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An investigation into the dependence structure of major cryptocurrencies

Saha, Kunal - 2018

This paper attempts to examine the dependence structure of four major cryptocurrencies chosen by current market capitalisation. It is a well known fact that there is huge volatility in the prices of these cryptocurrencies. The Vine Copula model is used to get some insights about the dependence...

Persistent link: https://www.econbiz.de/10011894386

Precautionary Liquidity Shocks, Excess Reserves and Business Cycles

Bratsiotis, George J.; Theodoridis, Konstantinos - 2021

This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance restrictions imposed. The shock proxies the banking sector's reluctance to lend to the real economy induced by an exogenous preference change for liquid assets. Through the lens of a DSGE...

Persistent link: https://www.econbiz.de/10012632159

A Longer-Term evaluation of Information releases by Influential market Agents and the Semi-strong market Efficiency

Agrrawal, Pankaj; Agarwal, Rajat - 2023

This paper is an evaluation of long-term cumulative returns (CAR's) based on Twitter broadcasts by highly influential market agents. We look at the information content of Elon Musk, CEO of SpaceX, Tesla and Twitter Inc. and the former US President Donald Trump. The principal objectives of this...

Persistent link: https://www.econbiz.de/10014317110

Jumps and Information Asymmetry in the US Treasury Market

Dumitru, Ana-Maria; Urga, Giovanni - 2016

This paper analyses the informational role of the trading activity when jumps occur in the US Treasury market. As jumps … mark the arrival of new information to the market, we explore the contribution of jumps in reducing the informational … asymmetry. We identify jumps using a combination of jump detection techniques. For all maturities, the trading activity is more …

Persistent link: https://www.econbiz.de/10011446868

Microfinance Institutions’ Efficiency in the MENA region: a Bootstrap-DEA approach

Ben Abdelkader, Ines; Hathroubi, Salem; Ben Jemaa, … - 2012

The purpose of this study is to evaluate the performance of microfinance institutions in The MENA region over the period 2006-2009. Following Simar and Wilson (1998, 2000) we use a DEA-Bootstrapping methodology to drift appropriate measures of DEA efficiency scores. The estimated results show...

Persistent link: https://www.econbiz.de/10010311607

Catching The Drivers of Inclusive Growth in Sub-Saharan Africa: An Application of Machine Learning

Ofori, Isaac Kwesi - 2021

A conspicuous lacuna in the literature on Sub-Saharan Africa (SSA) is the lack of clarity on variables key for driving and predicting inclusive growth. To address this, I train the machine learning algorithms for the Standard lasso, the Minimum Schwarz Bayesian Information Criterion (Minimum...

Persistent link: https://www.econbiz.de/10012582730

The impact of firm subsidies: Evaluating German regional policy

Alm, Bastian; Bade, Franz-Josef - 2009

Recently, the number of state interventions and of firm subsidies has largely increased. However, the possible outcome of such interventions is rather am-biguous. This paper investigates the impact of firm subsidies granted by Ger-man regional policy. The long experiences made with regional...

Persistent link: https://www.econbiz.de/10010421065