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In this paper, we draw upon the close relationship between statistical physics and mathematical finance to develop a suite of models for financial bubbles and crashes. By modifying previous approaches, we are able to derive novel analytical formulae for evaluation problems and for the expected...
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Purpose: The authors develop new quantitative methods to estimate the level of speculation and long-term sustainability of Bitcoin and Blockchain. Design/methodology/approach: The authors explore the practical application of speculative bubble models to cryptocurrencies. They then show how the...
Persistent link: https://www.econbiz.de/10012277558
In this paper we develop a well-established financial model to investigate whether bubbles were present in opinion polls and betting markets prior to the UK's vote on EU membership on 23 June 2016. The importance of our contribution is threefold. Firstly, our continuous-time model allows for...
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Proposals specifically aimed at environmental benefits or enhancements are often exempt from environmental assessment, despite evidence that they can be counter-productive. This is true of agri-environmental schemes where local farm-scale actions are expected to generate large-area cumulative...
Persistent link: https://www.econbiz.de/10009001832
In this paper we employ a Markov-Switching EGARCH model to investigate the dynamic linkage between stock price volatility and exchange rate changes for four emerging countries over the period 1994-2009. Results distinguish between two different regimes in both the conditional mean and the...
Persistent link: https://www.econbiz.de/10009194602