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Metcalfe's law and log-period power laws in the cryptocurrencies market
Pele, Daniel Traian; Mazurencu-Marinescu-Pele, Miruna - In: Economics: The Open-Access, Open-Assessment E-Journal 13 (2019) 2019-29, pp. 1-26
In this paper the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe's law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's law...
Persistent link: https://www.econbiz.de/10012007754
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Does the hashrate affect the bitcoin price?
Fantazzini, Dean; Kolodin, Nikita - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-29
This paper investigates the relationship between the bitcoin price and the hashrate by disentangling the effects of the energy efficiency of the bitcoin mining equipment, bitcoin halving, and of structural breaks on the price dynamics. For this purpose, we propose a methodology based on...
Persistent link: https://www.econbiz.de/10012611505
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A fast, accurate method for value-at-risk and expected shortfall
Krause, Jochen; Paolella, Marc S. - In: Econometrics 2 (2014) 2, pp. 98-122
A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves the use...
Persistent link: https://www.econbiz.de/10010421303
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Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets
Duță, Violeta - In: Financial Studies 22 (2018) 1 (79), pp. 64-86
In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily frequency for European and US financial markets. In the study we included fourteen stock indices (twelve Europeans and two Americans), during March 2013 - January 2017. The results...
Persistent link: https://www.econbiz.de/10012484762
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Causality between economic policy uncertainty and real housing returns in emerging economies: A cross-sample validation approach
Aye, Goodness C. - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-16
This paper examines whether economic policy uncertainty (EPU) causes real housing returns in 8 emerging economies for which EPU data are available namely: Brazil, Chile, China, India, Ireland, Russia, South Africa and South Korea. Quarterly data were used for the analysis. The study uses...
Persistent link: https://www.econbiz.de/10011988855
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Exchange rate and oil price interactions in selected CEE countries
Drachal, Krzysztof - In: Economies 6 (2018) 2, pp. 1-21
This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according...
Persistent link: https://www.econbiz.de/10012009834
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Estimating output gap: A beauty contest approach
Cuerpo, Carlos; Cuevas, Ángel; Quilis, Enrique M. - In: SERIEs - Journal of the Spanish Economic Association 9 (2018) 3, pp. 275-304
Over the last decades, the estimation of the slack in the economy has become an essential piece of analysis for policymakers, both on the monetary policy and the fiscal policy front. Output gap estimation techniques have flourished accordingly, although there is no consensus on a best-performing...
Persistent link: https://www.econbiz.de/10011994621
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Financial big data solutions for state space panel regression in interest rate dynamics
Toczydlowska, Dorota; Peters, Gareth W. - In: Econometrics 6 (2018) 3, pp. 1-45
A novel class of dimension reduction methods is combined with a stochastic multi-factor panel regression-based state-space model in order to model the dynamics of yield curves whilst incorporating regression factors. This is achieved via Probabilistic Principal Component Analysis (PPCA) in which...
Persistent link: https://www.econbiz.de/10011995227
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Automatic time series modeling and forecasting: a replication case study of forecasting real GDP, the unemployment rate and the impact of leading economic indicators
Guerard, John Baynard; Thomakos, Dimitrios D.; Kyriazi, … - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-20
rolling windows and report considerable forecast error reductions. The adaptive averaging autoregressive model forecast ADA …-AR and the adaptive learning forecast, ADL, produced the smallest root-mean-square errors and lowest mean absolute errors …
Persistent link: https://www.econbiz.de/10012657604
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Short-term inflation projections model and its assessment in Latvia
Bessonovs, Andrejs; Krasnopjorovs, Olegs - In: Baltic Journal of Economics 21 (2021) 2, pp. 184-204
This paper builds a short-term inflation projections (STIP) model for Latvia. The model is designed to forecast highly … Modelling Approach to Cointegration Analysis. Econometric Society Monographs, 31, 371-413.]. We assess the forecast accuracy of … STIP model using out-of-sample forecast exercise and show that our model outperforms both aggregated and disaggregated AR(1 …
Persistent link: https://www.econbiz.de/10013470760