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Volatility of clean energy and natural gas, uncertainty indices, and global economic conditions
Wang, Jiqian; Ma, Feng; Bouri, Elie; Zhong, Juandan - In: Energy economics 108 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013203098
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On the intraday return curves of Bitcoin : predictability and trading opportunities
Bouri, Elie; Lau, Chi Keung; Saeed, Tareq; Wang, Shixuan; … - In: International review of financial analysis 76 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012804738
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The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - 2002
almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises, and bad news in particular … differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011544322
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How effective are trading pauses?
Hautsch, Nikolaus; Horvath, Akos - 2017 - This draft: April 2017
have a "cool off" effect on markets, but rather accelerate volatility and bid-ask spreads. This implies a regulatory trade …
Persistent link: https://www.econbiz.de/10011642607
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter - 2001
almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises create considerable uncertainty … differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011446937
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Monetary policy uncertainty and jumps in advanced equity markets
Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Journal of risk 23 (2020/2021) 1, pp. 101-112
Persistent link: https://www.econbiz.de/10012500112
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Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks
Bouri, Elie; Chang, Tsangyao; Gupta, Rangan - In: Wine Economics and Policy 6 (2017) 2, pp. 80-87
This paper examines the efficient market hypothesis for the wine market using a novel unit root test while accounting for sharp shifts and smooth breaks in the monthly data. We find evidence of structural shifts and nonlinearity in the wine indices. Contrary to the results from conventional...
Persistent link: https://www.econbiz.de/10011986542
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Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks
Bouri, Elie; Chang, Tsangyao; Gupta, Rangan - In: Wine Economics and Policy 6 (2017) 2, pp. 80-87
This paper examines the efficient market hypothesis for the wine market using a novel unit root test while accounting for sharp shifts and smooth breaks in the monthly data. We find evidence of structural shifts and nonlinearity in the wine indices. Contrary to the results from conventional...
Persistent link: https://www.econbiz.de/10011868262
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Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - Center for Financial Studies - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …
Persistent link: https://www.econbiz.de/10010986436
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How effective are trading pauses?
Hautsch, Nikolaus; Horvath, Akos - 2017
have a "cool off" effect on markets, but rather accelerate volatility and bid-ask spreads. This implies a regulatory trade …
Persistent link: https://www.econbiz.de/10011646669