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The Economics of Bitcoins -- Market Characteristics and Price Jumps

Gronwald, Marc - 2015

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10013030485

Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models

Caporale, Guglielmo Maria - 2018

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

Persistent link: https://www.econbiz.de/10012910938

Networks of Volatility Spillovers Among Stock Markets

Baumohl, Eduard - 2017

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

Persistent link: https://www.econbiz.de/10012954361

Dissecting Characteristics Nonparametrically

Freyberger, Joachim - 2017

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10012958874

Dissecting Characteristics Nonparametrically

Freyberger, Joachim - 2018

We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10012910613

The Role of the Log Transformation in Forecasting Economic Variables

Luetkepohl, Helmut - 2009

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...

Persistent link: https://www.econbiz.de/10012764276

The Economics of Bitcoins - Market Characteristics and Price Jumps

Gronwald, Marc - CESifo - 2014

Persistent link: https://www.econbiz.de/10011099050

Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks

Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2021

This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...

Persistent link: https://www.econbiz.de/10013317060

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …

Persistent link: https://www.econbiz.de/10012756639

A Characterization of Oil Price Behavior - Evidence from Jump Models

Gronwald, Marc - 2021

This paper is concerned with the statistical behavior of oil prices in two ways. It, firstly, applies a combined jump GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its empirical results to implications of Hotelling-type resource...

Persistent link: https://www.econbiz.de/10013315950

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