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Bitcoin Fluctuations and the Frequency of Price Overreactions
Caporale, Guglielmo Maria - 2019
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...
Persistent link: https://www.econbiz.de/10012892294
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Asset Pricing and the Carbon Beta of Externalities
Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2021
Climate policy needs to set incentives for actors who face imperfect, distorted markets and large uncertainties about the costs and benefits of abatement. Investors price uncertain assets according to their expected return and risk (carbon beta). We study carbon pricing and financial incentives...
Persistent link: https://www.econbiz.de/10013214337
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012837673
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Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us
Haase, Felix; Neuenkirch, Matthias - 2021
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...
Persistent link: https://www.econbiz.de/10013250734
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Liberalization and Stock Market Co-Movement between Emerging Economies
Beine, Michel A. R.; Candelon, Bertrand - 2021
In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms which aim at opening these countries to trade and...
Persistent link: https://www.econbiz.de/10013316796
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Aggregate Insider Trading and Stock Market Volatility in the UK
Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023
This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …
Persistent link: https://www.econbiz.de/10014347820
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Persistence in High Frequency Financial Data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10014242794
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Macroeconomics and the Environment : A Selective Survey
Sen, Partha - 2020
? National income accounts do not take into account non-market activities. Some progress has been made in the theory and …
Persistent link: https://www.econbiz.de/10012839360
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Rising to the Challenge : Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models
Delli Gatti, Domenico - 2019
We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...
Persistent link: https://www.econbiz.de/10012860573
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Macroeconomics with a Thick Pen
Gronwald, Marc; Jin, Xin - 2023
This paper introduces two co-movement measures based on the Thick Pen Transform into the macroeconomic literature: the Thick Pen Measure of Association (TPMA) as well as Multi-Thickness Thick Pen Measure of Association (MTTPMA). Both measures are non-parametric, time-varying, and flexible....
Persistent link: https://www.econbiz.de/10014356480