Narrow search
Showing 1 - 10 of 51,352
Cover Image
A study of the machine learning approach and the MGARCH-BEKK model in volatility transmission
Joshi, Prashant; Wang, Jinghua; Busler, Michael - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-9
This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI … negative shocks to returns impact the S&P500 and the cryptocurrency market more than the positive shocks on both markets. This … study also indicates evidence of unidirectional cross-market asymmetric volatility transmission from the cryptocurrency …
Persistent link: https://www.econbiz.de/10013163552
Cover Image
Bitcoin Risk Modeling With Blockchain Graphs
Akcora, Cuneyt - 2018
A key challenge for Bitcoin cryptocurrency holders, such as startups using ICOs to raise funding, is managing their FX … interactions in formation and dynamics of crypto-currency investment risk. In particular, we identify certain sub …
Persistent link: https://www.econbiz.de/10012919602
Cover Image
Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz
Cakir, Murat - Volkswirtschaftliche Fakultät, … - 2005
Recent financial crises and especially large corporate bankruptcies, have led bank managements and financial authorities to follow and monitor both financial and real sector risks, and to focus on firm failures. Bank of International Settlements, has therefore, taken the decision to include the...
Persistent link: https://www.econbiz.de/10011111559
Cover Image
Metcalfe's law and herding behaviour in the cryptocurrencies market
Pele, Daniel Traian; Mazurencu-Marinescu-Pele, Miruna - 2019
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...
Persistent link: https://www.econbiz.de/10011984445
Cover Image
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
Cover Image
Pricing Cryptocurrency options: the case of CRIX and Bitcoin
Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Hou, Ai Jun; … - 2018
The CRIX (CRyptocurrency IndeX) has been constructed based on a number of cryptos and provides a high coverage of … simulation price options. The jumps present in the cryptocurrency fluctutations are an essential component. Concrete examples are …
Persistent link: https://www.econbiz.de/10012433153
Cover Image
Cryptocurrencies, Metcalfe's law and LPPL models
Pele, Daniel Traian; Mazurencu-Marinescu-Pele, Miruna - 2018
In this paper we investigate the statistical properties of cryptocurrencies by using alpha-stable distributions. We also study the benefits of the Metcalfe's law (the value of a network is proportional to the square of the number of connected users of the system) for the evaluation of...
Persistent link: https://www.econbiz.de/10012433205
Cover Image
Price Discovery on Bitcoin Markets
Pagnottoni, Paolo - 2018
Trading of Bitcoin is spread about multiple venues where buying and selling is offered in various currencies. However, all exchanges trade one common good and by the law of one price, the different prices should not deviate in the long run. In this context we are interested in which platform is...
Persistent link: https://www.econbiz.de/10012908399
Cover Image
Pricing Cryptocurrency Options : The Case of Bitcoin and CRIX
Hou, Ai Jun - 2019
worldwide attention. The characteristics of the cryptocurrency/ BTC include a high level of speculation, extreme volatility and … proposed pricing mechanism underscores the importance of jumps in the cryptocurrency derivatives markets …
Persistent link: https://www.econbiz.de/10012899611
Cover Image
Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses
Bianchetti, Marco - 2018
consistent with the large crash (-30%) observed in the cryptocurrency markets between 17th and 22nd December 2017. Further study …
Persistent link: https://www.econbiz.de/10012931458