Paraskevi Katsiampa

Sheffield University Management School

17 Mappin Street

Sheffield, Sheffield S1 4DT

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

520

SSRN CITATIONS

6

CROSSREF CITATIONS

2

Scholarly Papers (7)

1.

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 184 (166,664)
Citation 4

Abstract:

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

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 119 (238,422)
Citation 2

Abstract:

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3.

Cryptocurrency Market Activity During Extremely Volatile Periods

Number of pages: 33 Posted: 02 Aug 2018
Paraskevi Katsiampa, Konstantinos Gkillas and Fran├žois Longin
Sheffield University Management School, University of Patras - Business Administration and ESSEC Business School
Downloads 117 (241,446)
Citation 1

Abstract:

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

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 82 (305,777)

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 12 (579,583)

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 - Business Administration, Sheffield University Management School, University of Lincoln and University of Nebraska at Omaha
Downloads 6 (618,615)

Abstract:

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contagion, Greek debt crisis, realized correlation, correlation jumps

7.

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
affiliation not provided to SSRN and Sheffield University Management School

Abstract:

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