cointegrating relationship and the long memory of their difference (i.e. the range), which is a measure of realized volatility …

-run equilibrium relationships among ten major cryptocurrencies by applying two different cointegration tests. This analysis aims at … volatility and the spread used for trading. The results of the trading strategies suggest that cointegrated portfolios based on … the Johansen procedure generate the highest abnormal log-returns, both in-sample and out-of-sample. Five out of six …

credit and equity markets advocate the use of market price and volatility channels as explanatory factors. In particular, the … evolution of CDS spreads is analyzed along with the level of the equity market and a well-chosen implied volatility index. We … leptokurtosis are captured. Incidentally, the sensitivity of aggregate CDS spreads to equity market price and volatility channels …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as … mid-quote returns, average trade sizes, number of trades and average (excess) trading costs per time interval in terms of …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …

has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in … cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …

cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … the estimation and prediction of the spread-the deviation from the equilibrium relationship-which leads to better results …. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious … specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …

The paper focuses on investigating the correlation and volatility of fuel markets in four countries of the Visegrad …-M) models to examine the volatility and covariance of fuel prices in these nations. The results of the study indicate that there …