Mathematical Modeling of Systemic Risk in Financial Networks: Managing...
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements...
View ArticleApplication of Principal Component Analysis in Chinese Sovereign Bond Market...
This paper analyses the Chinese Sovereign bond yield to find out the principal factors affecting the term structure of interest rate changes. We apply Principal Component Analysis (PCA) on our data...
View ArticleImitation in the Imitation Game. (arXiv:1911.06893v1 [cs.CY])
We discuss the objectives of automation equipped with non-trivial decision making, or creating artificial intelligence, in the financial markets and provide a possible alternative. Intelligence might...
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Jeroen Tas: ‘If we don’t look at the big picture, we can tweak...
When he bought large orders of light bulbs for his Winter Palace, the Russian Tsar became a high-profile customer of Philips, the Dutch multinational corporation founded in 1891 to produce just that:...
View ArticleTime-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the...
Publication date: Available online 18 November 2019Source: Finance Research LettersAuthor(s): Christina Christou, David Gabauer, Rangan GuptaAbstractIn this paper, we analyse the impact of uncertainty...
View ArticleWhen Bitcoin meets economic policy uncertainty (EPU): Measuring risk...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Gang-Jin Wang, Chi Xie, Danyan Wen, Longfeng ZhaoAbstractBitcoin was launched to solve the distrust and uncertainty...
View ArticleEditorial Board
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s):
View ArticleCEO pay disparity, chaebol affiliations, and implied cost of equity capital
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Hong-min ChunAbstracThis paper examines CEO pay disparity and its effect on the implied cost of equity capital...
View ArticleCryptocurrencies as financial bubbles: The case of Bitcoin
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Julian Geuder, Harald Kinateder, Niklas F. WagnerAbstractWe study bubble behavior in Bitcoin prices during the years...
View ArticlePatience in financial decisions and post-secondary education
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Na Young ParkAbstractUsing the survey data, this paper tests whether one's level of post-secondary education is...
View ArticleDeterminants of within and cross-country economic policy uncertainty...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Yonghong Jiang, Zixuan Zhu, Gengyu Tian, He NieAbstractWe use a relatively novel TVP-VAR method to calculate...
View ArticleLinkages between crude oil and emerging Asian stock markets: New evidence...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Imran Yousaf, Arshad HassanAbstractThis study examines returns and volatility spillover between crude oil and...
View ArticleSeasonality in cryptocurrencies
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Lars KaiserAbstractConsidering a relatively large cross-section of ten cryptocurrencies, we test for the existence...
View ArticleOptimal margin requirement
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Edina Berlinger, Barbara Dömötör, Ferenc IllésAbstractWe investigate the optimal level of margin requirement in...
View ArticleNeighbors matter: Geographical distance and trade timing in the stock market
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): KÈ©stutis Baltakys, Margarita BaltakienÄ, Hannu Kärkkäinen, Juho KanniainenAbstractThe starting point of this...
View ArticleThe day of the week effect in the cryptocurrency market
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Guglielmo Maria Caporale, Alex PlastunAbstractThis paper examines the day of the week effect in the cryptocurrency...
View ArticleDoes government support promote SME tax payments? New evidence from Vietnam
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Vu Van Huong, Ly Kim CuongAbstractThis paper examines whether governments can benefit from their support for firms...
View ArticleThe policy uncertainty and market volatility puzzle: Evidence from wavelet...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Aviral Kumar Tiwari, R.K. Jana, David RoubaudAbstractThis article communicates a new dimension on the relationship...
View ArticleAsset quality, debt maturity, and market liquidity
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Yaxian Gong, Xu WeiAbstractWe construct a model that endogenizes both the debt maturity choices of financial...
View ArticleShort and long-term interest rate risk: The sovereign balance-sheet nexus
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): António Afonso, José AlvesAbstractWe compute stock-flow adjustments (SFA) using sovereign balance sheet...
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