Results 61 to 70 of about 16,930 (267)
The explosion in cryptocurrencies: a black hole analogy
Financial Innovation, 2021 Using an analogy between finance and astrophysics, this study aims to investigate whether there exists a mechanism that can describe the explosive increase in the number of traded cryptocurrencies and the cryptocurrency market in general. In physics, the
Antonis Ballis, Konstantinos Drakos
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Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions
Canadian Journal of Statistics, EarlyView.Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni +2 more
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Cryptocurrencies as a Threat to U.S. Homeland Security Interests
LawsThe use of cryptocurrencies in transnational criminal activities has grown in recent years. The scholarly literature on cryptocurrencies recognizes this trend.
Austen D. Givens
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Intraday Functional PCA Forecasting of Cryptocurrency Returns
Journal of Forecasting, EarlyView.ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
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Beyond Bitcoin: A Taxonomy of Cryptocurrencies in a Historical Perspective
Финансы: теория и практикаThe field of cryptocurrencies is in existence and dynamically evolving for over 14 years. Each year introduces new cryptocurrencies, with their total number exceeding 8,500. However, to date, there is no exhaustive categorization of cryptocurrencies that
K. D. Shilov, A. V. Zubarev
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Journal of Forecasting, EarlyView.ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu +3 more
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Human Behavior and Emerging TechnologiesThe technological revolution of the last decades has revolutionized economic interactions, introducing new paradigms like e-banking and cryptocurrencies.
Mirko Duradoni +4 more
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Time‐Varying Skewness–Kurtosis Dynamics in Bitcoin Markets
Journal of Futures Markets, EarlyView.ABSTRACT This paper examines the relationship between skewness and kurtosis in Bitcoin spot and futures markets using high‐frequency data. We document a strong convex skewness–kurtosis relationship consistent with theoretical moment restrictions. Trading activity is positively associated with realized kurtosis, particularly in futures markets, though ...
Ariston Karagiorgis, Antonis Ballis
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International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the impact of regulatory controls on Bitcoin's excess returns and volatility. The paper innovates by proxying changes in the regulatory environment using global Google search volume intensity data. The generated regulatory indices accurately identify episodes of regulatory tightening within cryptocurrency markets.
Robert Mullings
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Predicting Fluctuations in Cryptocurrency Transactions Based on User Comments and Replies. [PDF]
PLoS ONE, 2016 This paper proposes a method to predict fluctuations in the prices of cryptocurrencies, which are increasingly used for online transactions worldwide. Little research has been conducted on predicting fluctuations in the price and number of transactions ...
Young Bin Kim +6 more
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