The CRIX (CRyptocurrency IndeX) has been constructed based on a number of cryptos and provides a high coverage of market liquidity, hu.berlin/crix. The crypto currency market is a new asset market and attracts a lot of investors recently. Surprisingly a market for contingent claims hat not been...

In the work a characterization of difference of multivariate Gaussian measures is found on the family of centered Eucledian balls. In particular, it helps to derive (xx see paper).

IV regression in the context of a re-sampling is considered in the work. Comparatively, the contribution in the development is a structural identication in the IV model. The work also contains a multiplier-bootstrap justication.

A daily systemic risk measure is proposed accounting for links and mutual dependencies between financial institutions utilising tail event information. FRM (Financial Risk Meter) is based on Lasso quantile regression designed to capture tail event co-movements. The FRM focus lies on...

We investigate the relationship between underlying blockchain mechanism of cryptocurrencies and its distributional characteristics. In addition to price, we emphasise on using actual block size and block time as the operational features of cryptos. We use distributional characteristics such as...