Cryptocurrency volatility: A review, synthesis, and research agenda
This paper takes part in the ongoing debate on the newly emerging field of financial
technology by systematically reviewing 164 articles on cryptocurrency volatility during the …
technology by systematically reviewing 164 articles on cryptocurrency volatility during the …
Shaking stability: COVID-19 impact on the Visegrad Group countries' financial markets
The recent outbreak of the coronavirus pandemic has made a significant impact on the
global financial markets. The aim of this paper is to assess the short-term reaction of the …
global financial markets. The aim of this paper is to assess the short-term reaction of the …
Properties of returns and variance and the implications for time series modelling: Evidence from South Africa
This paper investigates the properties of South African stock returns and the underlying
variance. The investigation into the properties of stock returns and the behaviour of the …
variance. The investigation into the properties of stock returns and the behaviour of the …
Simulating and assessing carbon markets: Application to the Korean and the EU ETSs
M Jang, S Yoon, S Jung, B Min - Renewable and Sustainable Energy …, 2024 - Elsevier
Abstract Emissions Trading Systems (ETS) play a critical role in determining the carbon
price through market mechanisms, enabling us to assess financial risks faced by participants …
price through market mechanisms, enabling us to assess financial risks faced by participants …
Tail dependence structure of the foreign exchange market: A network view
Tail dependence of financial entities describes when the price of one financial asset has an
extreme fluctuation (eg, price sharply rises or falls), the degree of its effect on the price …
extreme fluctuation (eg, price sharply rises or falls), the degree of its effect on the price …
[BOOK][B] Financial market bubbles and crashes: features, causes, and effects
HL Vogel - 2018 - books.google.com
Economists broadly define financial asset price bubbles as episodes in which prices rise
with notable rapidity and depart from historically established asset valuation multiples and …
with notable rapidity and depart from historically established asset valuation multiples and …
Regime switching vine copula models for global equity and volatility indices
H Fink, Y Klimova, C Czado, J Stöber - Econometrics, 2017 - mdpi.com
For nearly every major stock market there exist equity and implied volatility indices. These
play important roles within finance: be it as a benchmark, a measure of general uncertainty …
play important roles within finance: be it as a benchmark, a measure of general uncertainty …
Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis
The main purpose of this study is to analyze the interactive linkages between the sharia
stocks and sukuk (Islamic bonds) in the Gulf Cooperation Countries (GCC), using the …
stocks and sukuk (Islamic bonds) in the Gulf Cooperation Countries (GCC), using the …
Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
JW Taylor - Journal of Banking & Finance, 2022 - Elsevier
A joint model for the Value at Risk (VaR) and expected shortfall (ES) can be estimated using
a joint scoring function. Previous work has modelled the ES as the product of the VaR and a …
a joint scoring function. Previous work has modelled the ES as the product of the VaR and a …
An examination of the risk-return relation in the Australian housing market
CL Lee - International Journal of Housing Markets and Analysis, 2017 - emerald.com
Purpose Extensive studies have investigated the relation between risk and return in the
stock and major asset markets, whereas little studies have been done for housing …
stock and major asset markets, whereas little studies have been done for housing …