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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

Intraday Return Predictability in the Cryptocurrency Markets : Momentum, Reversal, or Both

Wen, Zhuzhu; Bouri, Elie; Xu, Yahua; Zhao, Yang - 2022

This paper reports evidence of intraday return predictability, consisting of both intraday momentum and reversal, in the cryptocurrency market. Using high-frequency price data on Bitcoin from March 3, 2013, to May 31, 2020, it shows that the patterns of intraday return predictability change in...

Persistent link: https://www.econbiz.de/10013289927

Good and bad volatility spillovers in the cryptocurrency market : New Evidence from a TVP-VAR asymmetric connectedness approach

Asl, Mahdi Ghaemi; Bouri, Elie; Darehshiri, Sahar; … - 2021

This paper uncovers the dynamics of the asymmetric volatility spillovers across three majorcryptocurrencies (Bitcoin … 2018 to 5th June 2021, the main findings are summarized as follows:Firstly, negative (bad) volatility spillovers are more … pronounced than positive (good)spillovers, revealing the presence of asymmetric volatility effects in the cryptocurrency market …

Persistent link: https://www.econbiz.de/10013313936

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

Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?

Fang, Libing; Bouri, Elie; Gupta, Rangan; Roubaud, David - In: International review of financial analysis 61 (2019), pp. 29-36

Persistent link: https://www.econbiz.de/10012206699

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

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

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

Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak

Yousaf, Imran; Ali, Shoaib; Bouri, Elie; Saeed, Tareq - In: Economic research 35 (2022) 1,2, pp. 1913-1934

Persistent link: https://www.econbiz.de/10014381000

Can Volume Predict Bitcoin Returns and Volatility? A Quantiles-Based Approach

Balcilar, Mehmet - 2017

the causal relation between trading volume and Bitcoin returns and volatility, over the whole of their respective … volatility of Bitcoin returns at any point of the conditional distribution …

Persistent link: https://www.econbiz.de/10012960531

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