We estimate quantile autoregression (QAR) models to analyze variations in the autoregressive coefficients of 55 international stock index returns and demonstrate that it is important to allow the autoregressive parameters to vary with quantiles. The empirical results identify distinctively...

Dyhrberg (2016) analyzes the relationship between Bitcoin, gold and the US dollar within a GARCH framework and states that Bitcoin can be classified as something in between gold and the US dollar. This paper uses the same sample and econometric models to replicate the findings and demonstrates...

We study how retail investor attention influences the joint evolution of cryptocurrency prices. The co-movement is measured using realized correlation and a R-squared-based measure. We find that rising attention as proxied by Google search volume indices or Twitter tweet counts Granger-causes an...

This paper tests the old adage and investment strategy "cut your losses and let your profits run" for randomly chosen portfolios comprised of large US stocks. We find that "cut your losses" clearly underperforms the buy-and-hold strategy. The results hold for monthly, quarterly and annual data...

The auctioning of frequency has to comply with a multitude of requirements in order to guarantee a transparent and efficient process. The German Federal Network Agency (Bundesnetzagentur) has opted for a design that provides participants with information on the highest bid after each round for...

Safe haven assets play a crucial role in safeguarding portfolios during times of turmoil or crises. Gold is widely acknowledged to act as a safe haven asset for stock market portfolios. However, it remains unclear whether it should be held continuously as a strategic (passive) investment or...