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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex

Caporale, Guglielmo Maria - 2020

This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...

Persistent link: https://www.econbiz.de/10012839021

The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic

Li, Yan; Liang, Chao; Ma, Feng; Wang, Jiqian - In: Finance research letters 36 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012484308

Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? : evidence based on HAR and Ridge regression models

Wei, Yu; Liang, Chao; Li, Yan; Zhang, Xunhui; Wei, Guiwu - In: Finance research letters 35 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012438364

Volatility spillover effects in leading cryptocurrencies : a BEKK-MGARCH analysis

Katsiampa, Paraskevi; Corbet, Shaen; Lucey, Brian M. - In: Finance research letters 29 (2019), pp. 68-74

Persistent link: https://www.econbiz.de/10012417734

Volatility co-movement between Bitcoin and Ether

Katsiampa, Paraskevi - In: Finance research letters 30 (2019), pp. 221-227

Persistent link: https://www.econbiz.de/10012420499

Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147

Persistent link: https://www.econbiz.de/10012006763

Macro news and exchange rates in the BRICS

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: Finance research letters 21 (2017), pp. 140-143

Persistent link: https://www.econbiz.de/10011807527

Volatility persistence in the Russian stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 32 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012430826

The development of Bitcoin futures : exploring the interactions between cryptocurrency derivatives

Akyildirim, Erdinc; Corbet, Shaen; Katsiampa, Paraskevi; … - In: Finance research letters 34 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012436502

The volatility of daily tug-of-war intensity and stock market returns

Bai, Fan; Zhang, Yaqi; Chen, Zhonglu; Li, Yan - In: Finance research letters 55 (2023) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10014473224