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High frequency multiscale relationships among major cryptocurrencies : portfolio management implications

Mensi, Walid; Ur Rehman, Mobeen; Muhammad Shafiullah; … - In: Financial innovation : FIN 7 (2021), pp. 1-21

This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min-data. Empirical RWCC results indicate...

Persistent link: https://www.econbiz.de/10012705417

Frequency causality measures and Vector AutoRegressive (VAR) models : an improved subset selection method suited to parsimonious systems

Chorro, Christophe; Jay, Emmanuelle; De Peretti, Philippe; … - 2021

Persistent link: https://www.econbiz.de/10012668302

Regulatory Stress Tests and Bank Responses

Janda, Karel - 2020

In this paper, we investigate how the regulatory stress test framework in the European Union affects banks' investment decisions and portfolio choices. Using the causal inference and event study methodology, we document a substantial impact of EU-wide stress tests in 2011, 2014 and 2016 on the...

Persistent link: https://www.econbiz.de/10012824833

Empirical analysis of relationship between FPI and NIFTY returns

Kumar, Parul; Gupta, Sunil K.; Sharma, R. K. - In: Finance India : the quarterly journal of Indian … 34 (2020) 3, pp. 943-956

Persistent link: https://www.econbiz.de/10012792335

International portfolio diversification possibilities : can BRICS become a destination for US investors?

Pan, Lei; Mishra, Vinod - In: Applied economics 54 (2022) 20, pp. 2302-2319

Persistent link: https://www.econbiz.de/10012875942

Quantile causality between banking stock and real estate securities returns in the US

Albulescu, C. T.; Bouri, E.; Tiwari, Aviral Kumar; … - In: The quarterly review of economics and finance : journal … 78 (2020), pp. 251-260

Persistent link: https://www.econbiz.de/10012431274

Nexus between green bonds, financial and environmental indicators

Ngo Thai Hung - In: Economics and Business Letters : EBL 10 (2021) 3, pp. 191-199

Persistent link: https://www.econbiz.de/10012595353

Foreign portfolio investment flows and exchange rate : evidence in Indonesia

Anggitawati, Dyah; Irwan Adi Ekaputra - In: Emerging markets, finance and trade : EMFT 56 (2020) 2, pp. 260-274

Persistent link: https://www.econbiz.de/10012211447

Exploring the causal relationships and allocation puzzle between portfolio investments and real sector growth in Sub-Saharan Africa

Asamoah, Michael Effah; Alagidede, Imhotep Paul - In: Research in international business and finance 52 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012548548

Causal dynamics among foreign portfolio investment volatility, financial deepening and capital markets in low income countries

Mamvura, Kuziva; Sibanda, Mabutho; Rajaram, Rajendra - In: Spoudai : journal of economics and business 70 (2020) 1/2, pp. 20-38

This study investigated the directional linkages among net foreign portfolio investment volatility, financial deepening and capital market performance in low-income Southern African Development Community (SADC) countries employing a dynamic panel vector error correction model (P-VECM) on...

Persistent link: https://www.econbiz.de/10012295146