behavior of cryptocurrency momentum strategies and the profitability of volatility-managed momentum portfolios. Our main results derived from using a sample of large-cap cryptocurrencies and equal-weighted mome…
View article: A partial correlation-based connectedness approach: Extreme dependence among commodities and portfolio implications
A partial correlation-based connectedness approach: Extreme dependence among commodities and portfolio implications Open
View article: Regime Specific Spillover Across Cryptocurrencies and the Role of COVID-19
Regime Specific Spillover Across Cryptocurrencies and the Role of COVID-19 Open
The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov re…
View article: Social Media Co-Attention and Investment Co-Bubbles
Social Media Co-Attention and Investment Co-Bubbles Open
View article: The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis
The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis Open
As the crypto-asset ecosystem matures, the use of high-frequency data has become increasingly common in decentralized finance literature. Using bibliometric analysis, we characterize the existing cryptocurrency literature that employs high…
View article: Spillover in higher‐order moments across carbon and energy markets: A portfolio view
Spillover in higher‐order moments across carbon and energy markets: A portfolio view Open
Motivated by the occurrence of extreme events and nonnormality of returns, we examine the spillovers among the conditional volatility, skewness and (excess) kurtosis of European Union allowances (EUA), Brent oil, natural gas, coal, electri…
View article: Cyber Resilience in Space Infrastructure: Strategies for Protecting Critical Space Assets
Cyber Resilience in Space Infrastructure: Strategies for Protecting Critical Space Assets Open
View article: Decomposing Cryptocurrencies Behavioral Anomalies
Decomposing Cryptocurrencies Behavioral Anomalies Open
View article: Extreme Tail Dependence Among Commodities and its Portfolio Implications
Extreme Tail Dependence Among Commodities and its Portfolio Implications Open
View article: Editorial to special issue “Hidden market linkages between Bitcoin, cryptocurrencies and financial markets: Evidence from high-frequency data and higher-order moments” in financial innovation
Editorial to special issue “Hidden market linkages between Bitcoin, cryptocurrencies and financial markets: Evidence from high-frequency data and higher-order moments” in financial innovation Open
The cryptomarket has evolved into a complex system of different types of cryptoassets, each playing an important role within the system.With specific features, opportunities, and risks.Studying their apparent and hidden linkages and genera…
View article: Taming the Confluence of Space Systems and Cybersecurity
Taming the Confluence of Space Systems and Cybersecurity Open
Space systems are fundamental components of critical infrastructure, and their loss would profoundly affect a large population, increasingly with safety consequences. Additionally, today's digitally connected space infrastructure, like oth…
View article: Relationship between financial inclusion and carbon emissions: International evidence
Relationship between financial inclusion and carbon emissions: International evidence Open
The nexus between financial inclusion and carbon emissions is becoming an increasingly important topic, given the augmented awareness of the negative impacts of climate change and carbon emissions on the environment and human health. In th…
View article: Editorial: Climate risk, ESG integration and economic growth
Editorial: Climate risk, ESG integration and economic growth Open
EDITORIAL article Front. Environ. Sci., 14 March 2023Sec. Environmental Economics and Management Volume 11 - 2023 | https://doi.org/10.3389/fenvs.2023.1167894
View article: Financial Inclusion and Carbon Emissions in Asia: Implications for Environmental Sustainability
Financial Inclusion and Carbon Emissions in Asia: Implications for Environmental Sustainability Open
This study explores how carbon emission is affected by financial inclusion. Using a balanced panel data set of 26 Asian countries, we compute a composite index, through principal component analysis (PCA) technique, of financial inclusion b…
View article: The use of high-frequency data in cryptocurrency research: A meta-review of literature with bibliometric analysis
The use of high-frequency data in cryptocurrency research: A meta-review of literature with bibliometric analysis Open
View article: (Quantile) Spillover Indexes: simulation-based evidence, confidence intervals and a decomposition
(Quantile) Spillover Indexes: simulation-based evidence, confidence intervals and a decomposition Open
View article: Cryptocurrency momentum: Is it an illusion?
Cryptocurrency momentum: Is it an illusion? Open
View article: Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves
Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves Open
Nous évaluons l’impact des sauts et des semi-variances signés et réalisés, sur l’évolution de la volatilité des taux de change par rapport aux principales devises que sont le dollar américain, l’euro, la livre sterling et le yen japonais. …
View article: Is geopolitical risk priced in the cross-section of cryptocurrency returns?
Is geopolitical risk priced in the cross-section of cryptocurrency returns? Open
View article: Need for a Cyber Resilience Framework for Critical Space Infrastructure
Need for a Cyber Resilience Framework for Critical Space Infrastructure Open
The purpose of this paper is to introduce a case for a standardised comprehensive cyber resilience framework for Critical Space Infrastructure (CSI). Based on structure systematic review and meta-analyses, this paper outlines the needs of …
View article: Liquidity connectedness in cryptocurrency market
Liquidity connectedness in cryptocurrency market Open
View article: Sign Effects of Volatility and Jumps in Forex Markets and a Reappraisal of Meteor Showers and Heat Waves
Sign Effects of Volatility and Jumps in Forex Markets and a Reappraisal of Meteor Showers and Heat Waves Open
View article: Is Geopolitical Risk Priced in the Cross-Section of Cryptocurrency Returns?
Is Geopolitical Risk Priced in the Cross-Section of Cryptocurrency Returns? Open
View article: Systemic Risk in the Global Energy Sector: Structure, Determinants and Portfolio Management Implications
Systemic Risk in the Global Energy Sector: Structure, Determinants and Portfolio Management Implications Open
View article: Identification of Potential Hydrocarbon Source Rocks Using Biological Markers in the Kohat-Potwar Plateaus, North Pakistan
Identification of Potential Hydrocarbon Source Rocks Using Biological Markers in the Kohat-Potwar Plateaus, North Pakistan Open
View article: Machine Learning and the Cross-Section of Cryptocurrency Returns
Machine Learning and the Cross-Section of Cryptocurrency Returns Open
View article: Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic?
Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic? Open
View article: Energy markets and green bonds: A tail dependence analysis with time-varying optimal copulas and portfolio implications
Energy markets and green bonds: A tail dependence analysis with time-varying optimal copulas and portfolio implications Open
We examine the asymmetric and extreme tail dependence between five energy markets (crude oil, natural gas, heating oil, gasoline, and coal) and green bonds using a time-varying optimal copula (TVOC) model. The results indicate the existenc…
View article: Socially Responsible Funds and Traditional Energy Commodities: A Diversification Perspective for Investments
Socially Responsible Funds and Traditional Energy Commodities: A Diversification Perspective for Investments Open
Our work examines the relationship between socially responsible funds and the traditional energy market over daily returns data ranging from December 2015 to April 2019. We apply quantile cross-spectral analysis to measure returns correlat…
View article: Tail event-based sovereign credit risk transmission network during COVID-19 pandemic
Tail event-based sovereign credit risk transmission network during COVID-19 pandemic Open