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Volatility spillover effect between Pakistan and Shanghai Stock Exchanges using copula and dynamic conditional correlation model

Afzal, Fahim; Choudhury, Tonmoy; Kamran, Muhammad - In: International journal of Islamic and Middle Eastern … 16 (2023) 1, pp. 59-80

Persistent link: https://www.econbiz.de/10014339621

Multiple-period market risk prediction under long memory : when VaR is higher than expected

Kinateder, Harald; Wagner, Niklas F. - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 4-32

Persistent link: https://www.econbiz.de/10010252220

VaR prediction under long memory in volatility

Kinateder, Harald; Wagner, Niklas F. - In: Operations research proceedings 2010 : selected papers …, (pp. 123-128). 2011

Persistent link: https://www.econbiz.de/10009270862

Drivers of illiquidity in the asean sovereign bond market

Kinateder, Harald; Bauer, Robert; Wagner, Niklas F. - In: Bulletin of monetary economics and banking 23 (2020) 4, pp. 501-524

Persistent link: https://www.econbiz.de/10012423384

Calendar effects in Bitcoin returns and volatility

Kinateder, Harald; Papavassiliou, Vassilios G. - In: Finance research letters 38 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012485376

Liquidity, surprise volume and return premia in the oil market

Batten, Jonathan A.; Kinateder, Harald; Szilágyi, Péter G. - In: Energy economics 77 (2019), pp. 93-104

Persistent link: https://www.econbiz.de/10012306351

Calendar Effects in Bitcoin Returns and Volatility

Kinateder, Harald - 2020

We use a GARCH dummy model to study the influence of calendar effects on daily conditional returns and volatility of Bitcoin during the period 2013–2019. The Halloween, day-of-the-week (DOW), and month-of-the-year (MOY) effects are analyzed. Our results reveal no evidence of a Halloween...

Persistent link: https://www.econbiz.de/10012844346

FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies

Bouri, Elie; Kamal, Elham; Kinateder, Harald - In: Finance research letters 56 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014473652