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Financial Econometrics - R Tutorial Guidance

Wang, Yizhi; Vigne, Samuel - 2021

Persistent link: https://www.econbiz.de/10013223934

Money demand function : a not-so-fond farewell in the light of financial development

Adil, Masudul Hasan; Hatekar, Neeraj R.; Fatima, Sana; … - In: Journal of economic integration : jei 37 (2022) 1, pp. 93-120

Persistent link: https://www.econbiz.de/10013366431

Repo Market – A Tool to Manage Liquidity in Financial Institutions

Nath, Golaka C. - 2015

Repo is used in India as an instrument for monetary policy by institutionalizing daily Liquidity Adjustment Facility (LAF) which allows banks and Primary Dealers to manage their liquidity needs. Liquidity stress in the market has an impact on the short term interest rate. Entities not having...

Persistent link: https://www.econbiz.de/10013034702

The Inverted Parabola World of Classical Quantitative Finance : Non-Equilibrium and Non-Perturbative Finance Perspective

Halperin, Igor - 2020

Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper...

Persistent link: https://www.econbiz.de/10012826182

Cryptocurrency Volatility Markets

Woebbeking, Fabian - 2020

By computing a volatility index (CVX) from cryptocurrency option prices, we analyze the market's expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative...

Persistent link: https://www.econbiz.de/10012829636

Unregulated Markets and Internet Financial Communication : Qualitative and Quantitative Approaches

Pozniak, Laetitia - 2014

This research examines voluntary financial communication on the Internet by companies quoted on Brussels' unregulated markets. In the absence of obligation to communicate, we wish to know if companies quoted on these markets are proactive regarding financial disclosure on their website? We also...

Persistent link: https://www.econbiz.de/10013047268

Volatility Spillovers Across NFTs News Attention and Financial Markets

Wang, Yizhi - 2022

The aim of this study is to investigate the volatility spillover connectedness between NFTs attention and financial markets. This paper firstly proposes a new direct proxy for the public's attention in the NFT market: the non-fungible tokens attention index (NFTsAI), based on 590m news stories...

Persistent link: https://www.econbiz.de/10013404368

The dynamics of asymmetry among fertility, income inequality and financial development in Bangladesh

Husain, Humaira - In: World development sustainability 1 (2022) 1, pp. 1-9

This research studies the extent of asymmetric responses of general fertility rate with financial development and income inequality in Bangladesh utilizing annual data from 1984-2019. We employ both linear and non- linear autoregressive distributed lag methodologies. Our study identifies a long...

Persistent link: https://www.econbiz.de/10013553635

Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …. -- Fractional integration ; long-range dependence ; fractional cointegration ; financial data …

Persistent link: https://www.econbiz.de/10009426696

Fractional Integration and Cointegration in US Financial Time Series Data

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2011

Persistent link: https://www.econbiz.de/10014183200

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