Showing 1 - 10 of 186
More and more companies start offering digital payment systems. Smartphones evolve to a digital wallet such that it seems like we are about to enter the era of digital finance. In fact we are already inside an digital economy. The market of e-x (x = "finance", "money", "book", you name it . . ....
Persistent link: https://www.econbiz.de/10011349496
The S&P500 or DAX30 are important benchmarks for the financial industry. The first mimics the performance of the major US on the NYSE, AMEX and NASDAQ, while the second does the same for the German Prime Share sector. These and other indices describe different compositions of certain segments of...
Persistent link: https://www.econbiz.de/10011481648
Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have a low liquidity compared to traditional assets, one needs to take into account liquidity issues when one puts them into the same portfolio. We...
Persistent link: https://www.econbiz.de/10011672439
Crypto-currencies have developed a vibrant market since bitcoin, the rst crypto-currency, was created in 2009. We look at the properties of cryptocurrencies as financial assets in a broad cross-section. We discuss approaches of altcoins to generate value and their trading and information...
Persistent link: https://www.econbiz.de/10011544978
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...
Persistent link: https://www.econbiz.de/10003633572
Persistent link: https://www.econbiz.de/10003633608
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10003633683
High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different...
Persistent link: https://www.econbiz.de/10003633687
We consider two semiparametric models for the weight function in a bias sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of...
Persistent link: https://www.econbiz.de/10003633700
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