no code implementations • 25 Sep 2020 • Meng-Jou Lu, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties.
no code implementations • 25 Sep 2020 • Shi Chen, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle
Here we provide a first econometric analysis of the CRIX family within a time-series framework.
no code implementations • 31 May 2019 • Jozef Barunik, Cathy Yi-Hsuan Chen, Jan Vecer
We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers.