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Forecasting realized volatility of bitcoin returns : tail events and asymmetric loss
Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: The European journal of finance 27 (2021) 16, pp. 1626-1644
Persistent link: https://www.econbiz.de/10012872908
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Oil shocks and volatility jumps
Gillas, Konstantinos Gkillas; Gupta, Rangan; Wohar, Mark E. - In: Review of quantitative finance and accounting 54 (2020) 1, pp. 247-272
Persistent link: https://www.econbiz.de/10012232836
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Volatility jumps : the role of geopolitical risks
Gillas, Konstantinos Gkillas; Gupta, Rangan; Wohar, Mark E. - In: Finance research letters 27 (2018), pp. 247-258
Persistent link: https://www.econbiz.de/10012006874
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Political uncertainty, COVID-19 pandemic and stock market volatility transmission
Apostolakis, George N.; Floros, Christos; Gillas, … - In: Journal of international financial markets, … 74 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012803182
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Realized volatility spillovers between US spot and futures during ECB news : evidence from the European sovereign debt crisis
Gillas, Konstantinos Gkillas; Konstantatos, Christoforos; … - In: International review of financial analysis 74 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012803941
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Day-of-the-week effect and spread determinants : some international evidence from equity markets
Gillas, Konstantinos Gkillas; Vortelinos, Dimitrios I.; … - In: International review of economics & finance : IREF 71 (2021), pp. 268-288
Persistent link: https://www.econbiz.de/10012627781
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Quantile dependencies between discontinuities and time-varying rare disaster risks
Gillas, Konstantinos Gkillas; Floros, Christos; … - In: The European journal of finance 27 (2021) 10, pp. 932-962
Persistent link: https://www.econbiz.de/10012609242
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Reaction of EU stock markets to ECB policy interventions
Vortelinos, Dimitrios I.; Gillas, Konstantinos Gkillas - In: International journal of banking, accounting and finance 10 (2019) 1, pp. 39-66
Persistent link: https://www.econbiz.de/10012051117
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Realized measures to explain volatility changes over time
Floros, Christos; Gillas, Konstantinos Gkillas; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/125, pp. 1-19
We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current market-based volatility. For our analysis, we used daily...
Persistent link: https://www.econbiz.de/10012309061
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Abnormal returns and systemic risk : evidence from a non-parametric bootstrap framework during the European sovereign debt crisis
Gillas, Konstantinos Gkillas; Floros, Christos; … - In: International journal of computational economics and … 10 (2020) 3, pp. 264-290
Persistent link: https://www.econbiz.de/10012271060