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Cryptocurrency returns, cybercrime and stock market volatility : GAS and regime switching approaches

Sanusi, Kazeem Abimbola; Dickason Koekemoer, Zandri - In: International journal of economics and financial issues … 12 (2022) 6, pp. 52-64

Persistent link: https://www.econbiz.de/10014227215

The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis

Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … exponential GARCH (EGARCH) model with an integrated dynamic conditional correlation (DCC) approach to measure the impact on the …

Persistent link: https://www.econbiz.de/10014295230

Volatility and return spillovers between stock markets and cryptocurrencies

Uzonwanne, Godfrey Chidozie - In: The quarterly review of economics and finance : journal … 82 (2021), pp. 30-36

Persistent link: https://www.econbiz.de/10013258227

Return connectedness and volatility dynamics of the cryptocurrency network

Poddar, Abhishek; Misra, Arun Kumar; Mishra, Ajay Kumar - In: Finance research letters 58 (2023) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10014583135

Volatility spillovers among G7, E7 stock markets and cryptocurrencies

Aydoğan, Berna; Vardar, Gülin; Taçoğlu, Caner - In: Journal of economic and administrative sciences 40 (2024) 2, pp. 364-387

Persistent link: https://www.econbiz.de/10014632207

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin : evidence from developed and emerging markets

Omri, Imen - In: The journal of risk finance : JRF 24 (2023) 2, pp. 226-243

Persistent link: https://www.econbiz.de/10014232428

Forecasting JSE and AEX volatility with GARCH models

Cheteni, Priviledge; Matsongoni, Herrison; Umejesi, … - In: African journal of business and economic research : AJBER 18 (2023) 4, pp. 461-473

Persistent link: https://www.econbiz.de/10014574435

Do stock market volatility and cybercrime affect cryptocurrency returns? : evidence from South African economy

Mthembu, Nosipho; Sanusi, Kazeem Abimbola; Eita, Joel … - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-15

. Empirical findings suggest that stock market volatility has a positive impact on the returns of BNB, Bitcoin, and Ethereum …The study investigates the effects of stock market volatility and cybercrime on cryptocurrency returns in the South … African economy. Daily time series data on four different types of cryptocurrencies (Bitcoin, Ethereum, Tether, and BMB) were …

Persistent link: https://www.econbiz.de/10014284309

Regime-switching angular correlation diversification

Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014234140

Dynamic volatility behaviour of stock markets in southern Africa

Mashamba, Tafirei; Magweva, Rabson - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10012019002

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