We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the times of news announcements. In the...

Cryptocurrencies lack clear measures of fundamental values and are often associated with speculative bubbles. This paper introduces a new way of testing for speculative bubbles based on StockTwits sentiment, which is used as the transition variable in a smooth transition autoregression. The...

Alternative assets, defined by their low correlation with classical financial assets, have become an important investment vehicle in times of negative interest rates and in the aftermath of the global economic and financial crisis. Hedge funds increasingly invest in physical assets such as fine...

We provide an innovative methodological contribution to the measurement of returns on infrequently traded assets using a novel approach to repeat-sales regression estimation. The model for price indices we propose allows for correlation with other markets, typically with higher liquidity and...

Filtering has had a profound impact as a device of perceiving information and deriving agent expectations in dynamic economic models. For an abstract economic system, this paper shows that the foundation of applying the filtering method corresponds to the existence of a conditional expectation...

In presence of panel data, technical efficiency is used to compare the performances of Decision-Making Units (DMUs). The novelty of this paper is the consideration of the dependence between the two error terms in the case of panel data and the introduction of time effect models in the Stochastic...

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

This study provides an assessment of the R&D–patent relation of European pharmaceutical firms that are not flawed by endogeneity biases. Firms invest in R&D and generate latent knowledge which then manifests in observable patent outcomes through a Poisson model. The process of turning R&D into...

We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) and conditional on data from 10/2004 through 12/2016. We apply a novel data-based identification approach of the...

In ecology, the concept of predation describes interdependent patterns of having one species (called the predator) killing and consuming another (the prey). Specifying the so-called functional response of prey populations to predation is an important matter of debate which is typically addressed...