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A multifractal model of asset (in)variances

Grobys, Klaus - In: Journal of international financial markets, … 85 (2023), pp. 1-37

Persistent link: https://www.econbiz.de/10014433281

Idiosyncratic volatility and global equity markets

Grobys, Klaus - In: Applied economics letters 22 (2015) 4/6, pp. 402-405

Persistent link: https://www.econbiz.de/10010506718

Are volatility spillovers between currency and equity market driven by economic states? : evidence from the US economy

Grobys, Klaus - In: Economics letters 127 (2015), pp. 72-75

Persistent link: https://www.econbiz.de/10011382877

Momentum crash, credit risk and optionality effects in bear markets and crisis periods : evidence from the US stock market

Grobys, Klaus - In: Applied economics letters 24 (2017) 4/6, pp. 387-391

Persistent link: https://www.econbiz.de/10011705358

Another look at momentum crashes : momentum in the European Monetary Union

Grobys, Klaus - In: Applied economics 48 (2016) 19/21, pp. 1759-1766

Persistent link: https://www.econbiz.de/10011589714

Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk

Grobys, Klaus - In: Quantitative finance 18 (2018) 7, pp. 1233-1247

Persistent link: https://www.econbiz.de/10011911534

When the blockchain does not block : on hackings and uncertainty in the cryptocurrency market

Grobys, Klaus - In: Quantitative finance 21 (2021) 8, pp. 1267-1279

Persistent link: https://www.econbiz.de/10012608645

A fractal and comparative view of the memory of Bitcoin and S&P 500 returns

Grobys, Klaus - In: Research in international business and finance 66 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014460264

Correlation versus co-fractality : evidence from foreign-exchange-rate variances

Grobys, Klaus - In: International review of financial analysis 86 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014248594

Option-Implied Volatility Spillovers between Risk Factors in FX Markets and States of the Global Economy

Grobys, Klaus - 2016

This study employs option price data to back out the implied portfolio volatilities of the dollar and carry trade risk factors of the G-10 currencies. To investigate expected volatility spillover effects between risk factors in FX markets, we extend Grobys (2015) and Diebold and Yilmaz (2009) by...

Persistent link: https://www.econbiz.de/10012999852