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Returns and volume : frequency connectedness in cryptocurrency markets

Fousekis, Panajiotis; Tzaferi, Dimitra - In: Economic modelling 95 (2021), pp. 13-20

Persistent link: https://www.econbiz.de/10012695625

The impact of cash flow statement components on stock volatility : evidence from Qatar

Al Zobi, Mo'taz Kamel; Al-Dhaimesh, Othman Hel - In: Investment management and financial innovations 18 (2021) 2, pp. 365-373

Persistent link: https://www.econbiz.de/10012698636

Safe havens, machine learning, and the sources of geopolitical risk : a forecasting analysis using over a century of data

Gupta, Rangan; Karmakar, Sayar; Pierdzioch, Christian - 2022

Persistent link: https://www.econbiz.de/10012794059

Day-of-the-week effect on the VIX : a parsimonious representation

Gonzalez-Perez, Maria T.; Guerrero, David E. - In: The North American journal of economics and finance : a … 25 (2013), pp. 243-260

Persistent link: https://www.econbiz.de/10009779259

Are shocks on the returns and volatility of cryptocurrencies really persistent?

Charfeddine, Lanouar; Maouchi, Youcef - In: Finance research letters 28 (2019), pp. 423-430

Persistent link: https://www.econbiz.de/10012388358

An examination of the flow characteristics of crude oil : evidence from risk-neutral moments

Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay; Wang, … - In: Energy economics 54 (2016), pp. 213-223

Persistent link: https://www.econbiz.de/10011662818

Clustering of extremes in financial returns : a study of developed and emerging markets

Alokley, Sara Ali; Albarrak, Mansour Saleh - In: Journal of risk and financial management : JRFM 13 (2020) 7/141, pp. 1-11

This paper investigates the clustering or dependency of extremes in financial returns by estimating the extremal index … dependency structure of financial returns data and the proprieties of the extremes returns. Moreover, understanding clustering of …

Persistent link: https://www.econbiz.de/10012309278

On the volatility of daily stock returns of Total Nigeria Plc : evidence from GARCH models, value-at-risk and backtesting

Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial innovation : FIN 6 (2020) 18, pp. 1-25

This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models … backtesting. We use daily data for Total Nigeria Plc returns for the period January 2, 2001 to May 8, 2017, and conclude that … investigation of the volatility, VaR, and backtesting of the daily stock price of Total Nigeria Plc is important as most previous …

Persistent link: https://www.econbiz.de/10012268756

Distillation of news flow into analysis of stock reactions

Zhang, Junni L.; Härdle, Wolfgang; Chen, Cathy Y.; … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 547-563

Persistent link: https://www.econbiz.de/10011692403

Volatility analysis of REITs : empirical evidence for the EU peripheral countries

Begiazi, Kyriaki; Asteriou, Dimitrios - In: International journal of banking, accounting and finance 6 (2015) 2, pp. 87-98

Persistent link: https://www.econbiz.de/10011607417