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Inter-market mean and volatility spillover dynamics between cryptocurrencies and an emerging stock market : evidence from Thailand and sectoral analysis

Zhang, Yanjia; Lo, Shih-tse; Sutthiphisal, Dhanoos - In: Risks : open access journal 13 (2025) 4, pp. 1-29

The increasing interaction between the equity market and cryptocurrencies has raised concerns about volatility … investigates the mean and volatility spillover effects between the Thai stock market and leading cryptocurrencies from April 2019 … sectoral-specific mean and volatility spillovers across major Thai stock market sectors. The findings reveal the significant …

Persistent link: https://www.econbiz.de/10015408930

Can the "good-bad" volatility and the leverage effect improve the prediction of cryptocurrency volatility? : evidence from SHARV-MGJR model

Chen, Zhenlong; Liu, Junjie; Hao, Xiaozhen - In: Finance research letters 67 (2024) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10015061457

Long memory of financial time series and hidden Markov models with time‐varying parameters

Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Journal of forecasting 36 (2017) 8, pp. 989-1002

Persistent link: https://www.econbiz.de/10011860941

Does market attention affect Bitcoin returns and volatility?

Figà-Talamanca, Gianna; Patacca, Marco - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 135-155

Persistent link: https://www.econbiz.de/10012065182

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

The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights

Siu, Tak Kuen - In: Applied economics 53 (2021) 17, pp. 1991-2014

Persistent link: https://www.econbiz.de/10012500918

Bitcoin return dynamics volatility and time series forecasting

Anand, Punit; Sharan, Anand Mohan - In: International Journal of Financial Studies : open … 13 (2025) 2, pp. 1-16

Bitcoin and other cryptocurrency returns show higher volatility than equity, bond, and other asset classes … reduce the forecasting errors in a high-volatility regime. We show that conventional time series modeling using ARMA and ARMA …

Persistent link: https://www.econbiz.de/10015433952

Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail : further evidence from equity market

Huang, Yirong; Luo, Yi - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014534834

On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks

Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012517048

Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas

Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Finance research letters 47 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013455804