We examine the impact on firm cash holdings of uncertainty of uncertainty, measured as the ex post volatility of economic policy uncertainty. Using the news-based index developed by Baker, Bloom, and Davis (2016) for twenty-two countries, we find that, when there is greater volatility of...

In this paper, we forecast Bitcoin's returns and return jumps using a self-exciting process embedded in a stochastic volatility model. We show the existence of the jump clustering feature, which varies depending on the frequency of the data. In an out-of-sample setting, we use a particle filter...

We examine the clustering behaviour of price and variance jumps using high-frequency data, modelled as a marked Hawkes process embedded in a bivariate jump-diffusion model. After de-periodisation of the intraday data, we find that the jumps of both individual stocks and a broad index exhibit...

This paper explores and describes historical on-chain transaction data recorded on the Bitcoin blockchain, constructs a panel of all individual Bitcoin users, and computes their balances in the cross-section and over time. We run clustering algorithms to combine addresses that belong to the same...

Cryptocurrencies are a new investment asset class that are often plagued by accusations of unethical, fraudulent, and illegal activity. Scholarly articles largely agree on the argument that despite their high volatility, cryptocurrency markets continue to attract investors due to the abnormal...

In response to the ailing financial situation of European football clubs, UEFA introduced Financial Fair Play (FFP) regulation in 2011 to guide clubs towards profitability and sustainability. In this study, we empirically test whether the break-even requirement (BER) of FFP has improved the...