Paraskevi Katsiampa

Sheffield University Management School

17 Mappin Street

Sheffield, Sheffield S1 4DT

United Kingdom

  • Sheffield University Management School

SCHOLARLY PAPERS

8

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1,113

SSRN CITATIONS
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in Total Papers Citations

32

CROSSREF CITATIONS

2

Scholarly Papers (8)

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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, Hellenic Mediterranean University and ESSEC Business School
Downloads 301 (140,634)
Citation 3

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

2.

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 274 (154,748)
Citation 9

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

3.

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 269 (157,754)
Citation 4

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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 141 (280,797)
Citation 10

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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 71 (439,532)
Citation 8

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

6.

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 31 (617,091)
Citation 1

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7.

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
Konstantinos Gkillas, Paraskevi Katsiampa, Dimitrios I. Vortelinos and Mark E. Wohar
Hellenic Mediterranean University, Sheffield University Management School, University of Lincoln and University of Nebraska at Omaha
Downloads 26 (649,801)

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contagion, Greek debt crisis, realized correlation, correlation jumps

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

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