Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19
Against the backdrop of the COVID-19 pandemic, the study explores the hedging and safe-
haven potential of green bonds for conventional equity, fixed income, commodity, and forex …
haven potential of green bonds for conventional equity, fixed income, commodity, and forex …
[BUCH][B] GARCH models: structure, statistical inference and financial applications
C Francq, JM Zakoian - 2019 - books.google.com
Provides a comprehensive and updated study of GARCH models and their applications in
finance, covering new developments in the discipline This book provides a comprehensive …
finance, covering new developments in the discipline This book provides a comprehensive …
[BUCH][B] Dynamic models for volatility and heavy tails: with applications to financial and economic time series
AC Harvey - 2013 - books.google.com
The volatility of financial returns changes over time and, for the last thirty years, Generalized
Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal …
Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal …
Learning from history: Volatility and financial crises
J Danielsson, M Valenzuela, I Zer - The Review of Financial …, 2018 - academic.oup.com
We study the effects of stock market volatility on risk-taking and financial crises by
constructing a cross-country database spanning up to 211 years and across 60 countries …
constructing a cross-country database spanning up to 211 years and across 60 countries …
Do Bitcoin and other cryptocurrencies jump together?
We detect the presence of jumps in the return series of 12 cryptocurrencies and find
significant jump activity in all cases, especially in Ripple, Bitcoin and Litecoin. We also …
significant jump activity in all cases, especially in Ripple, Bitcoin and Litecoin. We also …
[HTML][HTML] Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps
We examine whether the occurrence of jumps in the return of major cryptocurrencies
increases the likelihood of jumps in the stock returns of blockchain and crypto-exposed US …
increases the likelihood of jumps in the stock returns of blockchain and crypto-exposed US …
[PDF][PDF] Beta-t-(e) garch
AC Harvey - 2008 - repository.cam.ac.uk
The GARCH% t model is widely used to predict volatilty. How% ever, modeling the
conditional variance as a linear combination of past squared observations may not be the …
conditional variance as a linear combination of past squared observations may not be the …
Forecasting Bitcoin risk measures: A robust approach
C Trucíos - International Journal of Forecasting, 2019 - Elsevier
Over the last few years, Bitcoin and other cryptocurrencies have attracted the interest of
many investors, practitioners and researchers. However, little attention has been paid to the …
many investors, practitioners and researchers. However, little attention has been paid to the …
Forecasting volatility during the outbreak of Russian invasion of Ukraine: Application to commodities, stock indices, currencies, and cryptocurrencies
Research background: The Russian invasion on Ukraine of February 24, 2022 sharply
raised the volatility in commodity and financial markets. This had the adverse effect on the …
raised the volatility in commodity and financial markets. This had the adverse effect on the …
Volatility estimation for Bitcoin: Replication and robustness
A Charles, O Darné - International Economics, 2019 - Elsevier
Abstract Katsiampa [Volatility estimation for Bitcoin: A comparison of GARCH models.
Economics Letters, 158, 3–6, 2017] compares several GARCH-type models to estimate …
Economics Letters, 158, 3–6, 2017] compares several GARCH-type models to estimate …