Zobrazeno 1 - 10
of 76
pro vyhledávání: '"Akyıldırım, Erdinç"'
Yes
This paper explores the relationship between news media sentiment and spillover effects in the cryptocurrency market. By employing a time-varying parameter vector autoregressive model, we initially develop measures of spillover specific to i
This paper explores the relationship between news media sentiment and spillover effects in the cryptocurrency market. By employing a time-varying parameter vector autoregressive model, we initially develop measures of spillover specific to i
Externí odkaz:
http://hdl.handle.net/10454/19841
Yes
This paper investigates the influence that information asymmetry may possess upon the future volatility, liquidity, market toxicity and returns within cryptocurrency markets. We use the adverse selection component of the effective spread as
This paper investigates the influence that information asymmetry may possess upon the future volatility, liquidity, market toxicity and returns within cryptocurrency markets. We use the adverse selection component of the effective spread as
Externí odkaz:
http://hdl.handle.net/10454/19395
Yes
Following the global financial crisis, the measurement of counterparty credit risk has become an essential part of the Basel III accord with credit value adjustment being one of the most prominent components of this concept. In this study, w
Following the global financial crisis, the measurement of counterparty credit risk has become an essential part of the Basel III accord with credit value adjustment being one of the most prominent components of this concept. In this study, w
Externí odkaz:
http://hdl.handle.net/10454/19383
Employing a TVP-VAR dynamic connectedness analysis, we identify avenues through which the collapse of the FTX exchange manifested contagion effects throughout a number of financial markets. Results indicate that interaction effects become significant
Externí odkaz:
http://hdl.handle.net/10454/19607
Yes
We introduce a continuous time model for stock prices in a general factor representation with the noise driven by a geometric Brownian motion process. We derive the theoretical hitting probability distribution for the long-until-barrier stra
We introduce a continuous time model for stock prices in a general factor representation with the noise driven by a geometric Brownian motion process. We derive the theoretical hitting probability distribution for the long-until-barrier stra
Externí odkaz:
http://hdl.handle.net/10454/19603
We present convincing empirical results on the application of Randomized Signature Methods for non-linear, non-parametric drift estimation for a multi-variate financial market. Even though drift estimation is notoriously ill defined due to small sign
Externí odkaz:
http://arxiv.org/abs/2312.16448
Anomaly detection is the process of identifying abnormal instances or events in data sets which deviate from the norm significantly. In this study, we propose a signatures based machine learning algorithm to detect rare or unexpected items in a given
Externí odkaz:
http://arxiv.org/abs/2201.02441
Publikováno v:
In Tourism Management February 2025 106
Akademický článek
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Publikováno v:
In Energy Economics September 2022 113