Agenda

31 Mar 2026 12:15

Codruța Mare (Babeș-bolyai University)

Meeting Room 1, San Giobbe Economics Campus + online

Codruța Mare (Babeș-bolyai University) - Spatial Effects and Uncertainty in Cryptocurrencies – the case of Space-Time ARCH Models (joint work with Mihai-Adrian Achim, Ștefana Belbe and Philipp Otto)

Abstract:

In geographic data, spatial effects are clear and logical. But networks and interactions also create spatial effects outside of pure space, through different types of neighbouring effects. Accounting for this may help in a better understanding of the issues and more accurate forecasting. Such an example is the digital finance field, in which cryptocurrencies have become one of the most important investment tools on the market. However, their high volatility, along with some other specific features they have, make them highly unstable and uncertain. As such, we chose to apply the dynamic spatiotemporal autoregressive conditional heteroscedasticity methodology (Spatial ARCH) on a sample of most famous cryptocurrencies. We considered the top 100 cryptocurrencies based on their market capitalization to assess if spatial effects manifest in time on this market.

 

The seminar can be attended also remotely, connecting to ZOOM.

Link Zoom: bit.ly/insem-2425
ID riunione:  880 2639 9452
Passcode: InSem-2425

Language

The event will be held in English

Organized by

Department of Economics (InSeminars)

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