The GJR-GARCH and EGARCH option pricing models which incorporate the Piterbarg methodology [PDF]
Advances in Economics, Business and Management Research, 2017 Sven T. von Boetticher +1 more
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A Framework for Cryptocurrency Volatility Prediction Based on Cross-Correlation Analysis Using Deep Learning [PDF]
International Journal of Information and Communication Technology ResearchThe popularity of cryptocurrencies has intensified the need for accurate volatility prediction models. This research proposes a novel approach to enhance conditional variance predictions for cryptocurrencies.
Masoud Omidvari Abarghouie +3 more
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COVID-19 and stock returns: Evidence from the Markov switching dependence approach. [PDF]
Res Int Bus Finance, 2023 Bouteska A, Sharif T, Abedin MZ.
europepmc +1 more source
Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk. [PDF]
Resour Policy, 2022 Syuhada K +4 more
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A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model. [PDF]
Ann Oper Res, 2023 Song M, Sui Z, Zhao X.
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Stock market volatility from the Covid-19 pandemic: New evidence from the Asia-Pacific region. [PDF]
Heliyon, 2022 Vo DH, Ho CM, Dang TH.
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The linkage between Bitcoin and foreign exchanges in developed and emerging markets. [PDF]
Financ Innov, 2023 BenSaïda A.
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Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]
Entropy (Basel)Than HT.
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Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets. [PDF]
Comput Econ, 2022 Harb E, Bassil C, Kassamany T, Baz R.
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Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]
PLoS OneZeng J, Wu J.
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