For predictive quantile regressions with highly persistent regressors, a conventional test statistic suffers from a serious size distortion and its limiting distribution relies on the unknown persistence degree of predictors. This paper proposes a double-weighted approach to offer a robust...

This paper examines the effects of futures trading on the jump risk in the Bitcoin market. We use a nonparametric method to detect Lévy-type jumps in Bitcoin prices and obtain jump risk measures (jump intensity and jump size) of big and small jumps by using 5-minute high-frequency data, and...