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References

  1. Chen S., Härdle, W.K., Liang C., Schienle M. (2017). Network dynamics of high-frequency trading data, J Econometrics submitted.
  2. Chen, C.Y.H., Härdle, W.K., Okhrin, Y. (2017). Tail event driven networks of SIFIs. SFB DP2017-004, J Econometrics, revise and resubmit.10.2139/ssrn.3085850
  3. Chen S., Chen, C.Y.H., Härdle, W.K., Lee, T.M., Ong, B. (2017). A first econometric analysis of the CRIX family, in Handbook of Blockchain, Digital Finance and Inclusion, Vol 1, Cryptocurrency, FinTech, InsurTech, and Regulation, David LEE Kuo Chuen Robert Deng, eds. ISBN: 9780128104415, Academic Press, Elsevier.
  4. Härdle, W.K., Yu, L., Wang, W. (2016). TENET - Tail Event driven NETwork risk. J Econometrics, 192, 2, 499-513 DOI: 10.1016/j.jeconom.2016.02.013.10.1016/j.jeconom.2016.02.013
  5. Härdle, W., Hautsch, N. and Mihoci, A. (2012) Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics, J. Empirical Finance. 19, 610-625, DOI http://dx.doi.org/10.1016/j.jempfin.2012.04.002.10.1016/j.jempfin.2012.04.002
  6. Linton, M., Teo, E.G.S., Bommes, E., Chen, C.Y.H., Härdle, W.K. (2017). Dynamic Topic Modelling for Cryptocurrency Community Forums. in Applied Quantitative Finance (Härdle, Chen, Overbeck eds) Springer Verlag, ISBN 978-3-662-54486-0.10.1007/978-3-662-54486-0_18
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Language: English
Page range: 669 - 675
Published on: Aug 26, 2017
Published by: Bucharest University of Economic Studies
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year

© 2017 Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle, published by Bucharest University of Economic Studies
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.