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The determinants of the bid-ask spread and the components of the stock volatility : evidence from the Helsinki stock exchange

Ben Sita, Bernard - In: International economics & finance journal : (IEFJ) 3 (2008) 1, pp. 105-121

Persistent link: https://www.econbiz.de/10003791309

Volatility patterns of the constituents of FTSE100 in the aftermath of the U.K. Brexit referendum

Ben Sita, Bernard - In: Finance research letters 23 (2017), pp. 137-146

Persistent link: https://www.econbiz.de/10011808377

Crude oil and gasoline volatility risk into a Realized-EGARCH model

Ben Sita, Bernard - In: Review of quantitative finance and accounting 53 (2019) 3, pp. 701-720

Persistent link: https://www.econbiz.de/10012234368

Volatility links between the home and the host market for UK dual-listed stocks on US markets

Ben Sita, Bernard; Abdallah, Wissam - In: Journal of international financial markets, … 33 (2014), pp. 183-199

Persistent link: https://www.econbiz.de/10011299846

Volatility spillovers : evidence on US oil product markets

Ben Sita, Bernard; Abosedra, Salah S. - In: The journal of applied business research 28 (2012) 6, pp. 1237-1242

Persistent link: https://www.econbiz.de/10009687880

Volatility links between US industries

Ben Sita, Bernard - In: Applied financial economics 23 (2013) 13/15, pp. 1273-1286

Persistent link: https://www.econbiz.de/10010204736

Causality-in-variance of prices of oil products

Ben Sita, Bernard; Abosedra, Salah S. - In: OPEC energy review 37 (2013) 4, pp. 373-386

Persistent link: https://www.econbiz.de/10010337271

Exploring GDP growth volatility spillovers across countries

Abosedra, Salah S.; Araissi, Mahmoud; Ben Sita, Bernard; … - In: Economic modelling 89 (2020), pp. 577-589

Persistent link: https://www.econbiz.de/10012426246

Volatility Links between U.S. Industries

Ben Sita, Bernard - 2012

I investigate volatility linkages between 30 U.S. industries by examining their Granger-causal volatility structure and quantifying the amount of volatility that spills over from industry i to industry j. I apply the volatility spillovers index of Diebold and Yilmaz (2009) on industry-specific...

Persistent link: https://www.econbiz.de/10013114044

Oil Products and the Volatility Index : Bivariate Volatility Relationships Within a T-GARCH Model

Ben Sita, Bernard - 2012

I provide, in this paper, evidence on the contribution of crude oil excess volatility to the volatility index. Crude oil leads the volatility index by 16 basis points (BP) 6 months ahead of time. This leadership is reversal and covers the period from January 21, 2000 to the end of 2011. The...

Persistent link: https://www.econbiz.de/10013106148