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Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market : the case of Turkey

Sensoy, Ahmet; Sobaci, Cihat - In: Economic modelling 43 (2014), pp. 448-457

Persistent link: https://www.econbiz.de/10010503016

High frequency multiscale relationships among major cryptocurrencies : portfolio management implications

Mensi, Walid; Ur Rehman, Mobeen; Muhammad Shafiullah; … - In: Financial innovation : FIN 7 (2021), pp. 1-21

This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min-data. Empirical RWCC results indicate...

Persistent link: https://www.econbiz.de/10012705417

High-frequency return and volatility spillovers among cryptocurrencies

Sensoy, Ahmet; Silva, Thiago Christiano; Corbet, Shaen; … - In: Applied economics 53 (2021) 37, pp. 4310-4328

Persistent link: https://www.econbiz.de/10012609755

Downside risk in Dow Jones Islamic equity indices : precious metals and portfolio diversification before and after the COVID-19 bear market

Ali, Fahad; Jiang, Yuexiang; Sensoy, Ahmet - In: Research in international business and finance 58 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10013287840

Nonlinear nexus between cryptocurrency returns and COVID–19 news sentiment

Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Dionisio, Andreia - 2021

This paper examines how different categories of COVID–19 news sentiment differentially impact the behavior of cryptocurrency returns. A nonlinear technique of transfer entropy is applied to investigate the relationship between the top 30 cryptocurrencies by market capitalization and COVID–19...

Persistent link: https://www.econbiz.de/10013212657

Impact of portfolio flows and heterogeneous expectations on FX jumps: evidence from an emerging market

Sensoy, Ahmet; Serdengeçti, Süleyman - In: International review of financial analysis 68 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012300936

Dynamic efficiency of stock markets and exchange rates

Sensoy, Ahmet; Tabak, Benjamin Miranda - In: International review of financial analysis 47 (2016), pp. 353-371

Persistent link: https://www.econbiz.de/10011624263

Intraday volume-volatility nexus in the FX markets : evidence from an emerging market

Sensoy, Ahmet; Serdengeçti, Süleyman - In: International review of financial analysis 64 (2019), pp. 1-12

Persistent link: https://www.econbiz.de/10012208202

Energy, precious metals, and GCC stock markets : is there any risk spillover?

Al-Yahyaee, Khamis Hamed; Mensi, Walid; Sensoy, Ahmet; … - In: Pacific-Basin finance journal 56 (2019), pp. 45-70

Persistent link: https://www.econbiz.de/10012169554

The relationship between implied volatility and cryptocurrency returns

Akyildirim, Erdinc; Corbet, Shaen; Lucey, Brian M.; … - In: Finance research letters 33 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012430938