We show that expected returns on US stocks and all major global stock market indices have a particular form of non-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to continue after small movements. The observed...

This paper studies the volatility of Bitcoin and determines the importance of jumps and structural breaks in forecasting volatility. Using high-frequency data, we perform a model-free decomposition of realized variance into its continuous and discontinuous components, positive and negative...

This paper provides strong evidence of time-varying return predictability of three precious metals from January 1987 to September 2014. We use three variations of the variance ratio test, the nonlinear BDS test as well as the Hurst exponent to evaluate the time-varying return predictability of...