Bitcoin is traded on exchanges which use an open limit order book. This paper investigates the microstructure of various bitcoin markets with respect to liquidity and private information processing. The markets are found to be fairly liquid, providing liquidity at a stable rate throughout the 24...

We propose to estimate the variance of a time series of financial returns through a quantile autoregressive model (QAR) and demonstrate that the return QAR model contains all information that is commonly captured in two separate equations for the mean and variance of a GARCH-type model. In...

We analyze the effects of retail investor sentiment on the German stock market by introducing four distinct investor pessimism indices (IPIs) based on selected aggregate Google search queries of households. We assess the impact of weekly changes in sentiment captured by the IPIs on both...

In December 2017, both the CBOE and the CME introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995) and Gonzalo and Granger (1995) and find that the...

This paper analyses the impact of the June 23, 2016 Brexit vote on the British and Australian currency and equity markets. The two markets are particularly interesting as they were both strongly impacted by the Brexit vote, have cross-listed stocks and non-overlapping trading hours. Whilst the...

Bitcoin is a digital currency and designed to have typical functions of a currency such as being a medium of exchange, a unit of account and a store of value. Each of these functions is adversely affected by the volatility of the currency. If a currency exhibits extreme fluctuations, its usage...

This paper proposes a new approach to identify safe haven assets and to characterize their relationship with the market. We use quantile regression to analyze the returns of potential safe haven assets conditional on all market conditions including periods of financial turmoil. We find a...

Assessing the infection fatality rate (IFR) of SARS-CoV-2 is one of the most controversial issues during the pandemic. Due to asymptomatic or mild courses of COVID-19, many infections remain undetected. Reported case fatality rates - COVID-19-associated deaths divided by number of detected...

Cryptocurrency markets are notoriously noisy, but not all markets might behave in the exact same way. Therefore, we investigate which market contributes the most to the evolution of the common volatility component of cryptocurrency markets. We extract each of the markets’ latent volatility...

This paper investigates the transmission of return and volatility spillovers around the globe. It draws on index futures of three representative indices, namely the Dow Jones Euro Stoxx 50, the Samp;P 500 and the Nikkei 225. Devolatised returns and realised volatilities are modeled separately...