Paraskevi Katsiampa

Sheffield University Management School

17 Mappin Street

Sheffield, Sheffield S1 4DT

United Kingdom

SCHOLARLY PAPERS

8

DOWNLOADS

1,588

SSRN CITATIONS
Rank 14,334

SSRN RANKINGS

Top 14,334

in Total Papers Citations

103

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Cryptocurrency Market Activity During Extremely Volatile Periods

Number of pages: 33 Posted: 02 Aug 2018
Paraskevi Katsiampa, Konstantinos Gkillas and François Longin
Sheffield University Management School, University of Patras - Department of Management Science and Technology and ESSEC Business School
Downloads 459 (118,904)
Citation 3

Abstract:

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Bitcoin, Cryptocurrency, Trading Volume, Return-Volume Dependence, Extreme Returns

2.

Asymmetric Mean Reversion of Bitcoin Price Returns

Number of pages: 29 Posted: 24 Aug 2018
Shaen Corbet and Paraskevi Katsiampa
Dublin City University and Sheffield University Management School
Downloads 371 (151,801)
Citation 12

Abstract:

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3.

An Empirical Investigation of Volatility Dynamics in the Cryptocurrency Market

Number of pages: 29 Posted: 16 Jul 2018
Paraskevi Katsiampa
Sheffield University Management School
Downloads 350 (161,844)
Citation 9

Abstract:

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Bitcoin, Cryptocurrency, Asymmetric Diagonal BEKK, MGARCH, Volatility, Conditional Correlations

4.

Volatility Spillover Effects in Leading Cryptocurrencies: A BEKK-MGARCH Analysis

Number of pages: 12 Posted: 03 Sep 2018
Paraskevi Katsiampa, Shaen Corbet and Brian M. Lucey
Sheffield University Management School, Dublin City University and Trinity Business School, Trinity College Dublin
Downloads 188 (299,211)
Citation 10

Abstract:

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Bitcoin; Ether; Litecoin; Volatility Spillovers; BEKK-MGARCH

5.

High Frequency Volatility Co-Movements in Cryptocurrency Markets

Number of pages: 31 Posted: 24 Sep 2019
Paraskevi Katsiampa, Shaen Corbet and Brian M. Lucey
Sheffield University Management School, Dublin City University and Trinity Business School, Trinity College Dublin
Downloads 111 (458,085)
Citation 8

Abstract:

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Cryptocurrencies; High-frequency data; Asymmetric Diagonal BEKK; MGARCH; Volatility

6.

Greek Government-Debt Crisis Events and European Financial Markets: Surprises of Greek Bond Yields and Inter-Relations of European Financial Markets

Number of pages: 21 Posted: 13 Aug 2019
University of Patras - Department of Management Science and Technology, Sheffield University Management School, University of Lincoln and University of Nebraska at Omaha
Downloads 55 (689,218)

Abstract:

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contagion, Greek debt crisis, realized correlation, correlation jumps

7.

Measuring Quantile Dependence and Testing Directional Predictability between Bitcoin, Altcoins and Traditional Financial Assets

Number of pages: 53 Posted: 02 Feb 2021
Shaen Corbet, Paraskevi Katsiampa and Chi Keung Marco Lau
Dublin City University, Sheffield University Management School and Teesside University
Downloads 54 (695,065)
Citation 1

Abstract:

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8.

Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis

Journal of Real Estate Finance and Economics (2019)
Posted: 22 May 2019
Kyriaki Begiazi and Paraskevi Katsiampa
Oxford Brookes University and Sheffield University Management School

Abstract:

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UK regions; House prices; Structural break; Volatility; MGARCH; BEKK