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Oil volatility and sovereign risk of BRICS

Bouri, Elie; Shahzad, Syed Jawad Hussain; Raza, Naveed; … - In: Energy economics 70 (2018), pp. 258-269

Persistent link: https://www.econbiz.de/10011942723

Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries

Bouri, Elie; DeBoyrie, Maria Eugenia; Pavlova, Ivelina - In: International review of financial analysis 49 (2017), pp. 155-165

Persistent link: https://www.econbiz.de/10011741285

Volatility spillovers between sovereign CDS and futures markets in various volatility states : evidence from an emerging economy around the pandemic

Gök, Remzi; Bouri, Elie; Gemici, Eray - In: Research in international business and finance 66 (2023), pp. 1-27

Persistent link: https://www.econbiz.de/10014460654

On the return-volatility relationship in the Bitcoin market around the price crash of 2013

Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - 2016

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. They test if...

Persistent link: https://www.econbiz.de/10011539994

On the return-volatility relationship in the Bitcoin market around the price crash of 2013

Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - 2017

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in US dollar. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. The authors test if there...

Persistent link: https://www.econbiz.de/10011600035

FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies

Bouri, Elie; Kamal, Elham; Kinateder, Harald - In: Finance research letters 56 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014473652

Causal nexus between crude oil and US corporate bonds

Shahzad, Syed Jawad Hussain; Bouri, Elie; Hernandez, … - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 577-589

Persistent link: https://www.econbiz.de/10012655570

Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period

Yousaf, Imran; Plakandaras, Vasilios; Bouri, Elie; … - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014246762

The effect of jumps in the crude oil market on the sovereign risks of major oil exporters

Bouri, Elie - In: Risks : open access journal 7 (2019) 4/118, pp. 1-15

We study the jump behaviour in the sovereign risks of major oil-exporting countries and examine whether it is affected by jumps in the price and volatility of crude oil. Data used are daily from 14 February 2011, to 31 July 2019. We detect the presence of jumps in many oil exporters and find...

Persistent link: https://www.econbiz.de/10012127756

Directional predictability of implied volatility : from crude oil to developed and emerging stock markets

Bouri, Elie; Lien, Da-hsiang Donald; Roubaud, David; … - In: Finance research letters 27 (2018), pp. 65-79

Persistent link: https://www.econbiz.de/10012006745