Journals
Faster payments in Denmark
A number of countries are introducing faster settlement of retail payments due to increasing consumer demand.
Inferring unsecured interbank loans and interest rates from interbank payments: an evaluation
We investigate whether overnight unsecured interbank loans and interest rates can be reliably inferred at the market and bank level from central banks’ interbank payments data.
The stochastic-volatility, jump-diffusion optimal portfolio problem with jumps in returns and volatility
The risk-averse optimal portfolio problem is treated with consumption in continuous time for a stochastic jump-volatility-jump-diffusion (SJVJD) model for both the risky asset and the volatility.
The impact of retail payment innovations on cash usage
This study examines the effect of retail payment innovations on the use of cash at the point of sale.
Quantifying irrational sentiment
The author uses behavioral finance theory to create a measure that detects when stock markets become irrational.
Analysis of the use and impact of limits
In this paper, we analyze the use and impact of limits in TARGET2. Limits in the form of bilateral or multilateral debit limits are a liquidity management feature in TARGET2.
Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study
In this paper we examine the effectiveness of intraday hedging models for credit default swap index trading by means of more liquidly traded exchange-based futures contracts.
Momentum strategies with the L1 filter
We discuss various implementations of L1 filtering in order to detect some properties of noisy signals.