Search Results - subject:"Intraday Volatility"

Assessing the crypto market stability after the FTX collapse : a study of high frequency volatility and connectedness

Esparcia, Carlos; Escribano, Ana; Jareño, Francisco - In: International review of financial analysis 94 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014543961

Volatility forecasting with machine learning and intraday commonality

Zhang, Chao; Zhang, Yihuang; Cucuringu, Mihai; Qian, … - In: Journal of financial econometrics 22 (2024) 2, pp. 492-530

Persistent link: https://www.econbiz.de/10014526335

Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate GARCH models

Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-22

Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of four widely traded cryptocurrencies,...

Persistent link: https://www.econbiz.de/10013368338

Do social media sentiments drive cryptocurrency intraday price volatility? : new evidence from asymmetric TVP-VAR frequency connectedness measures

Long, Suwan; Chatziantoniou, Ioannis; Gabauer, David; … - In: The European journal of finance 30 (2024) 13, pp. 1470-1489

Persistent link: https://www.econbiz.de/10014636574

Functional volatility forecasting

Tan, Yingwen; Tan, Zhensi; Tang, Yinfen; Zhang, Zhiyuan - In: Journal of forecasting 43 (2024) 8, pp. 3009-3034

Persistent link: https://www.econbiz.de/10015110595

Market conditions and order-type preference

Kalaitzoglou, Iordanis Angelos; Ibrahim, Boulis Maher - In: International review of financial analysis 87 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014456331

Did cryptomarket chaos unleash Silvergate's bankruptcy? : investigating the high-frequency volatility and connectedness behind the collapse

Esparcia, Carlos; Escribano, Ana; Jareño, Francisco - In: Journal of international financial markets, … 89 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014490072

COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs

Naeem, Muhammad Abubakr; Karim, Sitara; Yarovaya, Larisa; … - In: Energy economics 122 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014440746

Intraday analysis of regulation change in microstructure : evidence from an emerging market

Kadioglu, Eyup - In: International journal of emerging markets 18 (2023) 5, pp. 1216-1235

Persistent link: https://www.econbiz.de/10014333628

The impacts of macroeconomic news announcements on intraday implied volatility

Lee, Jieun; Ryu, Doojin - 2019

Persistent link: https://www.econbiz.de/10012170922