In this article, we propose a new class of semiparametric instrumental variable models with partially varying coefficients, in which the structural function has a partially linear form and the impact of endogenous structural variables can vary over different levels of some exogenous variables....

Modeling the joint tails of multiple nancial time series has important implications for risk management. Classical models for dependence often encounter a lack of t in the joint tails, calling for additional exibility. In this paper we introduce a new nonparametric time-varying mixture copula...

Public interest, explosive returns, and diversification opportunities gave stimulus to the adoption of traditional financial tools to crypto-currencies. While the CRIX index offered the first scientifically-backed proxy to the crypto- market (analogous to S&P 500), the introduction of Bitcoin...

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...