Cryptocurrencies, especially Bitcoin (BTC), which comprise a new revolutionary asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/ BTC include a high level of speculation, extreme volatility and price discontinuity. In this paper, we propose a...

It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...

Motivated by increment process modeling for two correlated random and non-random systems from a discrete-time asset pricing with both risk free asset and risky security, we propose a class of semi-parametric regressions for a combination of a non-random and a random system. Unlike classical...

We investigate the relationship between underlying blockchain mechanism of cryptocurren- cies 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 charac- teristics such...

The paper estimates banks' total factor efficiency (TFE) as well as TFE of each production factor by incorporating banks' overall risk endogenously into bank's production process as undesirable by-product in a Global-SMB Model. Our results show that, compared with a model incorporated with...

Many countries have taken non-pharmaceutical interventions (NPIs) to contain the spread of the coronavirus (COVID-19) and push the recovery of national economies. This paper investigates the effect of these control measures by comparing five selected countries, China, Italy, Germany, the United...

This paper considers a fast and effective algorithm for conducting functional principle component analysis with multivariate factors. Compared with the univariate case, our approach could be more powerful in revealing spatial connections or extracting important features in images. To facilitate...

This paper reviews some of the most popular policy evaluation methods in empirical microeconomics: social experiments, natural experiments, matching, instrumental variables, discontinuity design, and control functions. It discusses identification of traditionally used average parameters and more...

The S&P500 or DAX30 are important benchmarks for the financial industry. These and other indices describe different compositions of certain segments of the financial markets. For currency markets, the IMF offers the index SDR. Prior to the Euro, the ECU existed, which was an index representing...