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Cyber-attacks and cryptocurrencies
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
This paper provides some comprehensive evidence on the effects of cyber-attacks on the returns, realized volatility and …
Persistent link: https://www.econbiz.de/10012171767
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Cyber attacks, spillovers and contagion in the cryptocurrency markets
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum …
Persistent link: https://www.econbiz.de/10012219891
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Non-linearities, cyber attacks and cryptocurrencies
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2019
probability for cryptocurrencies to stay in the low volatility regime. This is an interesting finding, that confirms the …
Persistent link: https://www.econbiz.de/10012026468
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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …
Persistent link: https://www.econbiz.de/10011482859
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Cryptocurrencies, technology stocks, Covid-19 and US policy responses: a fractional integration analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022
This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC,...
Persistent link: https://www.econbiz.de/10013041344
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Cryptocurrencies, Technology Stocks, COVID-19 and US Policy Responses : A Fractional Integration Analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022
This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC,...
Persistent link: https://www.econbiz.de/10013296442
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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …
Persistent link: https://www.econbiz.de/10011479824
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Macro news and bond yield spreads in the Euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …
Persistent link: https://www.econbiz.de/10010417491
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Macro news and bond yield spreads in the euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …
Persistent link: https://www.econbiz.de/10010417494
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Macro news and stock returns in the euro area : a VAR-GARCH-in-mean analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …
Persistent link: https://www.econbiz.de/10010399794