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Bayesian dynamic modeling of high-frequency integer price changes

Barra, István; Borowska, Agnieszka; Koopman, Siem Jan - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 384-424

Persistent link: https://www.econbiz.de/10011987788

Detecting money market bubbles

Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Journal of banking & finance 87 (2018), pp. 369-379

Persistent link: https://www.econbiz.de/10011962562

An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns

Lengua Lafosse, Patricia; Rodriguez, Gabriel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 155-173

Persistent link: https://www.econbiz.de/10012035007

Detecting money market bubbles

Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - 2016

Persistent link: https://www.econbiz.de/10011778131

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341

Persistent link: https://www.econbiz.de/10014423714

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2023

Persistent link: https://www.econbiz.de/10014448099

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022 - This version: December 6, 2022

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Persistent link: https://www.econbiz.de/10013465942

The impact of the COVID-19 pandemic on the volatility of cryptocurrencies

Karagiannopoulou, Sofia; Ragazou, Konstantina; Passas, … - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-17

great volatility regarding the response of Bitcoin to a shock of STOXX50. The Granger causality test was constructed to …This study aimed to investigate the interactions between Bitcoin to euro, gold, and STOXX50 during the period of COVID … during the period of the COVID-19 pandemic. While investigating the effects of the pandemic on Bitcoin, the number of cases …

Persistent link: https://www.econbiz.de/10014284682

Impact of COVID-19 on volatility spillovers across international markets : evidence from VAR asymmetric BEKK GARCH model

Arfaoui, Nadia; Yousaf, Imran - In: Annals of financial economics 17 (2022) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10013189123

Bayesian inference for a periodic stochastic volatility model of intraday electricity prices

Smith, Michael Stanley - In: Statistical modelling and regression structures : …, (pp. 353-376). 2010

Persistent link: https://www.econbiz.de/10003964500