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Realized measures to explain volatility changes over time

Floros, Christos; Gillas, Konstantinos Gkillas; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/125, pp. 1-19

We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the … market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current … market-based volatility. For our analysis, we used daily measures of volatility estimated from high frequency data to explain …

Persistent link: https://www.econbiz.de/10012309061

The impact and role of COVID-19 uncertainty : a global industry analysis

Szczygielski, Jan Jakub; Charteris, Ailie; Bwanya, … - In: International review of financial analysis 80 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013366153

Dynamic correlation between stock market and oil prices : the case of oil-importing and oil-exporting countries

Filis, George; Degiannakis, Stavros; Floros, Christos - In: International review of financial analysis 20 (2011) 3, pp. 152-164

Persistent link: https://www.econbiz.de/10009295790

Informed and uninformed trading on the Australian dollar

Hogan, Warren Pat; Batten, Jonathan A. - In: International review of financial analysis 14 (2005) 1, pp. 61-75

Persistent link: https://www.econbiz.de/10002737827

Parameter estimation bias and volatility scaling in Black-Scholes option prices

Batten, Jonathan A.; Ellis, Craig - In: International review of financial analysis 14 (2005) 2, pp. 165-176

Persistent link: https://www.econbiz.de/10002738262

Scaling the volatility of credit spreads : evidence from Australian dollar eurobonds

Batten, Jonathan A.; Ellis, Craig; Hogan, Warren Pat - In: International review of financial analysis 11 (2002) 3, pp. 331-344

Persistent link: https://www.econbiz.de/10001715983

Realized volatility spillovers between US spot and futures during ECB news : evidence from the European sovereign debt crisis

Gillas, Konstantinos Gkillas; Konstantatos, Christoforos; … - In: International review of financial analysis 74 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012803941

Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility : international evidence

Degiannakis, Stavros; Floros, Christos; Dent, Pamela - In: International review of financial analysis 27 (2013), pp. 21-33

Persistent link: https://www.econbiz.de/10009736952

Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom

Antonakakis, Nikolaos; Floros, Christos - In: International review of financial analysis 44 (2016), pp. 111-122

Persistent link: https://www.econbiz.de/10011623962

Dynamic spillover effects in futures markets : UK and US evidence

Antonakakis, Nikolaos; Floros, Christos; Kizys, Renatas - In: International review of financial analysis 48 (2016), pp. 406-418

Persistent link: https://www.econbiz.de/10011624538