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Articles 1 - 3 of 3
Full-Text Articles in Econometrics
Dynamic Return Relationships In The Market For Cryptocurrency: A Var Approach, Julian Gouffray
Dynamic Return Relationships In The Market For Cryptocurrency: A Var Approach, Julian Gouffray
James Madison Undergraduate Research Journal (JMURJ)
This paper examines how the Bitcoin-altcoin return relationship has evolved in periods between 2015 and 2020. To understand this relation, we observe data on the cryptocurrency Bitcoin and prominent altcoins Ethereum, Litecoin, Ripple, Stellar, and Monero, which collectively represent over 90% of the market throughout the observed period. We employ a vector autoregressive model (VAR) to produce forecast error variance decompositions, orthogonal impulse response functions, and Granger-causality tests. We find evidence that Bitcoin return variation has increasingly explained altcoin returns and that market inefficiency increased between 2017 and 2020, as shown by increased Granger causality between Bitcoin and altcoins. These …
The Mangrove Walks: An Econometric Analysis Of Climate Migration Drivers From Coastal Bangladesh And Their Geopolitical Impacts, Kendall Scott Byers
The Mangrove Walks: An Econometric Analysis Of Climate Migration Drivers From Coastal Bangladesh And Their Geopolitical Impacts, Kendall Scott Byers
Graduate Theses and Dissertations
Coastal Bangladesh is subject to extreme climate change forces upon poor, rural populations. The aim of this thesis is to determine the strength of environmental drivers of migration and discern whether planned or catastrophic migration predominates in the polder areas of Bangladesh. I use regression analysis on a 1,025 household, 2016 IRRI/IWMI analysis of Polder 28/1, 28/2, and 30 within Satkhira district to determine factor correlations with migration. Progressive salinization is the strongest environmental driver, while flooding decreases migration through trapping household capital investment. Religion has the greatest correlation with migration. Hindus migrate less frequently, but do so with more …
Liquidity Commonality With Factor Models, Ernesto Garcia Iii
Liquidity Commonality With Factor Models, Ernesto Garcia Iii
Dissertations, Theses, and Capstone Projects
Market microstructure research has recently devoted attention to a phenomenon called commonality in liquidity. In this dissertation, I will analyze commonality in liquidity using a novel factor model approach and a generalized definition of commonality in liquidity. This analysis will show that commonality in liquidity is rarely a marketwide phenomenon and is mostly restricted to stocks with a large market capitalization. Additionally, commonality in liquidity is a very recent phenomenon whose appearance coincides with a rise in passive investing after the Dotcom Bubble burst and, more so, after the 2008 Financial Crisis. I will present evidence that suggests commonality in …