Browsing by Subject "High frequency analysis"
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Item Open Access Correction to: High frequency multiscale relationships among major cryptocurrencies: portfolio management implications(SpringerOpen, 2021-10-29) Mensi, Walid; Rehman, Mobeen Ur; Shafiullah, Muhammad; Al-Yahyaee, Khamis Hamed; Şensoy, AhmetThis paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min—data. Empirical RWCC results indicate mostly positive co-movements and long-term memory between the cryptocurrencies, especially between Bitcoin, Ethereum, and Monero. The nonlinear Granger causality tests reveal dual causation between most of the cryptocurrency pairs. We advance evidence to improve portfolio risk assessment, and hedging strategies.Item Open Access Impact of portfolio flows and heterogeneous expectations on FX jumps: evidence from an emerging market(Elsevier, 2020) Şensoy, Ahmet; Serdengeçti, S.Motivated by the recent currency crisis in Turkey, we investigate the role of portfolio flows and heterogeneous expectations on the high frequency stochastic jump behavior of the US dollar value against the Turkish lira, one of the most traded emerging market currencies in the world. We group the detected jumps into different types with respect to their direction (up and down) and timing (local and off-shore trading hours). For each type of jumps, we examine their relation with portfolio flows (in the form of equity and bond flows, and carry trade activity), and dispersion in beliefs for the future exchange rate level and key macroeconomic variables. We find that inflows to both equity and bond markets, and increasing carry trade activity significantly reduce the size of jumps and (partially) their intensity. On the other hand, heterogeneous expectations for the future exchange rate level, consumer price index and gross domestic product are found to increase the number of jumps and the average jump size.