The auctioning of frequency has to comply with a multitude of requirements in order to guarantee a transparent and efficient process. The German Federal Network Agency (Bundesnetzagentur) has opted for a design that provides participants with information on the highest bid after each round for...

The auctioning of frequency has to comply with a multitude of requirements in order to guarantee a transparent and efficient process. The German Federal Network Agency (Bundesnetzagentur) has opted for a design that provides participants with information on the highest bid after each round for...

This paper studies investor's attention to gold price movements by analyzing the relationship between gold price changes and internet search queries for gold. We find a positive relationship of gold price volatility and search queries and a strong asymmetric effect of negative gold price changes...

We use quantile regressions to demonstrate that volatility persistence and the asymmetric "leverage" effect are high volatility phenomena. More specifically, we find that (i) low volatility is not persistent, but high volatility all the more, even featuring properties of explosive processes;...

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...

We analyze the relationship between unemployment rate changes and government bond yields during and after the most recent financial crisis across nine industrialized countries. The study is conducted on a weekly basis and we therefore nowcast unemployment data, which are only available once a...

We propose to estimate the variance of a time series of financial returns through a quantile autoregressive model (QAR) and demonstrate that the return QAR model contains all information that is commonly captured in two separate equations for the mean and variance of a GARCH-type model. In...

We analyze the effects of retail investor sentiment on the German stock market by introducing four distinct investor pessimism indices (IPIs) based on selected aggregate Google search queries of households. We assess the impact of weekly changes in sentiment captured by the IPIs on both...