Purpose: This paper aims to illustrate how a Bayesian approach to yield fitting can be implemented in a non-parametric framework with automatic smoothing inferred from the data. It also briefly illustrates the advantages of such an approach using real data. Design/methodology/approach: The...

Purpose: The purpose of this paper is to investigate the short- and long-run dynamic linkages between selected cryptocurrencies, several major world currencies and major equity indices. The results show that despite sharing some common characteristics, the cryptocurrencies do not reveal any...

Purpose: The purpose of this paper is to examine the causal relationship between economic development and financial sector development for 28 countries at different stages of their development. The authors specifically focus on the nature of causality during economic boom and tranquil cycles....

Purpose: This paper aims to investigate the value relevance of the European Emission Allowance (EUA) return and volatility on the equity value of the top listed European Power Generation Firms for the three trading phases of the European Emission Trading Scheme. Design/methodology/approach: The...

Purpose: This study aims to investigate – theoretically and empirically – if call auctions incorporate asymmetric information into prices. Design/methodology/approach: First, this study introduces a new model of price formation in a call auction with insider information. In this call...

Purpose: This paper aims to empirically investigate the volatility of Bitcoin, Litecoin and the Euro. Design/methodology/approach: The authors use quantitative methodologies to assess the annualized volatility of two cryptocurrencies and one international fiat currency. The exchange rate of the...