The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

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...

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...

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...

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us to study the behavior of extreme quantiles associated with large...