Search Results - subject:"Intraday data"

Anticipatory gains and event-driven losses in blockchain-based fan tokens : evidence from the FIFA World Cup

Saggu, Aman; Ante, Lennart; Demir, Ender - In: Research in international business and finance 70 (2024) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10015055310

Is there an intraday volatility spillover between exchange rate, gold and crude oil?

Shakeel, Moonis; Rabbani, Mustafa Raza; Hawaldar, Iqbal … - In: Journal of open innovation : technology, market, and … 9 (2023) 3, pp. 1-10

The study examines the intraday volatility spillover between the exchange rate, gold, and crude oil using the Dynamic Generalized Conditional Correlation GARCH model (DCC GARCH) and the BEKK GARCH model. We investigate the spillover effects using the Diebold and Yilmaz, 2012 model to gain a...

Persistent link: https://www.econbiz.de/10014502887

The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets

Szafranek, Karol; Rubaszek, Michał; Uddin, Mohammed … - 2023

Persistent link: https://www.econbiz.de/10014507841

Relative signed jump and future stock returns

Rehman, Seema; Sharif, Saqib; Ullah, Wali - In: Romanian journal of economic forecasting 26 (2023) 1, pp. 25-45

Persistent link: https://www.econbiz.de/10014279607

Post-FOMC announcement reversal

Bondarenko, Oleg; Muravyev, Dmitriy - 2023 - This version: May 3, 2023

Persistent link: https://www.econbiz.de/10014281686

Large dynamic covariance matrices: Enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...

Persistent link: https://www.econbiz.de/10013164130