This study employs a Time-Varying Parameter Vector Auto Regressive (TVP-VAR) connectedness approach to investigate the dynamic interconnections, portfolio performance, and hedging effectiveness across hydrogen economy, renewable energy markets, equit... Read More about Dynamic connectedness, portfolio performance, and hedging effectiveness of the hydrogen economy, renewable energy, equity, and commodity markets: Insights from the COVID-19 pandemic and the Russia-Ukraine war.
Outputs (3)
Income and balance sheet diversification effects on banks' cost and profit efficiency: Evidence from the United States (2024)
Journal Article
Using two-step system generalized method of moments approach, we provide empirical evidence on the impact of income, asset, and funding diversification on the cost and profit efficiency of US commercial banks from 2002 to 2019. Furthermore, we use tw... Read More about Income and balance sheet diversification effects on banks' cost and profit efficiency: Evidence from the United States.
Efficient market hypothesis on the blockchain: A social‐media‐based index for cryptocurrency efficiency (2024)
Journal Article
This paper proposes the use of social media as a proxy for financial information. Using an extended sample of 53,580,759 tweets and employing text analysis tools (Latent Dirichlet Allocation and Term Frequency–Inverse Document Frequency), we determin... Read More about Efficient market hypothesis on the blockchain: A social‐media‐based index for cryptocurrency efficiency.