Zobrazeno 1 - 10
of 18
pro vyhledávání: '"Victor Troster"'
In this paper, we investigate the nonlinear dependence dynamics among eight cryptocurrencies (Monero, Bitcoin, Dash, Litecoin, Stellar, XRP, Ethereum, and Nem) by applying time-varying copulas. We also examine the upside and downside spillovers betwe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cb44b3d3936e9604cf2b4b24ce0d0db4
https://hdl.handle.net/10400.1/18961
https://hdl.handle.net/10400.1/18961
Autor:
Demian Nicolás Macedo, Victor Troster
Publikováno v:
Journal of Economic Interaction and Coordination. 16:705-746
Banks may be reluctant to remove bad loans from their portfolios during liquidity shortfalls, giving rise to a moral hazard problem. In this paper, we analyze how liquidity shortages affect the ability of the interbank market to provide liquidity in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ddea6a65b8314e75cb02d4339758c144
https://doi.org/10.1007/s11403-021-00326-5
https://doi.org/10.1007/s11403-021-00326-5
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 26:155-172
This paper examines how different uncertainty measures affect the unemployment level, inflow, and outflow in the U.S. across all states of the business cycle. We employ linear and nonlinear causality-in-quantile tests to capture a complete picture of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::254898dff17d84d6ae430d53ac935dda
https://doi.org/10.1515/snde-2019-0058
https://doi.org/10.1515/snde-2019-0058
Autor:
Victor Troster, Dominik Wied
Publikováno v:
Econometric Reviews. 40:109-127
This paper proposes a practical and consistent specification test of conditional distribution models for dependent data in a general setting. Our approach covers conditional distribution models ind...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b78b5afa137a969e00c52a33be79d51b
https://doi.org/10.1080/07474938.2020.1761151
https://doi.org/10.1080/07474938.2020.1761151
Publikováno v:
Journal of Empirical Finance. 56:42-73
We contribute to the literature by providing a more comprehensive understanding of the impact the euro has had on financial market integration with economies of different characteristics outside and within the European market via inclusion of market
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e14504357828747eee812359c695d472
https://doi.org/10.1016/j.jempfin.2019.10.005
https://doi.org/10.1016/j.jempfin.2019.10.005
Publikováno v:
International Review of Financial Analysis
The Australian financial sector (AFS) is highly concentrated and interconnected. Besides, Australian banks lending portfolios are dominated by residential mortgage loans, and 70% of insurance companies revenues arise from non-policyholder sources. Th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3eda6449c5cb89cfdfbaa4cb52289b6e
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-183246
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-183246
Publikováno v:
Finance Research Letters. 30:187-193
This paper performs a general GARCH and GAS analysis for modelling and forecasting bitcoin returns and risk. Since Bitcoin trading exhibits excess volatility compared with other securities, it is important to model its risk and returns. We consider h
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::976b01b174f20465604468ca25b5869b
https://doi.org/10.1016/j.frl.2018.09.014
https://doi.org/10.1016/j.frl.2018.09.014
Publikováno v:
Resources Policy. 62:482-495
In this paper, we perform a quantile regression analysis of flights-to-safety with the implied market volatilities of stock, gold, gold-mining, and silver. We verify whether flights-to-safety from US equities to gold are significant under different v
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dd1f7aab7fbeccdd87cee68e3cac79c7
https://doi.org/10.1016/j.resourpol.2018.10.004
https://doi.org/10.1016/j.resourpol.2018.10.004
Publikováno v:
Journal of forecasting, 2021, Vol.40(7), pp.1291-1309 [Peer Reviewed Journal]
This paper shows that lagged information transmission between industry port-folio and market prices entails cointegration. We analyze monthly industry portfolios in the US market for the period 1963–2015. We find cointegration between six industry
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c32fc03545965d3816910faa10212a7a
https://hdl.handle.net/10016/34747
https://hdl.handle.net/10016/34747
Publikováno v:
Economic Growth and Financial Development ISBN: 9783030790028
This chapter uncovers new insights on the dynamic volume–return relationship. We verify whether non-informational or informational trading can explain the volume–return relation in the three largest stock exchanges. We apply the cross-quantilogra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6a86d6e1a49339f0407c7490cd80fe15
https://doi.org/10.1007/978-3-030-79003-5_10
https://doi.org/10.1007/978-3-030-79003-5_10