The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic … the impacts of Bitcoin futures trading on spot market volatility in the short and long run. Using exponential GARCH model …, we introduce a dummy in the variance equation to capture the changes in the volatility before and after the introduction …

volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996 … the paper is to derive a simple test for causality in volatility that provides regularity conditions arising from the …

The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded … coefficient autoregressive (VRCAR) process for the shocks of returns, we derive Latent Volatility Granger causality from the … Diagonal BEKK multivariate conditional volatility model. We follow Chang et al. (2015)'s definition of the co-volatility …

behind narrative sign restrictions and allows to extract time varying contemporaneous effects and volatility transmission … from conventional reduced form volatility models with dynamic correlations. We find the market value of banking …

volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng … affect the power of the test. The purpose of the paper is to derive a simple test for causality in volatility that provides …

The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded … coefficient autoregressive (VRCAR) process for the shocks of returns, we derive Latent Volatility Granger causality from the … Diagonal BEKK multivariate conditional volatility model. We follow Chang et al. (2015)’s definition of the co-volatility …

interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level …, yield curve options, etc. The advantage of our discrete-time model over continuous-time stochastic volatility models is that … volatility is an observable function of the history of the spot rate and is easily (and exactly) filtered from the discrete …