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Pricing Cryptocurrency options: the case of CRIX and Bitcoin

Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Hou, Ai Jun; … - 2018

The CRIX (CRyptocurrency IndeX) has been constructed based on a number of cryptos and provides a high coverage of market liquidity, hu.berlin/crix. The crypto currency market is a new asset market and attracts a lot of investors recently. Surprisingly a market for contingent claims hat not been...

Persistent link: https://www.econbiz.de/10012433153

A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model

Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41

a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …

Persistent link: https://www.econbiz.de/10013459316

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

this area are the specification tests related to the correlation component, the extension of the general model to allow for …

Persistent link: https://www.econbiz.de/10014281494

Blockchain mechanism and distributional characteristics of cryptos

Lin, Min-Bin; Khowaja, Kainat; Chen, Cathy Yi-Hsuan; … - 2020

We investigate the relationship between underlying blockchain mechanism of cryptocurrencies and its distributional characteristics. In addition to price, we emphasise on using actual block size and block time as the operational features of cryptos. We use distributional characteristics such as...

Persistent link: https://www.econbiz.de/10012433271

CRIX an Index for cryptocurrencies

Trimborn, Simon; Härdle, Wolfgang Karl - 2020

The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its development became a difficult task with the success of cryptocurrencies (CCs) other than Bitcoin. For fiat currency...

Persistent link: https://www.econbiz.de/10012433253

How credible are shrinking wage elasticities of married women labour supply?

Qin, Duo; Van Huellen, Sophie; Wang, Qing-chao - In: Econometrics : open access journal 4 (2016) 1, pp. 1-31

This paper delves into the well-known phenomenon of shrinking wage elasticities for married women in the US over recent decades. The results of a novel model experimental approach via sample data ordering unveil considerable heterogeneity across different wage groups. Yet, surprisingly constant...

Persistent link: https://www.econbiz.de/10011411317

Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...

Persistent link: https://www.econbiz.de/10011411344

A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97

parameters are not available under general conditions, but rather only for special cases under highly restrictive and … unverifiable conditions. It is often argued heuristically that the reason for the lack of general statistical properties arises … (2) the reason for the lack of statistical properties of the estimators of EGARCH under general conditions is that the …

Persistent link: https://www.econbiz.de/10010392823

Outliers in semi-parametric estimation of treatment effects

Canavire-Bacarreza, Gustavo; Castro, Luis; Ontiveros, … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-32

Outliers can be particularly hard to detect, creating bias and inconsistency in the semi-parametric estimates. In this paper, we use Monte Carlo simulations to demonstrate that semi-parametric methods, such as matching, are biased in the presence of outliers. Bad and good leverage point outliers...

Persistent link: https://www.econbiz.de/10012547410

Cointegration and structure in Norwegian wage-price dynamics

Gjelsvik, Marit; Nymoen, Ragnar; Sparrman, Victoria - In: Econometrics : open access journal 8 (2020) 3/29, pp. 1-15

Wage coordination plays an important role in macroeconomic stabilization. Pattern wage bargaining systems have been common in Europe, but in different forms, and with different degrees of success in terms of actual coordination reached. We focus on wage formation in Norway, a small open economy,...

Persistent link: https://www.econbiz.de/10012265703