This study investigates the relationship between Emerging Markets Financial Stress Index (EMFSI) and currency returns, uncertainty and liquidity of eight emerging economies, using MODWT, Wavelet Coherence, TVP-VAR analyses. The results indicate that interactions become more pronounced during...

We develop a systemic risk indicator approach using a structural GARCH option-based default risk framework incorporating volatility clustering, variance risk premiums, along with distanceto-capital features. We apply our model to the U.S. banking sector, testing its explanatory and forecasting...

We comparatively assess drivers of DeFi token prices, testing the impact and connectedness between Bitcoin (as a cryptocurrency asset-class leader), Ethereum (as a platform for DeFi), and Google Trends (as a signal of investor attention). While we evidence varying causal linkages between Bitcoin...

In this study, we explore the regime-dependent impact of three investor sentiment proxies on the Non-Fungible Tokens (NFTs) market. To that end, first, we create an NFT crypto index and assign the following variables to represent investor sentiment: Google Trend (GT), Fear and Greed (FG) Index,...

The majority of NFTs utilize the platform of Ethereum blockchain to accommodate smart contract facilities. In this paper, we analyze if this technical dependence induces a financial linkage in the risk, return, and prices of these assets. As a robustness check, we also test the same relation...