Related papers: A Multifractal Analysis of Asian Foreign Exchange …
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Most empirical microstructure research assumes that order flow--return parameters are constant, yet these relationships shift substantially across market regimes. Combining adaptive Kalman filtering, Markov-switching regime identification,…
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The finite sample effect on the Hurst exponent (HE) of realized volatility time series is examined using Bitcoin data. This study finds that the HE decreases as the sampling period $\Delta$ increases and a simple finite sample ansatz…
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Climate change has driven the market to seek new ways of raising funds to mitigate its effects. One such innovation is the emergence of Green Bonds financial assets specifically designed to support sustainable projects. This study explores…
A large collection of daily time series for 60 world currencies' exchange rates is considered. The correlation matrices are calculated and the corresponding Minimal Spanning Tree (MST) graphs are constructed for each of those currencies…
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