The determinants of price discovery on bitcoin markets

Autor: Oliver Entrop, Bart Frijns, Marco Seruset

Publikováno v: Journal of Futures Markets, 40(5), 816-837. Wiley-Liss Inc.
Entrop, O, Friijns, B P M & Seruset, M 2020, ' The determinants of price discovery on bitcoin markets ', Journal of Futures Markets, vol. 40, no. 5, pp. 816-837 . https://doi.org/10.1002/fut.22101

This paper investigates whether market quality, uncertainty, investor sentiment and attention, and macroeconomic news affect bitcoin price discovery in spot and futures markets. Over the period December 2017–March 2019, we find significant time var

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f50391280aa62ef747901cc5657888ab
https://doi.org/10.1002/fut.22101

Corporate Social Responsibility, Risk, and Firm Value: An Unconditional Quantile Regression Approach

Autor: Oliver Entrop, Carl-Friederich Grösbrink

Publikováno v: SSRN Electronic Journal.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::bc1c3c3f7a8fad10758311faf5f90e85
https://doi.org/10.2139/ssrn.4201545

Looking beyond banks’ average interest rate risk: Determinants of high exposures

Autor: L. von la Hausse, Marco Wilkens, Oliver Entrop

Publikováno v: The Quarterly Review of Economics and Finance. 63:204-218

This paper studies the magnitude and determinants of interest rate risk (IRR) of listed U.S. bank holding companies. As our first contribution, we test whether banks avoid exposures to IRR as prescribed in classic bank hedging literature. To do so, w

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f0763068126b1ca3ac54693800683766
https://doi.org/10.1016/j.qref.2016.04.008

Market makers’ optimal price-setting policy for exchange-traded certificates

Autor: Stefanie Baller, Oliver Entrop, Michael McKenzie, Marco Wilkens

Publikováno v: Journal of Banking & Finance. 71:206-226

This paper presents the first theoretical model of the profit maximizing price-setting policy for the issuers of exchange-traded retail certificates. Unlike previous theoretical microstructure models, the market considered is unique in that the marke

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::db72498af207bcfcce10efbcff72e121
https://doi.org/10.1016/j.jbankfin.2016.04.012

A new methodology to derive a bank's maturity structure using accounting-based time series information

Autor: Marco Wilkens, Oliver Entrop, Alexander Zeisler, Christoph Memmel

Publikováno v: Operations Research Proceedings ISBN: 9783540699941
OR

While over the past few years both banking supervisors and researchers have focussed their attention on banks’ credit risk, the spotlight is now being turned again on interest rate risk. One reason for this is its character as a kind of systemic ri

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::66f0a11e7a859d19bbd463e2ed980e28
https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/44679