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Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach

Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

Persistent link: https://www.econbiz.de/10014581582

Energy commodity price response to COVID-19 : impact of epidemic status, government policy, and stock market volatility

Czech, Katarzyna; Wielechowski, Michał - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 3, pp. 443-453

Persistent link: https://www.econbiz.de/10012622702

Is Bitcoin really a currency? : a viewpoint of a stochastic volatility model

Kunimoto, Noriyuki; Kakamu, Kazuhiko - In: Applied economics 54 (2022) 57, pp. 6536-6550

Persistent link: https://www.econbiz.de/10013494160

MCMC methods for continuous-time financial econometrics

Johannes, Michael; Polson, Nicholas G. - 2010

Persistent link: https://www.econbiz.de/10003900732

The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift

Liu, Xianghua; Xiao, Xueping - In: International journal of services technology and management 20 (2014) 1/2/3, pp. 71-84

Persistent link: https://www.econbiz.de/10010505392

COVID-19 pandemic : revisiting the safe haven assets

Dasauki, Musa C.; Oluwalaiye, Olusola B.; Kwarbai, … - In: Global business & economics review 28 (2023) 2, pp. 175-194

Persistent link: https://www.econbiz.de/10014230983

COVID-19 and cryptocurrency market : impact on return, volatility and liquidity

Zargar, Faisal Nazir; Kumar, Dilip - In: The journal of prediction markets 16 (2022) 2, pp. 19-38

Persistent link: https://www.econbiz.de/10014289740

The effect of the COVID-19 pandemic on multifractals of price returns and trading volume variations of cryptocurrencies

Lahmiri, Salim - In: Decision analytics journal 6 (2023), pp. 1-5

We investigate the multifractal properties of daily price returns and trading volume variations in 35 cryptocurrencies by using the method of wavelet leaders prior and during the COVID-19 pandemic. The obtained results from the analysis of scaling exponent functions and multifractal spectrums...

Persistent link: https://www.econbiz.de/10014505962

Bitcoin's hedging attributes against equity market volatility : empirical evidence during the COVID-19 pandemic

Grira, Jocelyn; Guizani, Sana; Nafti, Ines Kahloul - In: The journal of risk finance : JRF 23 (2022) 5, pp. 605-618

Persistent link: https://www.econbiz.de/10013454951

Herding behaviour surrounding the Russo-Ukraine war and COVID-19 pandemic : evidence from energy, metal, livestock and grain commodities

Azhar Mohamad - In: Review of behavioral finance : RBF 16 (2024) 5, pp. 925-957

Persistent link: https://www.econbiz.de/10015069622