Now showing items 1-5 of 5
The development of Bitcoin futures: exploring the interactions between cryptocurrency derivatives
We utilise a high-frequency analysis to investigate the period surrounding the establishment of two new futures contracts based on the performance of Bitcoin. Our analysis shows that there have been significant pricing ...
The relationship between implied volatility and cryptocurrency returns
We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. ...
Riding the wave of crypto-exuberance: the potential misusage of corporate blockchain announcements
Cryptocurrencies have been broadly scrutinised in recent times for a host of concerning regulatory and cybercriminality issues. Although steps have been taken to promote regulatory sufficiency in the near future, we examine ...
Fitting vast dimensional time-varying covariance models
(Taylor and Francis, 2021)
Estimation of time-varying covariances is a key input in risk management and asset allocation. ARCH-type multivariate models are used widely for this purpose. Estimation of such models is computationally costly and ...
The financial market effects of international aviation disasters
The spread of misinformation with regards to aviation disasters continues to be a point of concern for aviation companies. Much of this information usually surrounds speculation based on the cause and responsibility ...