Co-volatility dynamics in global cryptocurrency and conventional asset classes: a multivariate stochastic factor volatility approach
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DOI: 10.1108/sef-06-2023-0339
Abstract: Purpose This study aims to investigate the co-volatility patterns between cryptocurrencies and conventional asset classes across global markets, encompassing 26 global indices ranging from equities, commodities, real estate, currencies and bonds. Design/methodology/approach It used a… read more here.
Keywords: asset classes; asset; volatility; volatility dynamics ... See more keywords
Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach
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DOI: 10.2139/ssrn.2908937
Abstract: This study uses an endogenous Markov-switching framework to examine the interrelatedness of the volatility dynamics of the US and Korean markets. Previous literature assumes that the US market implied volatility index is exogenous to the… read more here.
Keywords: markov switching; endogenous markov; volatility; volatility dynamics ... See more keywords