An application of Bayesian vector heterogeneous autoregressions to study network interlinkages of the crude oil and gold, stock, and cryptocurrency markets during the COVID-19 outbreak. [PDF]
Environ Sci Pollut Res Int, 2023 Ha LT.
europepmc +1 more source
Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function
International Statistical Review, EarlyView.Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler +3 more
wiley +1 more source
The impact of COVID-19 on cryptocurrency markets: A network analysis based on mutual information. [PDF]
PLoS One, 2022 Hong MY, Yoon JW.
europepmc +1 more source
JCMS: Journal of Common Market Studies, EarlyView.Abstract The future of money is a crucial issue in the digital age, and the emergence of central bank digital currencies (CBDCs) is widely recognised as a transformative development. However, despite its significant implications for monetary sovereignty, regulatory governance and strategic autonomy, we know relatively little about the political ...
Sebastian Heidebrecht
wiley +1 more source
Herding intensity and volatility in cryptocurrency markets during the COVID-19. [PDF]
Financ Res Lett, 2022 Evrim Mandaci P, Cagli EC.
europepmc +1 more source
Central Bank Digital Currency with Collateral‐Constrained Banks
Journal of Money, Credit and Banking, EarlyView.Abstract We analyze risks to bank intermediation following the introduction of a central bank digital currency (CBDC) competing with commercial bank deposits as households' source of liquidity. We revisit the equivalence of payment systems result, introducing a collateral constraint on banks' borrowing from the central bank.
HANFENG CHEN, MARIA ELENA FILIPPIN
wiley +1 more source
Impact of sustainability uncertainty on the volatility dynamics of digital asset class
Journal of Open Innovation: Technology, Market and ComplexityThe association between cryptocurrency and sustainability is a complex and growing topic. Given that such linkage requires a continuous investigation, this empirical research, unlike the existing literature, explores if the volatility dynamics of digital
Anupam Dutta
doaj +1 more source
The impact of cryptocurrency on the efficient frontier of emerging markets
Croatian Review of Economic, Business and Social Statistics, 2019 Cryptocurrencies are a sweltering topic in modern times of investment strategies. Since the cryptocurrency market is classified as an emerging market, in this paper a portfolio of emerging markets is compiled from the indices of four European Union (EU ...
Ćosić Karlo, Časni Anita Čeh
doaj +1 more source
Green Bond Paper Topics, Journal Metrics and Post‐publication Diffusion
Journal of Economic Surveys, EarlyView.ABSTRACT Green bonds are important financial instruments in sustainable finance, generating a rapidly expanding academic literature. This paper identifies the topics analyzed in green bond academic research and examines how these topics are associated with journal and post‐publication diffusion metrics. Using 1048 paper abstracts published between 2015
Paraic McGee, Tom Egan, Sheila O'Donohoe
wiley +1 more source
Cryptocurrency trading: A systematic mapping study
International Journal of Information Management Data InsightsCryptocurrency's unique features – decentralisation, anonymity, and diversification – have propelled it into the spotlight, attracting both investors and researchers despite its relative youth compared to traditional markets.
Duy Thien An Nguyen, Ka Ching Chan
doaj +1 more source