Fine wine has become an attractive alternative asset class in recent decades. In our study, we take the market microstructural perspective and verify how innovations in trading infrastructure affect the fine wine market. More specifically, we examine the average prices and the return volatility...

In a seminal article, Samuelson (1965) [Samuelson, P. A. (1965), “Proof that properly anticipated prices fluctuate randomly,” Industrial Management Review 6, 41–49.] proposes the maturity effect that the volatility of futures prices should increase as futures contract approaches maturity....

In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data over the past 30 years. I conducted a...

This paper reports the results of 16 experimental asset markets that explore the effects of trade transparency on the price formation process and its results using a more realistic design than related studies. The open orderbook does not improve informational efficiency and does not result in...

We consider demand function competition with a finite number of agents and private information. We show that any degree of market power can arise in the unique equilibrium under an information structure that is arbitrarily close to complete information. In particular, regardless of the number...

The paper proposes a new robust estimator for GARCH-type models: the nonlinear iterative least squares (NL-ILS). This estimator is especially useful on specifications where errors have some degree of dependence over time (weak-GARCH) or when the conditional variance is misspecified. I illustrate...

Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods. Least...

I employ a parsimonious model with learning but without conditioning information to extract time-varying measures of market-risk sensitivities, pricing errors and pricing uncertainty. Parameters estimated for U.S. equity portfolios show significant fluctuations, along patterns that change across...