3 citations · 4 across the 7 of their papers we have counts for
3 papers · 1 filter
Causal effect of regulated Bitcoin futures on volatility and volume
Fiammetta Menchetti, Fabrizio Cipollini, Fabrizia Mealli
In December 2017, two leading derivative exchanges, CBOE and CME, introduced the first regulated Bitcoin futures. Our aim is estimating their causal impact on Bitcoin volatility an…
Multiplicative Error Models: 20 years on
Fabrizio Cipollini, Giampiero M. Gallo
Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature t…
Estimating the causal effect of an intervention in a time series setting: the C-ARIMA approach
Fiammetta Menchetti, Fabrizio Cipollini, Fabrizia Mealli
The Rubin Causal Model (RCM) is a framework that allows to define the causal effect of an intervention as a contrast of potential outcomes. In recent years, several methods have be…