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Inter-markets volatility spillover in U.S. bitcoin and financial markets
Qarni, Muhammad Owais; Gulzar, Saqib; Fatima, Syeda Tamkeen - In: Journal of business economics and management 20 (2019) 4, pp. 694-714
This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 … to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the …
Persistent link: https://www.econbiz.de/10012175787
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Forecasting foreign exchange volatility : why is implied volatility biased and inefficient? ; and does it matter?
Neely, Christopher J. - In: Journal of international financial markets, … 19 (2009) 1, pp. 188-205
Persistent link: https://www.econbiz.de/10003797288
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Essays on the Latin American foreign exchange market
Ruiz, Isabel - 2006
Persistent link: https://www.econbiz.de/10009242592
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Are volatility spillovers between currency and equity market driven by economic states? : evidence from the US economy
Grobys, Klaus - In: Economics letters 127 (2015), pp. 72-75
Persistent link: https://www.econbiz.de/10011382877
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Conditional correlated jump dynamics in foreign exchange
Chan, Wing Hong - In: Economics letters 83 (2004) 1, pp. 23-28
Persistent link: https://www.econbiz.de/10001967528
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Forecasting foreign exchange volatility : is implied volatility the best we can do?
Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001974118
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Intraday volatility in interest-rate and foreign-exchange markets : ARCH, announcement, and seasonality effects
Ederington, Louis H.; Lee, Jae-ha - In: The journal of futures markets 21 (2001) 6, pp. 517-552
Persistent link: https://www.econbiz.de/10001579721
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Central bank interventions and exchange rates : an analysis with high frequency data
Morana, Claudio; Beltratti, Andrea - In: Journal of international financial markets, … 10 (2000) 3/4, pp. 349-362
Persistent link: https://www.econbiz.de/10001532761
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Macroeconomic news announcements and the role of expectations : evidence for US bond, stock and foreign exchange markets
Kim, Suk-Joong; McKenzie, Michael D.; Faff, Robert W. - In: Journal of multinational financial management 14 (2004) 3, pp. 217-232
Persistent link: https://www.econbiz.de/10002539268
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Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia
Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15
We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …
Persistent link: https://www.econbiz.de/10013397677