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Another Look at Cryptocurrency Bubbles
Gronwald, Marc - 2019
This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency … bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said … to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the …
Persistent link: https://www.econbiz.de/10012052849
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Another Look at Cryptocurrency Bubbles
Gronwald, Marc - 2019
This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency … bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said … to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the …
Persistent link: https://www.econbiz.de/10012866076
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10010274822
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Booms, busts and behavioural heterogeneity in stock prices
Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015
We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...
Persistent link: https://www.econbiz.de/10011301214
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Testing for parameter instability in competing modeling frameworks
Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - 2014
We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...
Persistent link: https://www.econbiz.de/10010229896
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Nominal and Real Wages in the UK, 1750 - 2015 : Mean Reversion, Persistence and Structural Breaks
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...
Persistent link: https://www.econbiz.de/10014243100
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469
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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413
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A quantile-based realized measure of variation : new tests for outlying observations in financial data
Bos, Charles S.; Janus, Paweł - 2013
Persistent link: https://www.econbiz.de/10010191207
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A time-varying parameter model for local explosions
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018
Locally explosive behavior is observed in many economic and financial time series when bubbles are formed. We introduce … be used to predict the emergence, existence and burst of bubbles. We adopt a flexible observation driven model …
Persistent link: https://www.econbiz.de/10011928329