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Modelling volatility of cryptocurrencies using Markov-switching GARCH models

Caporale, Guglielmo Maria; Zekokh, Timur - 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/10011882344

The economics of bitcoins : market characteristics and price jumps

Gronwald, Marc - 2014

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/10010464707

Bitcoin fluctuations and the frequency of price overreactions

Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018

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/10011922057

A theory of price adjustment under loss aversion

Ahrens, Steffen; Pirschel, Inske; Snower, Dennis J. - 2014

We present a new partial equilibrium theory of price adjustment, based on consumer loss aversion. In line with prospect … theory, the consumers' perceived utility losses from price increases are weighted more heavily than the perceived utility … an otherwise standard dynamic neoclassical model of monopolistic competition. The resulting theory of price adjustment is …

Persistent link: https://www.econbiz.de/10010354159

Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes

Gollier, Christian - 2012

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

Persistent link: https://www.econbiz.de/10009689360

Housing market dynamics : on the contribution of income shocks and credit constraints

Ortalo-Magné, François; Rady, Sven - 2001

This paper presents a dynamic theory of housing market fluctuations. It develops a life-cycle model where households …

Persistent link: https://www.econbiz.de/10011398664

Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018 - This version: July 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/10011888693

Long memory and data frequency in financial markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …

Persistent link: https://www.econbiz.de/10011619676

On the frequency of price overreactions

Caporale, Guglielmo Maria; Plastun, Alex - 2018

This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial Index over the period 1990-2017. It uses two different methods (static and dynamic) to detect overreactions and then carries out various statistical tests (both parametric and...

Persistent link: https://www.econbiz.de/10011844559

On the equivalence of private and public money

Brunnermeier, Markus Konrad; Niepelt, Dirk - 2019

When does a swap between private and public money leave the equilibrium allocation and price system unchanged? To answer this question, the paper sets up a generic model of money and liquidity which identifies sources of seignorage rents and liquidity bubbles. We derive sufficient conditions for...

Persistent link: https://www.econbiz.de/10012033128