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Bitcoin Fluctuations and the Frequency of Price Overreactions

Caporale, Guglielmo Maria - 2019

This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...

Persistent link: https://www.econbiz.de/10012892294

Persistence in High Frequency Financial Data

Caporale, Guglielmo Maria; Plastun, Alex - 2022

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Persistent link: https://www.econbiz.de/10014242794

Learning, structural instability and present value calculations

Pesaran, Mohammad Hashem; Pettenuzzo, Davide; … - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10010276173

Green Bond Returns and the Dynamics of Green and Conventional Financial Markets: An Analysis Using a Thick Pen

Gronwald, Marc; Wadud, Sania - 2025

This paper explores the relationship between green bond markets and both green and conventional financial markets, while also evaluating their effectiveness as a climate finance instrument. Using the Thick Pen Measure of Association — a visually interpretable tool for analysing co-movement...

Persistent link: https://www.econbiz.de/10015398790

Connectedness between the Crude Oil Futures and Equity Markets During the Pre- and Post-Financialisation Eras

Wadud, Sania; Durand, Robert B. B.; Gronwald, Marc - 2021

volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures’ volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …

Persistent link: https://www.econbiz.de/10013218287

An extended macro-finance model with financial factors

Dewachter, Hans; Iania, Leonardo - 2010

spread while the return-forecasting (risk premium) factor is extracted by imposing a single factor structure on the one …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …

Persistent link: https://www.econbiz.de/10010266074

Reverse Bayesianism : Revising Beliefs in Light of Unforeseen Events

Becker, Christoph; Melkonyan, Tigran A.; Proto, Eugenio; … - 2021

Bayesian updating is the dominant theory of learning. However, the theory is silent about how individuals react to …

Persistent link: https://www.econbiz.de/10013227484

Rising to the Challenge : Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models

Delli Gatti, Domenico - 2019

We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...

Persistent link: https://www.econbiz.de/10012860573

Bayesian Estimation of Multivariate Panel Probits with Higher-Order Network Interdependence and an Application to Firms' Global Market Participation in Guangdong

Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - 2022

This paper proposes a Bayesian estimation framework for panel-data sets with binary dependent variables where a large number of cross-sectional units is observed over a short period of time, and cross-sectional units are interdependent in more than a single network domain. The latter provides...

Persistent link: https://www.econbiz.de/10013300866

Nonparametric Welfare Analysis for Discrete Choice : Levels and Differences of Individual and Social Welfare

Capéau, Bart; Maes, Sebastiaan; De Sadeleer, Liebrecht; … - 2021

Empirical welfare analyses often impose stringent parametric assumptions on individuals’ preferences and neglect unobserved preference heterogeneity. In this paper, we develop a framework to conduct individual and social welfare analysis for discrete choice that does not suffer from these...

Persistent link: https://www.econbiz.de/10013228344