Publications
58 Entries
2019
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Exogenous Drivers of Bitcoin and Cryptocurrency Volatility - A Mixed Data Sampling Approach to Forecasting , 2019, In: Journal of International Financial Markets, Institutions and Money. 63, p. 101-113, 13 p.Research output: Contribution to journal > Research article
2018
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Bitcoin is not the New Gold - A Comparison of Volatility, Correlation and Portfolio Performance , 2018, In: International Review of Financial Analysis. 59, p. 105-116, 12 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Trends and Contagion in WTI and Brent Crude Oil Spot and Futures Markets - The Role of OPEC in the last Decade , 2018, In: Energy Economics. 75, p. 636-646, 11 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH , 2018, In: Journal of risk and financial management : JRFM. 11, 2, 18Electronic (full-text) versionResearch output: Contribution to journal > Research article
2017
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Valuation of combined wind power plant and hydrogen storage: A decision tree approach , 14 Jul 2017, 2017 14th International Conference on the European Energy Market (EEM). IEEE Xplore, 6 p., 7981912Electronic (full-text) versionResearch output: Contribution to book/conference proceedings/anthology/report > Conference contribution
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Expected Shortfall in the Presence of Asymmetry and Long Memory: An Application to Vietnamese Stock Markets , 2017, In: Pacific Accounting ReviewElectronic (full-text) versionResearch output: Contribution to journal > Research article
2016
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Oil price volatility forecast with mixture memory GARCH , 1 Aug 2016, In: Energy Economics. 58, p. 46-58, 13 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data , 2016, In: Finance Research LettersElectronic (full-text) versionResearch output: Contribution to journal > Research article