High frequency volatility co-movements in cryptocurrency markets
Through the application of Diagonal BEKK and Asymmetric Diagonal BEKK methodologies
to intra-day data for eight cryptocurrencies, this paper investigates not only conditional …
to intra-day data for eight cryptocurrencies, this paper investigates not only conditional …
An empirical investigation of volatility dynamics in the cryptocurrency market
P Katsiampa - Research in International Business and Finance, 2019 - Elsevier
By employing an asymmetric Diagonal BEKK model, this paper examines volatility dynamics
of five major cryptocurrencies, namely Bitcoin, Ether, Ripple, Litecoin, and Stellar Lumen. It …
of five major cryptocurrencies, namely Bitcoin, Ether, Ripple, Litecoin, and Stellar Lumen. It …
[HTML][HTML] Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach
DA Bala, T Takimoto - Borsa Istanbul Review, 2017 - Elsevier
This paper investigates stock returns volatility spillovers in emerging and developed markets
(DMs) using multivariate-GARCH (MGARCH) models and their variants. In addition, we …
(DMs) using multivariate-GARCH (MGARCH) models and their variants. In addition, we …
How do oil price changes affect inflation in Central and Eastern European countries? A wavelet-based Markov switching approach
D Živkov, J Đurašković, S Manić - Baltic Journal of Economics, 2019 - Taylor & Francis
This paper investigates how oil price changes affect consumer price inflation in eleven
Central and Eastern European countries. We use a wavelet-based Markov switching …
Central and Eastern European countries. We use a wavelet-based Markov switching …
Regional integration of the East Asian stock markets: An empirical assessment
The aim of this paper is to study the dynamics of regional financial integration in East Asia
over the 1990: 01–2012: 08 period. To this end, we use the international capital asset …
over the 1990: 01–2012: 08 period. To this end, we use the international capital asset …
Asymmetric effect and dynamic relationships over the cryptocurrencies market
This study seeks to confirm the presence of contagion effect among cryptocurrencies and to
identify the process of its spreading To capture spillover dynamics, this study investigates …
identify the process of its spreading To capture spillover dynamics, this study investigates …
Good and bad high-frequency volatility spillovers among developed and emerging stock markets
Purpose This paper examines dynamic return spillovers and connectedness networks
among international stock exchange markets. The authors account for asymmetry by …
among international stock exchange markets. The authors account for asymmetry by …
African stock markets in the midst of the global financial crisis: recoupling or decoupling?
This paper examines whether African equity markets decoupled or recoupled from the 2008–
2009 Global Financial Crisis (GFC) and analyzes the implications of that for shocks spillover …
2009 Global Financial Crisis (GFC) and analyzes the implications of that for shocks spillover …
Does Volatility Spillover among Sectors Varies from Normal to Turbulent Periods? Evidence from Pakistan Stock Exchange
This study investigates how six financial market performances are affected by spillover
volatility sectors in both during and following the 2007 financial crisis in Pakistan. By offering …
volatility sectors in both during and following the 2007 financial crisis in Pakistan. By offering …
Knowledge capital and innovation across firms in asian economies: a balanced investment approach
The difference between knowledge capital and innovation and their combined impact on
firm market performance remains a puzzle. Firms can utilise their accumulated stock of …
firm market performance remains a puzzle. Firms can utilise their accumulated stock of …