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Time-varying risk aversion and realized gold volatility

Demirer, Rıza; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: The North American journal of economics and finance : a … 50 (2019) 101048, pp. 1-16

Persistent link: https://www.econbiz.de/10012204443

Option pricing using high-frequency futures prices

Degiannakis, Stavros; Floros, Christos; Poufinas, Thomas; … - In: Journal of risk 23 (2021) 4, pp. 81-101

Persistent link: https://www.econbiz.de/10012593448

Realized measures to explain volatility changes over time

Floros, Christos; Gillas, Konstantinos Gkillas; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/125, pp. 1-19

We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current market-based volatility. For our analysis, we used daily...

Persistent link: https://www.econbiz.de/10012309061

Unemployment fluctuations and currency returns in the United Kingdom : Evidence from over one and a half century of data

Bathia, Deven; Demirer, Rıza; Gupta, Rangan; Kotzé, Kevin - In: Journal of multinational financial management 61 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012887858

Differences of opinion and stock market volatility : evidence from a nonparametric causality-in-quantiles approach

Balcilar, Mehmet; Demirer, Rıza; Gupta, Rangan; Wohar, … - In: Journal of economics and finance 42 (2018) 2, pp. 339-351

Persistent link: https://www.econbiz.de/10012031009

Forecasting stock market (realized) volatility in the United Kingdom : is there a role of inequality?

Hassani, Hossein; Yeganegi, Mohammad Reza; Gupta, Rangan; … - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2146-2152

Persistent link: https://www.econbiz.de/10013184696

Predicting stock market movements with a time-varying consumption-aggregate wealth ratio

Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467

Persistent link: https://www.econbiz.de/10012203261

Forecasting the conditional distribution of realized volatility of oil price returns : the role of skewness over 1859 to 2023

Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - In: Finance research letters 58 (2023) 3, pp. 1-9

Persistent link: https://www.econbiz.de/10014631146

Cross-sectional return dispersion and stock market volatility : evidence from high-frequency data

Niu, Zibo; Demirer, Rıza; Suleman, Muhammad Tahir; … - In: Journal of forecasting 42 (2023) 6, pp. 1309-1328

Persistent link: https://www.econbiz.de/10014338888

Consumer preferences and the reliability of Euler equation tests of capital mobility : some simulation-based evidence

Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian - 2002

The debate on the risks and benefits of the globalisation of international capital markets has focused on the volume and the volatility of the main capital flows ? foreign direct investment (FDI), portfolio investment, and foreign bank lending. Financial transfers in the form of worker...

Persistent link: https://www.econbiz.de/10001712136