Blockchain and cryptocurrencies have recently captured the interest of academics and those in industry. Cryptocurrencies are essentially digital currencies that use blockchain technology and cryptography to facilitate secure and anonymous transactions. The cryptocurrency market is currently...

Cryptocurrencies are essentially digital currencies that use blockchain technology and cryptography to facilitate secure and anonymous transactions. Many institutions and countries are starting to understand and implement the idea of cryptocurrencies in their business models. With this recent...

With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms...

We analyze statistical properties of the largest cryptocurrencies (determined by market capitalization), of which Bitcoin is the most prominent example. We characterize their exchange rates versus the U.S. Dollar by fitting parametric distributions to them. It is shown that returns are clearly...

Since the 2008 financial crisis, modeling of the extreme values of financial risk has become important. Postgraduate programs and PhD research programs in mathematical finance are cropping up in nearly every university. Additionally, many conferences are being held annually on the topic of...

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...

We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of firms is based on adequate liquidity and trading...

The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used the dynamic conditional correlation model with the mixed-data sampling (DCC-MIDAS) model for the analysis. The evidence demonstrates that herding is a key transmitter in Taiwan's...

This paper studies a repairable k-out-of-n:G system with failure dependencies, N-policy and repairman's multiple vacations. Whenever there are no broken components, the repairman leaves for a vacation which obeys a phase type distribution. Upon returning from his/her vacation, he/she takes...