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A Statistical Risk Assessment of Bitcoin and Its Extreme Tail Behaviour
Osterrieder, Joerg - 2018
We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics … the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying … these properties is necessary. Our findings show that the bitcoin return distribution not only exhibits higher volatility …
Persistent link: https://www.econbiz.de/10012935265
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Are There Rational Bubbles in the US Stock Market? Overview and a New Test
Bhar, Ramaprasad; Malliaris, A. (Tassos) G. - 2008
value. Although there are several important theoretical issues surrounding the topic of asset bubbles, the existence of … bubbles is inherently an empirical issue that has not been settled yet. This paper reviews several important tests and offers …
Persistent link: https://www.econbiz.de/10014047907
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Returns, volatility and the cryptocurrency bubble of 2017-18
Cross, Jamie; Hou, Chenghan; Trinh, Kelly - In: Economic modelling 104 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013164208
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Impact of Per Capita Income on Exchange Rate with Regression Tool
Khan, Muhammad Asim - 2010
In this article we test the relationship between per capita income differential and exchange rate differential between two different economic background countries. Recent researches have been done on the testing of international Fisher effect, Interest rate, GDP growth rate and purchasing power...
Persistent link: https://www.econbiz.de/10013136531
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The Dynamic Effects of Money : Combining Short-Run and Long-Run Identifying Restrictions Using Bayesian Techniques
Lastrapes, William D. - 2001
This paper proposes a Bayesian approach to incorporating specification and identification uncertainty into a VAR analysis of the dynamic effects of money supply shocks on the macroeconomy. The approach follows Poirier (1991) in averaging over discrete model specifications in forming posterior...
Persistent link: https://www.econbiz.de/10014068724
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Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus; Ou, Yangguoyi - 2009
We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying...
Persistent link: https://www.econbiz.de/10010303741
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Anchoring the yield curve using survey expectations
Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...
Persistent link: https://www.econbiz.de/10010368212
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Anchoring the yield curve using survey expectations
Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2014
The dynamic behaviour of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...
Persistent link: https://www.econbiz.de/10011605677
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Analyzing interest rate risk : stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus; Ou, Yangguoyi - 2009
We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying...
Persistent link: https://www.econbiz.de/10003864095
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Volatility estimates of the short term interest rate with an application to German data
Dankenbring, Henning - 1998
This paper proposes a procedure for testing alternative specifications of the short term interest rate's dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the traditional test statistic has a non-standard distribution. Moreover, we do...
Persistent link: https://www.econbiz.de/10009578570