Published in Molecular Autism
Background According to Bayesian hypotheses, individuals with Autism Spectrum Disorder (ASD) have difficulties making accurate predictions about their environment. In particular, the mechanisms by which they assign precision to predictions or sensory inputs would be suboptimal in ASD. These mechanisms are thought to be mostly mediated by glutamate ...
Published in Environmental Science and Pollution Research International
With the monthly data of WTI oil price and economic policy uncertainty (EPU) of China from January 2000 to August 2020, this paper detailedly investigates the asymmetric volatility correlations between two types of EPU of China and global oil price in different time scales. The empirical results demonstrate that the volatility correlation between E...
Published in Review of Derivatives Research
This paper investigates the relation between Treasury futures market volatility and economic policy uncertainty using GARCH-MIDAS. We formulated models with the realized volatility of Treasury futures, the level and volatility of economic policy uncertainty. We find that the realized volatility of Treasury futures and economic policy uncertainty pl...
Published in Accounting & Finance
This paper investigates the effect of COVID‐19 on the global stock market. Specifically, we test whether the growth in the number of confirmed cases/deaths affects market quality, measured by return, realised volatility, jumps and co‐jumps for 43 stock indices around the world. We find that an increase in the growth rate of the number of confirmed ...
Published in Economic Analysis and Policy
This paper aims to investigate the COVID-19 pandemic impacts on the interconnectedness between the Chinese stock market and major financial and commodity markets—gold, silver, Bitcoin, WTI, S&P 500, and Euro STOXX 50—and analyze the portfolio design implications. Using daily data from 2018 to 2021, we first apply the wavelet power spectrum (WPS) to...
Published in SN Business & Economics
This paper provides a review of the literature on key matters related to the popular cryptocurrency Bitcoin. Another key motivation of this paper is to understand the underlying principle of this digital currency from the economic and financial point of view. For the survey to be comprehensive, the paper is categorized into varied themes: price dyn...
Published in Nonlinear Dynamics
Did the pattern of US stock market volatility change due to COVID-19 or have the US stock markets been less volatile despite the pandemic shock? And as for tech stocks, are they even less volatile than the market overall? In this paper, we provide evidence in favor of a “quietness” in the stock markets, interrupted by COVID-19, by analyzing dispers...
Published in Magnetic Resonance Imaging
Background The assumption that functional magnetic resonance imaging (fMRI) noise has constant volatility has recently been challenged by studies examining heteroscedasticity arising from head motion and physiological noise. The present study builds on this work using latest methods from the field of financial mathematics to model fMRI noise volati...
International audience
We examine the presence and the severity of closing price manipulation across two regulatory shifts in the close price determination mechanism in the Athens stock exchange. First, we assess the transition from a value-weighted average price (VWAP) method to a plain-vanilla closing call auction method (CCAM). Second, we examine the effectiveness of ...
