Search Results - "Koutmos, Dimitrios"

Return and volatility spillovers among cryptocurrencies by Koutmos, Dimitrios

“…This paper measures interdependencies among 18 major cryptocurrencies and shows that (i) Bitcoin is the dominant contributor of return and volatility…”
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Market risk and Bitcoin returns by Koutmos, Dimitrios

“…Bitcoin is emerging as a distinct asset class among investors given its seemingly detached price behavior relative to market and economic fundamentals. Its…”
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Herding and feedback trading in cryptocurrency markets by King, Timothy, Koutmos, Dimitrios

“…ABSTRACT This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies. Using sample…”
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Intertemporal asset pricing with bitcoin by Koutmos, Dimitrios, Payne, James E.

“…This paper develops and tests an intertemporal regime-switching asset pricing model characterized by heterogeneous agents that have different expectations…”
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In search of winning mutual funds in the Chinese stock market by Koutmos, Dimitrios, Wu, Bochen, Zhang, Qi

“…This paper provides a methodological approach, based on the false discovery rate (FDR) of Barras et al. (J Finance 65(1):179–216, 2010 …”
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Cryptocurrency Trading and Downside Risk by Iqbal, Farhat, Zahid, Mamoona, Koutmos, Dimitrios

“…Since the debut of cryptocurrencies, particularly Bitcoin, in 2009, cryptocurrency trading has grown in popularity among investors. Relative to other…”
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Forecasting Bitcoin Volatility Using Hybrid GARCH Models with Machine Learning by Zahid, Mamoona, Iqbal, Farhat, Koutmos, Dimitrios

“…The time series movements of Bitcoin prices are commonly characterized as highly nonlinear and volatile in nature across economic periods, when compared to the…”
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Higher Co-Moment CAPM and Hedge Fund Returns by Knif, Johan, Koutmos, Dimitrios, Koutmos, Gregory

“…This paper uses a higher moment capital asset pricing model to characterize the returns of several types of hedge fund indices. The quantile regression…”
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A Novel Hybrid Deep Learning Method for Accurate Exchange Rate Prediction by Iqbal, Farhat, Koutmos, Dimitrios, Ahmed, Eman A., Al-Essa, Lulwah M.

“…The global foreign exchange (FX) market represents a critical and sizeable component of our financial system. It is a market where firms and investors engage…”
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Bitcoin returns and transaction activity by Koutmos, Dimitrios

“…This paper examines the empirical linkages between Bitcoin returns and transaction activity. Extant literature shows Bitcoin prices may be detached from…”
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Liquidity uncertainty and Bitcoin’s market microstructure by Koutmos, Dimitrios

“…This paper provides a novel measure of liquidity uncertainty for Bitcoin using bid–ask spread data from Bitfinex − one of the largest and most liquid Bitcoin…”
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Investor sentiment and bitcoin prices by Koutmos, Dimitrios

“…Using a rich data set of transaction-level buy and sell orders from the major digital currency exchange Coinbase, we formulate a measure for investor sentiment…”
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Interdependencies between CDS spreads in the European Union: Is Greece the black sheep or black swan? by Koutmos, Dimitrios

“…This paper dissects the dynamic interdependencies between credit default swap spreads among several European Union (EU) countries (Belgium, Bulgaria, Croatia,…”
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Asset pricing factors and bank CDS spreads by Koutmos, Dimitrios

“…•This paper tests whether asset pricing factors explain bank CDS spreads.•It uses a quantile regression approach for periods of high and low credit risk.•There…”
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ESG crypto coins: speculative assets, or, the future of green money? by King, Timothy, Koutmos, Dimitrios

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Is there a Positive Risk‐Return Tradeoff? A Forward‐Looking Approach to Measuring the Equity Premium by Koutmos, Dimitrios

“…This article revisits the puzzling time‐series relation between risk and return on the stock market portfolio. It replaces the standard ex post mean returns…”
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Using Operational and Stock Analytics to Measure Airline Performance: A Network DEA Approach by Zhang, Qian, Koutmos, Dimitrios, Chen, Kun, Zhu, Joe

“…ABSTRACT The majority of extant studies that focus on performance and efficiency benchmarking of firms utilize only operational measures while neglecting to…”
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Hedging uncertainty with cryptocurrencies: Is bitcoin your best bet? by Koutmos, Dimitrios, King, Timothy, Zopounidis, Constantin

“…Are cryptocurrencies useful minimum‐variance hedging instruments? This paper develops a two‐step analytical framework to explore this question across time…”
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Does investor sentiment really matter? by Chau, Frankie, Deesomsak, Rataporn, Koutmos, Dimitrios

“…We examine the role sentiment plays and its manifestation in the trading behavior of investors in the U.S. stock market. Our findings support the notion that…”
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An intertemporal capital asset pricing model with heterogeneous expectations by Koutmos, Dimitrios

“…► This paper examines the impact of heterogeneous investors in G-7 stock markets. ► This paper shows evidence of fundamental investor trading in the stock…”
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