studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility …-stage multivariate EGARCH model's results show that the conditional volatilities of both asset portfolios surge more after positive news …

characteristics of an asset, namely, return, volatility and liquidity, our model is designed to predict these three parameters for a …-bar) market data and quantified news sentiment data. The purpose of the study is to identify a predictive model which can be used … collection of assets. The minute-bar market data as well as intraday news sentiment metadata have been provided by Thomson …