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Intraday and overnight tail risks and return predictability in the crude oil market : Evidence from oil-related regular news and extreme shocks
Wang, Cheng; Bouri, Elie; Xu, Yahua; Zhang, Dingsheng - In: Energy economics 127 (2023) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10014489965
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On the Return-Volatility Relationship in the Bitcoin Market around the Price Crash of 2013
Bouri, Elie - 2017
We 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. We test if there is a difference in the return-volatility relation before and after the price …
Persistent link: https://www.econbiz.de/10012967432
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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
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Risk spillover between Bitcoin and conventional financial markets : an expectile-based approach
Zhang, Yue-jun; Bouri, Elie; Gupta, Rangan; Ma, Shu-Jiao - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012667384
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The hedge asset for BRICS stock markets : bitcoin, gold or VIX
Shahzad, Syed Jawad Hussain; Bouri, Elie; Ur Rehman, Mobeen - In: The world economy : the leading journal on … 45 (2022) 1, pp. 292-316
Persistent link: https://www.econbiz.de/10012818937
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Return volatility, correlation, and hedging of green and brown stocks : is there a role for climate risk factors?
Li, Haohua; Bouri, Elie; Gupta, Rangan; Fang, Libing - 2023
Persistent link: https://www.econbiz.de/10013482253
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Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management
Nekhili, Ramzi; Bouri, Elie - In: Energy economics 119 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014285019
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Oil price risk exposure of BRIC stock markets and hedging effectiveness
Shahzad, Syed Jawad Hussain; Bouri, Elie; Ur Rehman, Mobeen - In: Financial modeling and risk management of energy and …, (pp. 145-170). 2022
Persistent link: https://www.econbiz.de/10013349933
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Monetary policy uncertainty and jumps in advanced equity markets
Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Journal of risk 23 (2020/2021) 1, pp. 101-112
Persistent link: https://www.econbiz.de/10012500112
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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 there is a difference in the return-volatility relation before and after the price …
Persistent link: https://www.econbiz.de/10011539994