A Comparative Analysis on Probability of Volatility Clusters on Cryptocurrencies, and FOREX Currencies
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Michael McAleer & Christian M. Hafner, 2014.
"A One Line Derivation of EGARCH,"
Econometrics, MDPI, vol. 2(2), pages 1-6, June.
- McAleer, M.J. & Hafner, C.M., 2014. "A One Line Derivation of EGARCH," Econometric Institute Research Papers EI2014-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- McAleer, Michael & Hafner, Christian, 2014. "A One Line Derivation of EGARCH," LIDAM Reprints ISBA 2014030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Documentos de Trabajo del ICAE 2014-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Working Papers in Economics 14/16, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Tinbergen Institute Discussion Papers 14-069/III, Tinbergen Institute.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2019. "A novel approach to detect volatility clusters in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
- Catania, Leopoldo & Proietti, Tommaso, 2020.
"Forecasting volatility with time-varying leverage and volatility of volatility effects,"
International Journal of Forecasting, Elsevier, vol. 36(4), pages 1301-1317.
- Leopoldo Catania & Tommaso Proietti, 2019. "Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects," CEIS Research Paper 450, Tor Vergata University, CEIS, revised 06 Feb 2019.
- Tan, Shay-Kee & Ng, Kok-Haur & Chan, Jennifer So-Kuen & Mohamed, Ibrahim, 2019. "Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 537-551.
- Koosakul, Jakree & Shim, Ilhyock, 2021. "The effects of asset price volatility on market participation: Evidence from the Thai foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 124(C).
- Ruipeng Liu & Riza Demirer & Rangan Gupta & Mark Wohar, 2020. "Volatility forecasting with bivariate multifractal models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 155-167, March.
- Cho, Jae-Beom & Min, Hong-Ghi & McDonald, Judith Ann, 2020. "Volatility and dynamic currency hedging," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
- Asai, Manabu & Gupta, Rangan & McAleer, Michael, 2020.
"Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks,"
International Journal of Forecasting, Elsevier, vol. 36(3), pages 933-948.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks," Working Papers 201951, University of Pretoria, Department of Economics.
- Belasen, Ariel R. & Demirer, Rıza, 2019. "Commodity-currencies or currency-commodities: Evidence from causality tests," Resources Policy, Elsevier, vol. 60(C), pages 162-168.
- Reus, Lorenzo & Carrasco, José A. & Pincheira, Pablo, 2020. "Do it with a smile: Forecasting volatility with currency options," Finance Research Letters, Elsevier, vol. 34(C).
- Rognone, Lavinia & Hyde, Stuart & Zhang, S. Sarah, 2020. "News sentiment in the cryptocurrency market: An empirical comparison with Forex," International Review of Financial Analysis, Elsevier, vol. 69(C).
- Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2017. "Does news matter in China’s foreign exchange market? Chinese RMB volatility and public information arrivals," International Review of Economics & Finance, Elsevier, vol. 52(C), pages 302-321.
- Su, Fei, 2021. "Conditional volatility persistence and volatility spillovers in the foreign exchange market," Research in International Business and Finance, Elsevier, vol. 55(C).
- Wen, Tiange & Wang, Gang-Jin, 2020. "Volatility connectedness in global foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 54(C).
- Dritsaki, Chaido, 2019. "Modeling the Volatility of Exchange Rate Currency using GARCH Model," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 72(2), pages 209-230.
- Afees A. Salisu & Oluwatomisinn Oyewole & Ismail O. Fasanya, 2017. "Modelling Return and Volatility Spillovers in Global Foreign Exchange Markets," Working Papers 030, Centre for Econometric and Allied Research, University of Ibadan.
- Ataurima Arellano, Miguel & Rodríguez, Gabriel, 2020. "Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Altan, Aytaç & Karasu, Seçkin & Bekiros, Stelios, 2019. "Digital currency forecasting with chaotic meta-heuristic bio-inspired signal processing techniques," Chaos, Solitons & Fractals, Elsevier, vol. 126(C), pages 325-336.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- David Alaminos & M. Belén Salas & Manuel Á. Fernández-Gámez, 2023. "Quantum Monte Carlo simulations for estimating FOREX markets: a speculative attacks experience," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-21, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Junru Zhang & Hadrian Geri Djajadikerta & Zhaoyong Zhang, 2018. "Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market," Sustainability, MDPI, vol. 10(10), pages 1-21, September.
- Huang, Zhigang & Zhang, Weilan, 2024. "Exploring the Spillover effects of tail risk fluctuations in the RMB exchange rate—The time-frequency and quantile connectivity perspective," Research in International Business and Finance, Elsevier, vol. 72(PB).
- Chia-Lin Chang & Yiying Li & Michael McAleer, 2018.
"Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice,"
Energies, MDPI, vol. 11(6), pages 1-19, June.
- Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Documentos de Trabajo del ICAE 2015-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Tinbergen Institute Discussion Papers 15-077/III, Tinbergen Institute.
- Chang, C-L. & Li, Y. & McAleer, M.J., 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Econometric Institute Research Papers EI2015-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Guillaume Gaetan Martinet & Michael McAleer, 2018.
"On the invertibility of EGARCH(p, q),"
Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 824-849, September.
- Martinet, G.G. & McAleer, M.J., 2014. "On the Invertibility of EGARCH," Econometric Institute Research Papers EI2014-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Martinet, G.G. & McAleer, M.J., 2015. "On the Invertibility of EGARCH(p,q)," Econometric Institute Research Papers EI 2015-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Documentos de Trabajo del ICAE 2015-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Working Papers in Economics 14/21, University of Canterbury, Department of Economics and Finance.
- Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Tinbergen Institute Discussion Papers 15-022/III, Tinbergen Institute.
- Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Tinbergen Institute Discussion Papers 14-096/III, Tinbergen Institute.
- Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Documentos de Trabajo del ICAE 2014-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019.
"Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?,"
International Review of Economics & Finance, Elsevier, vol. 59(C), pages 50-70.
- Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE 2016-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?," Tinbergen Institute Discussion Papers 16-006/III, Tinbergen Institute.
- Caporin, M. & Chang, C-L. & McAleer, M.J., 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Econometric Institute Research Papers EI2016-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Gong, Yuting & Li, Kevin X. & Chen, Shu-Ling & Shi, Wenming, 2020. "Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 136(C).
- Michael McAleer, 2014.
"Asymmetry and Leverage in Conditional Volatility Models,"
Econometrics, MDPI, vol. 2(3), pages 1-6, September.
- Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Tinbergen Institute Discussion Papers 14-125/III, Tinbergen Institute.
- McAleer, M.J., 2014. "Asymmetry and Leverage in Conditional Volatility Models," Econometric Institute Research Papers 77759, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Working Papers in Economics 14/24, University of Canterbury, Department of Economics and Finance.
- Kostyrka, Andreï & Malakhov, Dmitry, 2021. "Was there ever a shift: Empirical analysis of structural-shift tests for return volatility," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 110-139.
- Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016.
"Tourism stocks in times of crises: An econometric investigation of non-macro factors,"
Documentos de Trabajo del ICAE
2016-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2017-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors," Tinbergen Institute Discussion Papers 16-104/III, Tinbergen Institute.
- Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J., 2016. "Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors," Econometric Institute Research Papers TI 2016-104/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Viviane Naimy & José-María Montero & Rim El Khoury & Nisrine Maalouf, 2020. "Market Volatility of the Three Most Powerful Military Countries during Their Intervention in the Syrian War," Mathematics, MDPI, vol. 8(5), pages 1-21, May.
- Dey, Asim K. & Hoque, G.M. Toufiqul & Das, Kumer P. & Panovska, Irina, 2022. "Impacts of COVID-19 local spread and Google search trend on the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
- Tetsuya Takaishi, 2021. "Time-varying properties of asymmetric volatility and multifractality in Bitcoin," PLOS ONE, Public Library of Science, vol. 16(2), pages 1-21, February.
- Chang, Chia-Lin & McAleer, Michael, 2017.
"The correct regularity condition and interpretation of asymmetry in EGARCH,"
Economics Letters, Elsevier, vol. 161(C), pages 52-55.
- Chang, C-L. & McAleer, M.J., 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Econometric Institute Research Papers EI2017-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Michael McAleer, 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Documentos de Trabajo del ICAE 2017-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chia-Lin Chang & Michael McAleer, 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Tinbergen Institute Discussion Papers 17-056/III, Tinbergen Institute.
- Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018.
"Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices,"
Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
- Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE 2017-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers 16-014/III, Tinbergen Institute, revised 30 Jan 2017.
- Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers EI2016-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018.
"Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK,"
JRFM, MDPI, vol. 11(4), pages 1-25, September.
- Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Documentos de Trabajo del ICAE 2018-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers EI2018-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Shahzad, Syed Jawad Hussain & Hasan, Mudassar & Caporin, Massimiliano, 2023. "Asymmetric and time-frequency based networks of currency markets," Finance Research Letters, Elsevier, vol. 55(PB).
- Swarn Chatterjee & Amy Hubble, 2016. "Day-Of-The-Week Effect In Us Biotechnology Stocks — Do Policy Changes And Economic Cycles Matter?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-17, June.
- Salisu, Afees A. & Gupta, Rangan & Karmakar, Sayar & Das, Sonali, 2022.
"Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty,"
Resources Policy, Elsevier, vol. 75(C).
- Afees A. Salisu & Rangan Gupta & Sayar Karmakar & Sonali Das, 2021. "Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty," GRU Working Paper Series GRU_2021_017, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Afees A. Salisu & Rangan Gupta & Sayar Karmakar & Sonali Das, 2021. "Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty," Working Papers 202133, University of Pretoria, Department of Economics.
- Chang, Chia-Lin & Hsu, Hui-Kuang & McAleer, Michael, 2014.
"The impact of China on stock returns and volatility in the Taiwan tourism industry,"
The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 381-401.
- Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry," Working Papers in Economics 13/27, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry," Tinbergen Institute Discussion Papers 13-118/III, Tinbergen Institute.
- Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry," Documentos de Trabajo del ICAE 2013-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Aug 2013.
- Chang, C-L. & Hsu, H-K. & McAleer, M.J., 2013. "The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry," Econometric Institute Research Papers EI 2013-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chang, Chia-Lin & McAleer, Michael, 2019.
"The fiction of full BEKK: Pricing fossil fuels and carbon emissions,"
Finance Research Letters, Elsevier, vol. 28(C), pages 11-19.
- Chia-Lin Chang & Michael McAleer, 2018. "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Tinbergen Institute Discussion Papers 17-015/III, Tinbergen Institute.
- Chia-Lin Chang & Michael McAleer, 2018. "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Documentos de Trabajo del ICAE 2018-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
More about this item
Keywords
cryptocurrency; FOREX currencies; volatility clusters; volatility persistence; cryptocurrency market;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:308-:d:589162. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.