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Connectedness between central bank digital currency index, financial stability and digital assets

Journal of International Financial Markets, Institutions and Money
This study examines the interconnectedness between central bank digital currencies (CBDC) index, digital assets and financial stability. First, we use the CBDC index as a measure of financial stability and examine its connectedness with other known ...
Issam Malki, Tugba Bas
exaly   +2 more sources

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The Financial Assets of Non-Financial Firms

SSRN Electronic Journal, 2020
We construct a novel panel dataset to provide new evidence on how the largest nonfinancial firms manage the composition of their financial assets. Over the past decade, bond portfolios have grown to be at least as large as cash-like instruments, driven by the meteoric rise of corporate bond holdings.
Olivier Darmouni, Lira Mota
openaire   +1 more source

Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks

, 2020
We investigate the relationship between Bitcoin and conventional financial assets from a perspective on the connectedness of asset networks. We adopt the method of measuring connectedness proposed by Diebold and Yilmaz (2009, 2012, and 2014) in a VAR ...
Ting Zeng, Mengying Yang, Yifan Shen
semanticscholar   +1 more source

Tail dependence between Bitcoin and financial assets: Evidence from a quantile cross-spectral approach

, 2020
Using daily price data for Bitcoin and 10 representative financial assets from the stock, commodity, gold, foreign exchange and bond markets from 2011 to 2019, we study the tail dependence between returns for Bitcoin and these other financial assets ...
A. Maghyereh, Hussein Abdoh
semanticscholar   +1 more source

Dynamic Clustering of Financial Assets

2014
In this work we propose a procedure for time-varying clustering of financial time series. We use a dissimilarity measure based on the lower tail dependence coefficient, so that the resulting groups are homogeneous in the sense that the joint bivariate distributions of two series belonging to the same group are highly associated in the lower tail.
DE LUCA, GIOVANNI, ZUCCOLOTTO P.
openaire   +4 more sources

Elder Financial Asset Management

2012
The prudent management of older people's financial assets is fundamental to ensuring choice, dignity, and well-being in older age. Families play an important role in assisting older people to manage assets, though these practices have often remained a hidden part of family care. Australian research has demonstrated extensive family involvement in asset
Chui, WH, Setteriund, D, Tilse, C, Woo, J, Wilson, J, Chan, HC   +5 more
openaire   +5 more sources

Characteristics of Financial Asset Holdings and Changes in Financial Asset Selection

Japanese Economy, 1998
In Japan—accompanied by the financial "Big Bang"—a financial system of global standards is expected to be established by 2001. If this kind of financial system, equal to that of the United States and England, can be established, asset choices for individuals and depositors who are the end-users of financial system will be widened, and their economic ...
openaire   +1 more source

Hedging bitcoin with other financial assets

Finance Research Letters, 2019
We compute optimal hedge ratios between bitcoin and other financial assets by using conditional volatility estimates of different GARCH models for a period over January 03, 2011 to February 19, 2018.
Debdatta Pal, S. Mitra
semanticscholar   +1 more source

Household Financial Assets

2013
We examine household involvement in financial markets in terms of bank deposits, stocks, bonds, funds, derivatives, and other financial products.
Li Gan, Zhichao Yin, Nan Jia, Shu Xu, Shuang Ma, Lu Zheng   +5 more
openaire   +1 more source

Pricing of Financial Assets

2013
This chapter closes the first part of the book which is on financial modeling and state price deflator construction. We give several examples of valuation of cash flows and basis financial instruments of the financial market, and we model and price defaultable bonds and derivatives of underlying financial instruments such as European put and call ...
Mario V. Wüthrich, Michael Merz
openaire   +1 more source