Using a hand-collected dataset containing buy, hold, and sell recommendations for Bitcoin published by crypto analysts, we show that hold and sell recommendations are followed by negative abnormal returns whereas buy recommendations are not associated with nonzero abnormal returns. Based on all...

This paper investigates the performance of various conditional volatility models to forecast the second moment of tanker freight rates. Justified by existing theoretical and empirical evidence, we focus on asymmetric Markov regime-switching models to study the major global routes for long-haul...

This paper investigates the time-varying volatility patterns of some major commodities as well as the potential factors that drive their long-term volatility component. For this purpose, we make use of a recently proposed GARCH-MIDAS approach which typically allows us to examine the role of...

We investigate the time-varying dynamics of the precious metal markets. We employ a mixed data sampling technique to identify the impact of macroeconomic and financial drivers from G7 and BRICS countries on the daily volatility and pairwise correlation of gold, silver, platinum, and palladium....

This study investigates the structural relationship between illiquidity and ex-ante returns in the German stock market over time. In line with other authors, we show that illiquidity is still a significant factor, but has had a weakened impact in more recent times. When considering structural...