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Robust estimation of the simplified multivariate GARCH model

Iqbal, Farhat - In: Empirical economics : a journal of the Institute for … 44 (2013) 3, pp. 1353-1372

Persistent link: https://www.econbiz.de/10009749477

Investor sentiment and bitcoin prices

Koutmos, Dimitrios - In: Review of quantitative finance and accounting 60 (2023) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10013548963

Time-varying beta risk, volatility persistence and the asymmetric impact of news : evidence from industry portfolios

Koutmos, Dimitrios - In: Global business & economics review 13 (2011) 1, pp. 42-56

Persistent link: https://www.econbiz.de/10009126431

Stock market volatility and fluctuations in the price-earnings ratio

Koutmos, Dimitrios - In: International journal of computational economics and … 2 (2012) 3/4, pp. 223-237

Persistent link: https://www.econbiz.de/10009756390

Distilling private information from plain-vanilla options to predict future underlying stock price volatility : evidence from the H-shares of Chinese banks

Koutmos, Dimitrios - In: Research in international business and finance 37 (2016), pp. 391-405

Persistent link: https://www.econbiz.de/10011595294

Asset pricing factors and bank CDS spreads

Koutmos, Dimitrios - In: Journal of international financial markets, … 58 (2019), pp. 19-41

Persistent link: https://www.econbiz.de/10012127819

Robust estimation for the orthogonal GARCH model

Iqbal, Farhat - In: The Manchester School 81 (2013) 6, pp. 904-924

Persistent link: https://www.econbiz.de/10010341578

Time-Varying Behavior of Stock Prices, Volatility Dynamics and Beta Risk in Industry Sector Indices of the Shanghai Stock Exchange

Koutmos, Dimitrios - 2014

This paper examines time-varying stock price and volatility dynamics of constituent industry sector indices in the Shanghai Stock Exchange. It finds that market beta risk is priced in the time-series movements of stock prices and responds positively to rises in non-diversifiable risk. The asset...

Persistent link: https://www.econbiz.de/10013053876

Investor attention and Bitcoin trading behaviors

Wang Chun Wei; Koutmos, Dimitrios - In: Essays on Financial Analytics : Applications and Methods, (pp. 87-116). 2023

Persistent link: https://www.econbiz.de/10014338803

Beta risk and price synchronicity of bank acquirers' common stock following merger announcements

Bozos, Konstantinos; Koutmos, Dimitrios; Song, Wei - In: Journal of international financial markets, … 27 (2013), pp. 47-58

Persistent link: https://www.econbiz.de/10010411753