This study employs option price data to back out the implied portfolio volatilities of the dollar and carry trade risk factors of the G-10 currencies. To investigate expected volatility spillover effects between risk factors in FX markets, we extend Grobys (2015) and Diebold and Yilmaz (2009) by...

This paper shows that a link between the conditional mean and conditional volatility of any factor-mimicking portfolio in the foreign exchange (FX) market must exist if the proposed portfolio-based currency factor is priced and the pricing kernel has a linear factor structure. Thereby, this...

Using the coronavirus COVID-19 outbreak as a set-up for a quasi-experiment, this study derives novel insights on the dynamic correlation between Bitcoin and U.S. stocks. Given the unprecedented scale of infections and the nature of the virus, the potential impact on the dynamic correlation was...

A total of 1.1 million bitcoin were stolen in the 2013–2017 period. Noting that the average price for Bitcoin in 2018 was USD 7,572 the corresponding monetary equivalent of losses is USD 8.9 billion which strongly shows the societal impact of this criminal activity. Investigating the response...

This is the first paper that explores lottery-like demand in cryptocurrency markets. Since recent research provides evidence that cryptocurrency returns are rather short-memory processes in their nature, we modify Bali et al.'s (2011, 2017) MAX measure and employ a weekly forecast horizon and...

This is the first paper to explore the effects of perceived corruption on the FX market. It finds that the currencies of countries perceived to suffer from high levels of corruption generate statistically significantly lower returns than the currencies of countries perceived to have low levels...

High-beta stocks seem to be an asset pricing mystery involving puzzles that have been intensively discussed in the most recent finance literature (Christoffersen and Simutin, 2017; Moreira and Muir, 2017). This papers derives novel implications for pricing high-beta stocks in the presence of dynamic...

This paper investigates the finite sample properties of the widely-used Gibbons, Ross, Shanken (1989) (GRS) test in the presence of both conditional correlation and conditional heteroskedasticity. It finds that the GRS test exhibits serious size distortions resulting in potentially misleading...