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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

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin : evidence from developed and emerging markets

Omri, Imen - In: The journal of risk finance : JRF 24 (2023) 2, pp. 226-243

Persistent link: https://www.econbiz.de/10014232428

Modelling volatility dynamics of cryptocurrencies using GARCH models

Ngunyi, Anthony; Mundia, Simon; Omari, Cyprian Ondieki - In: Journal of mathematical finance 9 (2019) 4, pp. 591-615

Persistent link: https://www.econbiz.de/10012433128

Estimating time-varying currency betas with contagion : new evidence from developed and emerging financial markets

Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Japan and the world economy : international journal of … 30 (2014), pp. 10-24

Persistent link: https://www.econbiz.de/10010462927

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

Towards examining the volatility of top market-cap cryptocurrencies throughout the COVID-19 outbreak and the Russia-Ukraine war : empirical evidence from GARCH-type models

Gherghina, Ştefan Cristian; Constantinescu, … - 2025

The cryptocurrency market, known for its inherent volatility, has been significantly influenced by external shocks … volatility of the top seven cryptocurrencies by market capitalization - Bitcoin (BTC), Ethereum (ETH), Tether (USDT), Binance … models (GARCH, EGARCH, TGARCH, and DCC-GARCH). This research aims to examine the persistence of leverage effects, volatility …

Persistent link: https://www.econbiz.de/10015358888

COVID-19 and cryptocurrency market : impact on return, volatility and liquidity

Zargar, Faisal Nazir; Kumar, Dilip - In: The journal of prediction markets 16 (2022) 2, pp. 19-38

Persistent link: https://www.econbiz.de/10014289740

Long memory in Bitcoin and ether returns and volatility and Covid-19 pandemic

Sosa, Miriam; Ortiz, Edgar; Cabello-Rosales, Alejandra - In: Studies in economics and finance 40 (2023) 3, pp. 411-424

Persistent link: https://www.econbiz.de/10014252615

Volatility interdependence between cryptocurrencies, equity, and bond markets

Harb, Etienne; Bassil, Charbel; Kassamany, Talie; Baz, … - In: Computational economics 63 (2024) 3, pp. 951-981

Persistent link: https://www.econbiz.de/10014546233