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No news is good news : an asyymmetric model of changing volatility in stock returns

Campbell, John Y.; Hentschel, Ludger - 1991

Persistent link: https://www.econbiz.de/10000817377

The long-run risks model and aggregate asset prices : an empirical assessment

Beeler, Jason; Campbell, John Y. - 2009

Persistent link: https://www.econbiz.de/10003822202

Have individual stocks become more volatile? : An empirical exploration of idiosyncratic risk

Campbell, John Y. (contributor) - 2000

Persistent link: https://www.econbiz.de/10001456475

Dispersion and volatility in stock returns : an empirical investigation

Campbell, John Y.; Lettau, Martin - 1999

Persistent link: https://www.econbiz.de/10001390215

Equity volatility and corporate Bond yields

Campbell, John Y.; Taksler, Glen Barry - 2002

Persistent link: https://www.econbiz.de/10001671292

Asymmetric volatility connectedness among US stock sectors

Mensi, Walid; Nekhili, Ramzi; Xuan Vinh Vo; Suleman, Tahir - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10012822000

Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? : Evidence from an asymmetric MF-DFA approach

Mensi, Walid; Lee, Yun-Jung; Xuan Vinh Vo; Yoon, Seong-min - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10012822250

High frequency multiscale relationships among major cryptocurrencies : portfolio management implications

Mensi, Walid; Ur Rehman, Mobeen; Muhammad Shafiullah; … - In: Financial innovation : FIN 7 (2021), pp. 1-21

This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min-data. Empirical RWCC results indicate...

Persistent link: https://www.econbiz.de/10012705417

Why cryptocurrency markets are inefficient : the impact of liquidity and volatility

Al-Yahyaee, Khamis Hamed; Mensi, Walid; Ko, Hee-Un; … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012654953

Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets

Mensi, Walid; Hammoudeh, Shawkat; Ur Rehman, Mobeen; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012659807