Search Results - subject:"and Volatility"

Structural changes in contagion channels: the impact of COVID-19 on the Italian electricity market

Ahelegbey, Daniel Felix; Casarin, Roberto; Fianu, … - In: Annals of Operations Research 345 (2024) 2, pp. 1035-1060

, we apply the proposed econometric framework to the Italian zonal markets analyzing the effects of returns and volatility … the COVID-19 pandemic period. The model captures relevant abrupt changes in prices and volatility in the zonal electricity …

Persistent link: https://www.econbiz.de/10015410166

Revisiting the currency-commodity nexus : new insights into the R² decomposed connectedness and the role of global shocks

Huang, Jionghao; Li, Hongqiao; Chen, Baifan; Liu, Mengai; … - In: International review of economics & finance : IREF 98 (2025), pp. 1-39

Persistent link: https://www.econbiz.de/10015330663

Optimal payoffs under smooth ambiguity

Chen, An; Vanduffel, Steven; Wilke, Morten - In: European journal of operational research : EJOR 320 (2025) 3, pp. 754-764

Persistent link: https://www.econbiz.de/10015085373

Dynamic spillover between green cryptocurrencies and stocks : a portfolio implication

Yousaf, Imran; Cui, Jinxin; Ali, Shoaib - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10015211784

Cost-efficient payoffs under model ambiguity

Bernard, Carole; Junike, Gero; Lux, Thibaut; Vanduffel, … - In: Finance and Stochastics 28 (2024) 4, pp. 965-997

Dybvig ( 1988a , 1988b ) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution (“cost-efficient payoff”). In the presence of ambiguity, the distribution of a payoff is, however, no longer known with certainty. We...

Persistent link: https://www.econbiz.de/10015359560

Cost-efficient payoffs under model ambiguity

Bernard, Carole; Junike, Gero; Lux, Thibaut; Vanduffel, … - In: Finance and stochastics 28 (2024) 4, pp. 965-997

Persistent link: https://www.econbiz.de/10015130486

Robustness of Hilbert space-valued stochastic volatility models

Benth, Fred Espen; Eyjolfsson, Heidar - In: Finance and stochastics 28 (2024) 4, pp. 1117-1146

Persistent link: https://www.econbiz.de/10015130556

Dynamic impact of the US yield curve on green bonds : navigating through recent crises

Umar, Zaghum; Iqbal, Najaf; Teplova, Tamara V.; Tan, Duojiao - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-23

Persistent link: https://www.econbiz.de/10015133670

Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?

Babalos, Vassilios; Bouri, Elie; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014521259

Return and volatility spillovers between non-fungible tokens and conventional currencies : evidence from the TVP-VAR model

Yousaf, Imran; Youssef, Manel; Gubareva, Mariya - In: Financial innovation : FIN 10 (2024), pp. 1-22

This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and … portfolios by adding NFTs. We also fnd that NFTs are net transmitters of both return and volatility spillovers; however, in the … transmissions. The dynamic exercise reveals that the returns and volatility spillovers vary over time, largely increasing during the …

Persistent link: https://www.econbiz.de/10014540548