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What Drives Cryptocurrency Returns? A Sparse Statistical Jump Model Approach

Cortese, Federico P.; Kolm, Petter N.; Lindstrom, Erik - 2023

We apply the statistical sparse jump model, a recently developed, interpretable and robust regime switching model, to infer key features that drive the return dynamics of the largest cryptocurrencies. The algorithm jointly performs feature selection, parameter estimation, and state...

Persistent link: https://www.econbiz.de/10014254840

The Impact of Monetary Policy Surprises on Asset Return Volatility : The Case of Germany

Konrad, Ernst - 2010

This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility … of German stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy … surprises in the United States, whereas monetary policy surprises in the Euro zone matter for bond return volatility. These …

Persistent link: https://www.econbiz.de/10013142117

Oil and Stock Price Returns : Evidence from European Industrial Sector Indices in a Time-Varying Environment

Degiannakis, Stavros Antonios - 2018

The time-varying correlation between oil prices returns and European industrial sector indices returns, considering the origin of the oil price shock, is investigated. A time-varying multivariate heteroskedastic framework is employed to test the above hypothesis based on data from 10 European...

Persistent link: https://www.econbiz.de/10012910133

An Empirical Investigation into the Relation of Oil to Stock Market Prices

Nwala, Kingsley - 2010

This paper investigates the relationship between oil and stock market returns for the United States using cointegration techniques and the modified VECM. The results reveal that the oil and stock market returns are cointegrated. The results from the modified VECM suggest that causality runs from...

Persistent link: https://www.econbiz.de/10013148963

Impact of Crude Oil Price and Exchange Rate on Performance of Indian Stock Market

Singh, Saurabh - 2016

This paper attempts to investigate empirically the dynamic relationship among crude oil price, exchange rate and Indian stock market. Using daily data of Crude oil price, Dollar-Rupee value and Nifty returns from April 2010 to March 2015, correlation, regression and Granger-causality approach in...

Persistent link: https://www.econbiz.de/10012999793

Oil Prices and the Stock Markets : Evidence from High Frequency Data

Rahman, Sajjadur - 2019

We use the highest frequency data that have ever been studied before to investigate the relationship between the price of oil and stock market returns. In the context of a bivariate (identified using heteroscedasticity in daily data) structural VAR in stock market returns and the change in the...

Persistent link: https://www.econbiz.de/10012890813

'Crude Oil Price Velocity & Stock Market Ripple' - A Comparative Study of BSE with NYSE & LSE

Khanna, Kirti - 2012

In this new era of economic growth, the exceptional increase in the crude oil prices is one of the significant developments that affecting the global economy. Crude oil is an important raw material used for manufacturing many goods, so that an extraordinary increase in the price of oil is bound...

Persistent link: https://www.econbiz.de/10013102794

Nonlinear intermediary pricing in the oil futures market

Bierbaumer, Daniel; Rieth, Malte; Velinov, Anton - 2018

vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into … and increases the hedging costs of producers and processors of oil when volatility is high. …

Persistent link: https://www.econbiz.de/10011790776

Volatility Contagion between Crude Oil and G7 Stock Markets in the Light of Trade Wars and COVID-19 : An Application Based on the TVP-VAR Extended Joint Connectedness Approach

Chatziantoniou, Ioannis; Floros, Christos; Gabauer, David - 2021

We investigate volatility contagion across G7 stock markets and the market for crude oil for the period between 2007 … sample period. Prominent among our results is that the crude oil market is an important net transmitter of volatility shocks … for crude oil. Finally, we show that the Canadian stock market is a persistent net transmitter of volatility in recent …

Persistent link: https://www.econbiz.de/10013211886

Explaining the Nonlinear Response of Stock Markets to Oil Price Shocks

Escobari, Diego; Sharma, Shahil - 2020

This paper is set to reconcile the existent conflicting empirical evidence on the effect of oil prices on stock prices. We estimate various nonlinear models where the response changes according to a first-order Markov switching process. More importantly, we model the transition probabilities...

Persistent link: https://www.econbiz.de/10014352223