We use a GARCH dummy model to study the influence of calendar effects on daily conditional returns and volatility of Bitcoin during the period 2013–2019. The Halloween, day-of-the-week (DOW), and month-of-the-year (MOY) effects are analyzed. Our results reveal no evidence of a Halloween...

The relationship between energy and stock prices is investigated in the context of Asia, including China and Japan. Oil, gas and coal prices are considered both individually and in an energy portfolio. Consistent with evidence from analysis of other asset prices in international markets, during...

This paper addresses the out-of-sample prediction of European Monetary Union yield spread changes. We extend the Longstaff and Schwartz (1995) approach by using liquidity variables, namely funding liquidity as measured by European Central Bank's unconventional monetary policy as well as a...

We study the pricing of EMU sovereign debt by a novel panel regression approach. This allows us to consider a comprehensive set of observable explanatory variables jointly with additional unobservable time-varying common factors. We add to the existing literature by considering the pricing...

We examine how oil market variables affect short-term stock market returns in the U.S. and in six other major oil-importing countries. Apart from oil price direction, we also consider oil market volatility and liquidity. Analysis of daily returns during the 2007 to 2017 period reveals that oil...

This paper analyzes whether realized higher moments are able to predict out-of-sample sovereign bond returns using high-frequency data from the European bond market. We study bond return predictability over tranquil and crisis periods and across core and periphery markets at the index and...