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Is the investment factor a proxy for time-varying investment opportunities? : the US and international evidence
Huang, Lin; Wang, Zijun - In: Journal of banking & finance 44 (2014), pp. 219-232
Persistent link: https://www.econbiz.de/10010410914
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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 … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the … presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility …
Persistent link: https://www.econbiz.de/10012175787
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Disentangling the relationship between Bitcoin and market attention measures
Figà-Talamanca, Gianna; Patacca, Marco - In: Journal of industrial and business economics 47 (2020) 1, pp. 71-91
Persistent link: https://www.econbiz.de/10012237349
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Asymmetric volatility of the US dollar index in the stock and cryptocurrency market during the Russia-Ukraine war
Velip, Suraj; Jambotkar, Mrunali - In: International journal of banking, accounting and … 14 (2024) 1, pp. 97-112
Persistent link: https://www.econbiz.de/10015057210
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Improving volatility forecasts with GED-GARCH model: evidence from U.S. stock market
Giacalone, Massimiliano; Mattera, Raffaele; Cozzucoli, … - In: The empirical economics letters : a monthly … 18 (2019) 7, pp. 785-791
Persistent link: https://www.econbiz.de/10012315480
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587
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Estimating and predicting multivariate volatility thresholds in global stock markets
Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369
Persistent link: https://www.econbiz.de/10003316303
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The volatility spillover from the market to disaggregated industry stocks : the case for the US and UK
Moore, Tomoe - 2009
Persistent link: https://www.econbiz.de/10003898744
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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
domestic volatility after good shocks but a bad hedge after crashes …
Persistent link: https://www.econbiz.de/10003394353
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The volatility spillover from the market to disaggregated industry stocks : the case for the US and UK
Moore, Tomoe - In: International journal of business and economics 10 (2011) 1, pp. 61-68
Persistent link: https://www.econbiz.de/10009309712