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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2021
Persistent link: https://www.econbiz.de/10013339035
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2020
Persistent link: https://www.econbiz.de/10013335000
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - In: Econometric reviews 42 (2023) 6, pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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The accuracy of risk measurement models on bitcoin market during COVID-19 pandemic
Likitratchoaroen, Danai; Kronprasert, Nopadon; … - In: Risks : open access journal 9 (2021) 12, pp. 1-16
. Cryptocurrency, such as Bitcoin, has become a new currency tool for speculators and investors, and it is expected to be used in … future exchanges. Therefore, this paper uses a Value at Risk (VaR) model to measure the risk of investment in Bitcoin. In …
Persistent link: https://www.econbiz.de/10012794186
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Volatility contagion (spillover) between Chinese and Pakistani stock markets during COVID-19 : pre and post analysis of trade-level data
Bukhari, Syed Faisal Hasan; Ahmad, Habib; Hanif, Hasan; … - In: International journal of monetary economics and finance … 15 (2022) 4, pp. 309-330
Persistent link: https://www.econbiz.de/10014314085
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Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach
Li, Leon; Miu, Peter - In: Journal of empirical finance 70 (2023), pp. 367-385
Persistent link: https://www.econbiz.de/10014423734
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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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The impact of Covid-19 and Russia-Ukraine war on the financial asset volatility : evidence from equity, cryptocurrency and alternative assets
Taera, Edosa Getachew; Setiawan, Budi; Saleem, Adil; … - In: Journal of open innovation : technology, market, and … 9 (2023) 3, pp. 1-15
experienced an increase in volatility, except Bitcoin, across all observation periods. Islamic stock and ESG indexes exhibited …This study investigates the volatility and external shock persistence within the financial and alternative assets … high volatility before the Covid-19 outbreak. During the pandemic, all assets became more volatile. In addition, Islamic …
Persistent link: https://www.econbiz.de/10014504731
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A theory of misperception in a stochastic dominance framework and its application to structured financial products
Castellano, Rosella; Cerqueti, Roy - In: IMA journal of management mathematics 29 (2018) 1, pp. 23-37
Persistent link: https://www.econbiz.de/10011858928