A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the jump component is persistent when forecasting the oil...

The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH framework. In particular, we propose realized semi-covariance between falling equity and rising safe haven returns as a proxy of FTS and we use it to model the conditional distribution...

The growth of peer-to-peer exchanges and the blockchain technology has led to a proliferation of cryptocurrencies and to a massive increase in the number of investors who actually negotiate digital money. Cryptocurrencies trade at prices which is mainly driven by investor sentiment, becoming a...

In this paper the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe’s law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

In this paper, the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe’s law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

This paper evaluates and compares the ability of alternative option-implied volatility measures to forecast the monthly realized volatility of crude-oil returns. We find that a corridor implied volatility measure that aggregates information from a narrow range of option contracts consistently...

This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample...

Purpose - The economic and administrative conditions of countries normatively have an effect on the economy and level of market development. Moreover, it is of great importance for a healthy economy whether the public institutions and organizations are transparent and functioning in accordance...

In this paper, we examine the relationship between volume and volatility for crude oil markets in the context of Mixture of Distribution Hypothesis (MDH). We find that there exists a positive and significant relationship between volume and volatility in case of WTI Crude oil, supporting the MDH....