This study aims to investigate the spillover effects from geopolitical risks (proxied by the geopolitical risk index) and cryptocurrencies-related uncertainty (proxied by the Cryptocurrency Uncertainty Index) to cryptocurrencies. We utilize the Baruník and Křehlík (2018) framework to detect...

This policy brief investigates Sierra Leone's interest rate volatility, a recurring concern due to its economic instability. Using the ARDL model and bolstered by the stability exhibited in CUSUM and CUSUM square tests, we explore the impact of deposit and lending interest rates on money demand....

We investigate the problem of testing the finiteness of moments for a class of semi-parametric time series encompassing many commonly used specifications. The existence of positive-power moments of the strictly stationary solution is characterized by the Moment Determining Function (MDF) of the...

We examine if the day-of-the-week effect is present in Bitcoin return series. The model specification in use accounts for conditional heteroscedasticity, which is captured in the form of a stochastic volatility process that allows for periodic time-varying parameters. We find periodicity in...

We consider volume weighted average price (VWAP) as the 1st market-based statistical moment and derive the dependence of higher statistical moments of price on statistical moments and correlations of the values and volumes of market trades. If all trade volumes are constant during the averaging...