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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/73831
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dc.contributor.authorGazi Salah Uddin-
dc.contributor.otherBrian Lucey-
dc.contributor.otherMd Lutfur Rahman-
dc.contributor.otherDavid Stenvall-
dc.date.accessioned2025-02-10T08:57:11Z-
dc.date.available2025-02-10T08:57:11Z-
dc.date.issued2024-
dc.identifier.issn2405-8513 (Print), 2405-8505 (Online)-
dc.identifier.urihttps://digital.lib.ueh.edu.vn/handle/UEH/73831-
dc.description.abstractThis paper examines quantile coherency in bonds, commodities, currencies, and equities using a novel quantile coherency approach. While recent literature has explored single-frequency tail- and time-frequency dependence in asset returns, we provide fresh evidence on asset return dependence across quantiles (proxying business cycles or market conditions) at different frequencies (representing investment horizons). Considering sixty-seven individual asset return series in four asset classes, we observe that low frequency (yearly) dependence is stronger in the bond, foreign exchange, and equity markets. Specifically, we find strong dependence between the German and French bond markets, heating oil and crude oil, gold and silver, British Pound, and Euro, French and German and Canadian and US equities. As we report asset return interdependence in different business cycles and at different time horizons, these results have important implications for portfolio allocation and investment strategy formulation.en
dc.language.isoeng-
dc.publisherElsevier-
dc.relation.ispartofJournal Of Commodity Markets-
dc.relation.ispartofseriesVol. 33-
dc.rightsElsevier-
dc.subjectFinanceen
dc.subjectEconomicsen
dc.subjectQuantitative Financeen
dc.subjectMulti-Asset Portfolio Managementen
dc.subjectFinancial Econometricsen
dc.subjectInvestment Analysisen
dc.titleQuantile coherency across bonds, commodities, currencies, and equitiesen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.jcomm.2023.100379-
ueh.JournalRankingScopus-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.openairetypeJournal Article-
item.fulltextOnly abstracts-
item.cerifentitytypePublications-
item.languageiso639-1en-
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