180 citations · 623 across the 15 of their papers we have counts for
8 papers · 1 filter
Understanding jumps in high frequency digital asset markets
Danial Saef, Odett Nagy, Sergej Sizov +1
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data give…
Cooling Measures and Housing Wealth: Evidence from Singapore
Wolfgang Karl Härdle, Rainer Schulz, Taojun Sie
Excessive house price growth was at the heart of the financial crisis in 2007/08. Since then, many countries have added cooling measures to their regulatory frameworks. It has been…
Networks of News and Cross-Sectional Returns
Junjie Hu, Wolfgang Karl Härdle
We uncover networks from news articles to study cross-sectional stock returns. By analyzing a huge dataset of more than 1 million news articles collected from the internet, we cons…
Understanding Smart Contracts: Hype or Hope?
Elizaveta Zinovyeva, Raphael C. G. Reule, Wolfgang Karl Härdle
Smart Contracts are commonly considered to be an important component or even a key to many business solutions in an immense variety of sectors and promises to securely increase the…
Cryptocurrency Dynamics: Rodeo or Ascot?
Konstantin Häusler, Wolfgang Karl Härdle
We model the dynamics of the cryptocurrency (CC) asset class via a stochastic volatility with correlated jumps (SVCJ) model with rolling-window parameter estimates. By analyzing th…
FRM Financial Risk Meter for Emerging Markets
Souhir Ben Amor, Michael Althof, Wolfgang Karl Härdle
The fast-growing Emerging Market (EM) economies and their improved transparency and liquidity have attracted international investors. However, the external price shocks can result…