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Volatility analysis of Bitcoin price time series
Pichl, Lukáš; Kaizoji, Taisei - In: Quantitative finance and economics 1 (2017) 4, pp. 474-485
Persistent link: https://www.econbiz.de/10012137891
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Bitcoin at high frequency
Catania, Leopoldo; Sandholdt, Mads - In: Journal of risk and financial management : JRFM 12 (2019) 1/36, pp. 1-20
-daily seasonality pattern, and an abnormal trade- and volatility intensity at Thursdays and Fridays. We find no predictability for … Bitcoin returns is also found to be time-varying. We also study the behaviour of the realized volatility of Bitcoin. We … document a remarkable high percentage of jumps above 80% . We also find that realized volatility exhibits: (i) long memory; (ii …
Persistent link: https://www.econbiz.de/10012022322
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Stock prices and macroeconomic performance in Pakistan : an analysis
Mukhtar, Saima; Chaudhry, Imran Sharif; Bashir, Furrukh - In: Review of economics and development studies 1 (2015) 2, pp. 119-128
Persistent link: https://www.econbiz.de/10011925274
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Libra or Librae? : Basket based stablecoins to mitigate foreign exchange volatility spillovers
Giudici, Paolo; Leach, Thomas; Pagnottoni, Paolo - In: Finance research letters 44 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10014494791
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Libra or librae? : basket based stablecoins to mitigate foreign exchange volatility spillovers
Giudici, Paolo; Leach, Thomas; Pagnottoni, Paolo - 2020
Persistent link: https://www.econbiz.de/10012372995
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Distant or close cousins : connectedness between cryptocurrencies and traditional currencies volatilities
Andrada Félix, Julián; Fernandez-Perez, Adrian; … - In: Journal of international financial markets, … 67 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012495868
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Causality and dynamic spillovers among cryptocurrencies and currency markets
Elsayed, Ahmed H.; Gozgor, Giray; Lau, Chi Keung - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2026-2040
Persistent link: https://www.econbiz.de/10013184641
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The pricing of time-varying exchange rate risk in the stock market : a nonparametric approach
Chung, Y. Peter; Zhou, Zhong-guo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10009521656
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012196296
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - In: Journal of applied economics 24 (2021) 1, pp. 401-415
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX over the period 1994-2019. The following hypotheses are tested: frequency of abnormal returns is asignificant driver of price movements (H1); it does not exhibit seasonal patterns (H2); it is stable over...
Persistent link: https://www.econbiz.de/10013174306