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A multifractal model of asset (in)variances
Grobys, Klaus - In: Journal of international financial markets, … 85 (2023), pp. 1-37
Persistent link: https://www.econbiz.de/10014433281
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Momentum crash, credit risk and optionality effects in bear markets and crisis periods : evidence from the US stock market
Grobys, Klaus - In: Applied economics letters 24 (2017) 4/6, pp. 387-391
Persistent link: https://www.econbiz.de/10011705358
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Is the asset growth anomaly driven by macroeconomic states?
Grobys, Klaus - In: Applied economics letters 23 (2016) 7/9, pp. 576-579
Persistent link: https://www.econbiz.de/10011627986
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Another look at momentum crashes : momentum in the European Monetary Union
Grobys, Klaus - In: Applied economics 48 (2016) 19/21, pp. 1759-1766
Persistent link: https://www.econbiz.de/10011589714
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Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk
Grobys, Klaus - In: Quantitative finance 18 (2018) 7, pp. 1233-1247
Persistent link: https://www.econbiz.de/10011911534
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When Bitcoin has the flu : on Bitcoin's performance to hedge equity risk in the early wake of the COVID-19 outbreak
Grobys, Klaus - In: Applied economics letters 28 (2021) 10, pp. 860-865
Persistent link: https://www.econbiz.de/10012589672
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A fractal and comparative view of the memory of Bitcoin and S&P 500 returns
Grobys, Klaus - In: Research in international business and finance 66 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014460264
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Correlation versus co-fractality : evidence from foreign-exchange-rate variances
Grobys, Klaus - In: International review of financial analysis 86 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014248594
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What do we know about the second moment of financial markets?
Grobys, Klaus - In: International review of financial analysis 78 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10013252740
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A finite-time singularity in the dynamics of the US equity market : will the US equity market eventually collapse?
Grobys, Klaus - In: International review of financial analysis 89 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014466245