[HTML][HTML] The effects of central bank digital currencies news on financial markets
Based on coverage of over 660m news stories from LexisNexis News & Business between
2015–2021, we provide two new indices around the growing area of Central Bank Digital …
2015–2021, we provide two new indices around the growing area of Central Bank Digital …
[HTML][HTML] Volatility impacts on the European banking sector: GFC and COVID-19
This paper analyses the volatility transmission between European Global Systemically
Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional …
Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional …
Implied volatility indices–A review
AP Fassas, C Siriopoulos - The Quarterly Review of Economics and …, 2021 - Elsevier
This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset …
volatility indices regarding both the realized volatility and the returns of the underlying asset …
An index of cryptocurrency environmental attention (ICEA)
Purpose (1) A concern often expressed in relation to cryptocurrencies is the environmental
impact associated with increasing energy consumption and mining pollution. Controversy …
impact associated with increasing energy consumption and mining pollution. Controversy …
The effectiveness of unconventional monetary policy at the zero lower bound: A cross‐country analysis
L Gambacorta, B Hofmann… - Journal of Money, Credit …, 2014 - Wiley Online Library
This paper assesses the macroeconomic effects of unconventional monetary policies by
estimating a panel vector autoregression (VAR) with monthly data from eight advanced …
estimating a panel vector autoregression (VAR) with monthly data from eight advanced …
The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes
In this paper, we use a set of newly introduced implied volatility indexes to investigate the
directional connectedness between oil and equities in eleven major stock exchanges …
directional connectedness between oil and equities in eleven major stock exchanges …
Tails, fears, and risk premia
T Bollerslev, V Todorov - The Journal of finance, 2011 - Wiley Online Library
We show that the compensation for rare events accounts for a large fraction of the average
equity and variance risk premia. Exploiting the special structure of the jump tails and the …
equity and variance risk premia. Exploiting the special structure of the jump tails and the …
Coronavirus (Covid-19) outbreak, investor sentiment, and medical portfolio: Evidence from China, Hong Kong, Korea, Japan, and US
Y Sun, Q Bao, Z Lu - Pacific-Basin Finance Journal, 2021 - Elsevier
This study explores whether investor sentiment, driven by Coronavirus-related news (CRNs)
and economic-related announcements (ERAs) associated with the Coronavirus outbreak, is …
and economic-related announcements (ERAs) associated with the Coronavirus outbreak, is …
Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets
B Ahmed - The Journal of Economic Asymmetries, 2020 - Elsevier
Applying both survey-based and market-based measures, we examined how investor
sentiment affects the way with which prices reflect information and whether or not it …
sentiment affects the way with which prices reflect information and whether or not it …
FinRL-Meta: Market environments and benchmarks for data-driven financial reinforcement learning
Finance is a particularly challenging playground for deep reinforcement learning. However,
establishing high-quality market environments and benchmarks for financial reinforcement …
establishing high-quality market environments and benchmarks for financial reinforcement …