Showing 1 - 10 of 27,528
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
This paper documents a persistent structure in cryptocurrency returns and analyzes a broad set of characteristics that explain this structure. The results show that similarities in size, trading volume, age, consensus mechanism, and token industries drive the structure of cryptocurrency returns....
Persistent link: https://www.econbiz.de/10012216714
, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness … dynamics of a representative set of eight major crypto assets. Methodologically, we decompose the measured volatility into …. Furthermore, existing asymmetry from good and bad volatility indicates that information about market downturns spills over …
Persistent link: https://www.econbiz.de/10014333968
existing research consists of estimating the aforementioned relationship between return, volatility and the search volume …
Persistent link: https://www.econbiz.de/10012150478
In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...
Persistent link: https://www.econbiz.de/10013150667
We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...
Persistent link: https://www.econbiz.de/10012707381
documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is …, this paper examines the predictive ability of the size-portfolio idiosyncratic volatility for GDP growth. It concludes that … size-portfolio idiosyncratic volatility contain significant information for forecasting future GDP growth for both the U …
Persistent link: https://www.econbiz.de/10013117807
This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …
Persistent link: https://www.econbiz.de/10012999962
We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...
Persistent link: https://www.econbiz.de/10012895183
We propose a new time-varying peaks over threshold model to study tail risk dynamics in equity markets: the laws of motion for the parameters are defined through the score-based approach. We apply the model to daily returns from U.S. size-sorted decile stock portfolios and show that large firm...
Persistent link: https://www.econbiz.de/10012972558