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Corporate credit risk counter-cyclical interdependence : a systematic analysis of cross-border and cross-sector correlation dynamics

Yfanti, Stavroula; Karanasos, Menelaos; Zopounidis, … - In: European journal of operational research : EJOR 304 (2023) 2, pp. 813-831

Persistent link: https://www.econbiz.de/10013534569

Dual long-memory, structural breaks and the link between turnover and the range-based volatility

Karanasos, Menelaos; Kartsaklas, A. - In: Journal of empirical finance 16 (2009) 5, pp. 838-851

Persistent link: https://www.econbiz.de/10003900413

Modelling stock volatilities during financial crises : a time varying coefficient approach

Karanasos, Menelaos; Paraskevopoulos, Alexandros G.; … - In: Journal of empirical finance 29 (2014), pp. 113-128

Persistent link: https://www.econbiz.de/10011300501

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

Macro-financial linkages in the high-frequency domain : economic fundamentals and the Covid-induced uncertainty channel in US and UK financial markets

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 1581-1608

Persistent link: https://www.econbiz.de/10014533276

Modelling time varying volatility spillovers and conditional correlations across commodity metal futures

Karanasos, Menelaos; Ali, Faek Menla; Margaronis, Zannis; … - In: International review of financial analysis 57 (2018), pp. 246-256

Persistent link: https://www.econbiz.de/10012006357

On the macro-drivers of realized volatility : the destabilizing impact of UK policy uncertainty across Europe

Karanasos, Menelaos; Yfanti, S. - In: The European journal of finance 26 (2020) 12, pp. 1146-1183

Persistent link: https://www.econbiz.de/10012264953

Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

Persistent link: https://www.econbiz.de/10012138660

Financial integration and European tourism stocks

Caporale, Guglielmo Maria; Yfanti, Stavroula; … - In: Handbook of financial integration, (pp. 495-538). 2024

Persistent link: https://www.econbiz.de/10015078695

Financial integration and European tourism stocks

Caporale, Guglielmo Maria; Yfanti, Stavroula; … - 2023

This study examines the macro drivers of the time-varying (dynamic) connectedness between eleven European tourism sectors. Financial integration between the travel and leisure markets, measured by their dynamic correlations or co-movement, is explained by common global fundamentals. The...

Persistent link: https://www.econbiz.de/10013540847