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Financial technology and the future of banking
Broby, Daniel - In: Financial innovation : FIN 7 (2021), pp. 1-19
This paper presents an analytical framework that describes the business model of banks. It draws on the classical theory of banking and the literature on digital transformation. It provides an explanation for existing trends and, by extending the theory of the banking firm, it illustrates how...
Persistent link: https://www.econbiz.de/10012594546
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Liquidity connectedness in cryptocurrency market
Hasan, Mudassar; Naeem, Muhammad Abubakr; Arif, Muhammad; … - In: Financial innovation : FIN 8 (2022), pp. 1-25
sample of six major cryptocurrencies, namely, Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Ripple (XRP), Monero (XMR), and … Dash. Our static analysis reveals a moderate liquidity connectedness among our sample cryptocurrencies, whereas BTC and LTC …
Persistent link: https://www.econbiz.de/10012798833
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Time-frequency co-movement and risk connectedness among cryptocurrencies : new evidence from the higher-order moments before and during the COVID-19 pandemic
Cui, Jinxin; Maghyereh, Aktham I. - In: Financial innovation : FIN 8 (2022), pp. 1-56
cryptocurrencies before and during the COVID-19 pandemic in both the time and frequency domains. We combine the realized moment … other cryptocurrencies is stronger than that of the realized skewness, realized kurtosis, and signed jump variation. The … comovements among cryptocurrencies are both time-dependent and frequency-dependent. Besides the volatility spillovers, the risk …
Persistent link: https://www.econbiz.de/10013413114
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Time-varying spillovers in high-order moments among cryptocurrencies
Azimli, Asil - In: Financial innovation : FIN 10 (2024), pp. 1-39
This study uses high-frequency (1-min) price data to examine the connectedness among the leading cryptocurrencies (i ….e. Bitcoin, Ethereum, Binance, Cardano, Litecoin, and Ripple) at volatility and high-order (third and fourth orders in this paper … exception, the Russia-Ukraine War did not increase the total connectedness among cryptocurrencies. Analysis of third- and fourth …
Persistent link: https://www.econbiz.de/10014540286
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On the factors of Bitcoin's value at risk
Kwon, Ji Ho - In: Financial innovation : FIN 7 (2021), pp. 1-31
This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the … conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin's 5% and 1 …% VaR. For the 5% VaR, quantity variables, such as Bitcoin trading volume and monetary policy rate, were positively …
Persistent link: https://www.econbiz.de/10012798684
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Forecasting and trading cryptocurrencies with machine learning under changing market conditions
Sebastião, Helder Miguel Correia Virtuoso; Godinho, … - In: Financial innovation : FIN 7 (2021), pp. 1-30
This study examines the predictability of three major cryptocurrencies-bitcoin, ethereum, and litecoin-and the … robust techniques for exploring the predictability of cryptocurrencies and for devising profitable trading strategies in …
Persistent link: https://www.econbiz.de/10012418483
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Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets
Qarni, Muhammad Owais; Gulzar, Saiqb - In: Financial innovation : FIN 7 (2021), pp. 1-37
This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign … horizon spillover among Bitcoin markets and foreign exchange pairs for six major trading currencies (US dollar, euro, Japanese … yen, British pound sterling, Australian dollar, and Canadian dollar). Bitcoin is found to provide significant portfolio …
Persistent link: https://www.econbiz.de/10012495114
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Distributed ledger technology for securities clearing and settlement : benefits, risks, and regulatory implications
Priem, Randy - In: Financial innovation : FIN 6 (2020) 11, pp. 1-25
This article outlines the benefits and risks of the distributed ledger technology (DLT) for the clearing and settlement of exchange-traded and OTC securities, followed by a description of the technology’s potential role for central counterparties and central securities depositories. Although...
Persistent link: https://www.econbiz.de/10012268588
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Connectedness of cryptocurrency markets to crude oil and gold : an analysis of the efect of COVID-19 pandemic
Foroutan, Parisa; Lahmiri, Salim - In: Financial innovation : FIN 10 (2024), pp. 1-23
cryptocurrencies. Our fndings reveal that during the COVID 19 pandemic, gold is a strong safe-haven for Bitcoin, Litecoin, and Monero …. This paper investigates the connectedness between the 10 most traded cryptocurrencies and gold as well as crude oil markets … while demonstrating a weaker safe-haven potential for Bitcoin Cash, EOS, Chainlink, and Cardano. In contrast, gold only …
Persistent link: https://www.econbiz.de/10014547259
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Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach
Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36
This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...
Persistent link: https://www.econbiz.de/10014532413