Search Results - subject:"Extreme volatility"

Features of different asset types and extreme risk transmission during the COVID-19 crisis

Tsai, I-Chun - In: Financial innovation : FIN 10 (2024), pp. 1-42

regulations and policies, and vaccination-related vari‑ ables) on the risk of extreme volatility in asset returns across eight …. Virtual and commodity assets do not exhibit extreme volatility induced by the COVID-19 pandemic. The energy market, including …

Persistent link: https://www.econbiz.de/10014535431

Bitcoin flash crash on May 19, 2021: What did really happen on Binance?

Baumgartner, Tim; Güttler, André - 2022

Bitcoin plunged by 30% on May 19, 2021. We examine the outage the largest crypto exchange Binance experienced during the crash, when it halted trading for retail clients and stopped providing transaction data. We find evidence that Binance back-filled these missing transactions with data that...

Persistent link: https://www.econbiz.de/10013446638

Bitcoin flash crash on May 19, 2021 : what did really happen on Binance?

Baumgartner, Tim; Güttler, André - Leibniz-Institut für Wirtschaftsforschung Halle - 2022

Persistent link: https://www.econbiz.de/10013435273

The cross-sector risk contagion among Chinese financial institutions : evidence from the extreme volatility spillover perspective

Ke, Rui; Shen, Anni; Yin, Man; Tan, Changchun - In: Finance research letters 63 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10014531332

Volatility spillovers during normal and high volatility states and their driving factors : a cross-country and cross-asset analysis

Iqbal, Najaf; Bouri, Elie; Liu, Guangrui; Kumar, Ashish - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 975-995

Persistent link: https://www.econbiz.de/10014470054

Testing for extreme volatility transmission with realized volatility measures

Boucher, Christophe; Truchis, Gilles de; Dumitrescu, … - 2017

Persistent link: https://www.econbiz.de/10011738966

Investigating the relationship between financial liberalization and capital flow waves : a panel data analysis

Yang, Haizhen; Shi, Fangfang; Wang, Jie; Jing, Zhongbo - In: International review of economics & finance : IREF 59 (2019), pp. 120-136

Persistent link: https://www.econbiz.de/10012202491

Extreme asymmetric volatility : stress and aggregate asset prices

Aboura, Sofiane; Wagner, Niklas F. - In: Journal of international financial markets, … 41 (2016), pp. 47-59

Persistent link: https://www.econbiz.de/10011475918

Extreme value statistics and recurrence intervals of NYMEX energy futures volatility

Xie, Wen-Jie; Jiang, Zhi-Qiang; Zhou, Wei-Xing - In: Economic Modelling 36 (2014) C, pp. 8-17

Energy markets and the associated energy futures markets play a crucial role in global economies. It is of great theoretical and practical significance to gain a deeper understanding of extreme value statistics of the volatility of energy futures traded on the New York Mercantile Exchange...

Persistent link: https://www.econbiz.de/10011048820

Extreme value statistics and recurrence intervals of NYMEX energy futures volatility

Xie, Wen-jie; Jiang, Zhi-qiang; Zhou, Wei-xing - In: Economic modelling 36 (2014), pp. 8-17

Persistent link: https://www.econbiz.de/10010412098