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Volatility Impacts on the European Banking Sector : GFC and COVID-19

Batten, Jonathan A.; Choudhury, Tonmoy; Kinateder, Harald; … - 2022

This paper analyses the volatility transmission between European Global Systemically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation...

Persistent link: https://www.econbiz.de/10013299963

Volatility impacts on global banks : insights from the GFC, COVID-19, and the Russia-Ukraine war

Batten, Jonathan A.; Boubaker, Sabri; Kinateder, Harald; … - In: Journal of economic behavior & organization : JEBO 215 (2023), pp. 325-350

Persistent link: https://www.econbiz.de/10014478516

Volatility spillover effect between Pakistan and Shanghai Stock Exchanges using copula and dynamic conditional correlation model

Afzal, Fahim; Choudhury, Tonmoy; Kamran, Muhammad - In: International journal of Islamic and Middle Eastern … 16 (2023) 1, pp. 59-80

Persistent link: https://www.econbiz.de/10014339621

Search for safe havens and resilience to global financial volatility : response of GCC equity indexes to GFC and Covid-19

Hassan, M. Kabir; Kamran, Muhammad; Djajadikerta, … - In: Pacific-Basin finance journal 73 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013389084

Multiple-period market risk prediction under long memory : when VaR is higher than expected

Kinateder, Harald; Wagner, Niklas F. - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 4-32

Persistent link: https://www.econbiz.de/10010252220

VaR prediction under long memory in volatility

Kinateder, Harald; Wagner, Niklas F. - In: Operations research proceedings 2010 : selected papers …, (pp. 123-128). 2011

Persistent link: https://www.econbiz.de/10009270862

Hedging stocks with oil

Batten, Jonathan A.; Kinateder, Harald; Szilágyi, Péter G. - In: Energy economics 93 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012643309

Time-varying energy and stock market integration in Asia

Batten, Jonathan A.; Kinateder, Harald; Szilágyi, Péter G. - In: Energy economics 80 (2019), pp. 777-792

Persistent link: https://www.econbiz.de/10012173727

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

Liquidity, surprise volume and return premia in the oil market

Batten, Jonathan A.; Kinateder, Harald; Szilágyi, Péter G. - In: Energy economics 77 (2019), pp. 93-104

Persistent link: https://www.econbiz.de/10012306351