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Bitcoin risk modeling with blockchain graphs
Akcora, Cuneyt Gurcan; Dixon, Matthew F.; Gel, Yulia R.; … - In: Economics letters 173 (2018), pp. 138-142
Persistent link: https://www.econbiz.de/10012022965
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The Venezuelan Financial System. What Compromises its Performance?
Ana Maria A. Chirinos L.; Pagliacci, Carolina - In: Revista de Analisis Economico – Economic Analysis Review 29 (2014) 2, pp. 47-74
The objective of this paper is to empirically test the deleveraging of the Venezuelan financial system at the event of two contractive shocks, a monetary and an oil shock, and to characterize the types of risks that arise in each case. Although these shocks have similar effects on interest rates...
Persistent link: https://www.econbiz.de/10011115422
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Long-range behaviour and correlation in DFA and DCCA analysis of cryptocurrencies
Costa, Natália; Silva, César; Ferreira, Paulo - In: International Journal of Financial Studies 7 (2019) 3, pp. 1-12
In recent years, increasing attention has been devoted to cryptocurrencies, owing to their great development and … valorization. In this study, we propose to analyse four of the major cryptocurrencies, based on their market capitalization and … evidence of persistence. When correlating Bitcoin with the other cryptocurrencies under analysis, we find that for short time …
Persistent link: https://www.econbiz.de/10013200229
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Cryptocurrencies and Blockchain in the financial field
Patricio Lozano, David - In: Revista de Métodos Cuantitativos para la Economía y … 34 (2022), pp. 328-358
In this article, we carry out a study about one of the most disruptive topics in recent times: cryptocurrencies … technology on which it is supported, cryptocurrencies are generating a greater impact on our lives, especially in the world of … finance. The main objective that we set ourselves is to delve into the knowledge of cryptocurrencies and the technology that …
Persistent link: https://www.econbiz.de/10014494394
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Long-range behaviour and correlation in DFA and DCCA analysis of cryptocurrencies
Costa, Natália; Silva, César; Ferreira, Paulo - In: International Journal of Financial Studies : open … 7 (2019) 3/51, pp. 1-12
In recent years, increasing attention has been devoted to cryptocurrencies, owing to their great development and … valorization. In this study, we propose to analyse four of the major cryptocurrencies, based on their market capitalization and … evidence of persistence. When correlating Bitcoin with the other cryptocurrencies under analysis, we find that for short time …
Persistent link: https://www.econbiz.de/10012150298
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Cryptocurrencies and Blockchain in the financial field
Patricio Lozano, David - In: Revista de métodos cuantitativos para la economía y … 34 (2022), pp. 328-358
In this article, we carry out a study about one of the most disruptive topics in recent times: cryptocurrencies … technology on which it is supported, cryptocurrencies are generating a greater impact on our lives, especially in the world of … finance. The main objective that we set ourselves is to delve into the knowledge of cryptocurrencies and the technology that …
Persistent link: https://www.econbiz.de/10013488578
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Modelos ARCH, GARCH y EGARCH: aplicaciones a series financieras
Monsegny, Marta Casas; Cepeda, Edilberto - In: REVISTA CUADERNOS DE ECONOMÍA (2008)
En este artículo se incluye una descripción de los modelos ARCH, GARCH y EGARCH, y de los procesos de estimación de sus parámetros usando máxima verosimilitud. Se propone un modelo alternativo para el análisis de series financieras y se estudian las series de precios y de retornos de las...
Persistent link: https://www.econbiz.de/10005603790
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Detecting and analysing possible outliers in global stock market returns
Shehadeh, Ali; Alwadi, Sadam M.; Almaharmeh, Mohammad I. - In: Cogent economics & finance 10 (2022) 1, pp. 1-14
We employ a Boxplot method for detecting and analyzing outlying daily returns of 14 international stock market indices sampled from around the world. The main objective of the paper is to provide an extensive analysis of the main characteristics, features and effects of the detected outlier...
Persistent link: https://www.econbiz.de/10013460047
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Indifference pricing of insurance contracts in a product space model
Møller, Thomas - In: Finance and Stochastics 7 (2003) 2, pp. 197-217
The financial variance and standard deviation principles of Schweizer (2001b) are applied for the valuation of insurance contracts. These principles are financial transformations of the classical actuarial variance and standard deviation principles and take into consideration the possibilities...
Persistent link: https://www.econbiz.de/10005390690
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Financial risk and political risk in mature and emerging financial markets
Jiang, Wenjiang; Wu, Zhenyu - In: Journal of Financial Transformation 25 (2009), pp. 15-18
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Persistent link: https://www.econbiz.de/10004985655