Given the increased attention of precious metals by investors and the finance literature as well as the growth of high frequency trading, the behaviour of intraday precious metal markets is of great interest and importance. Therefore, this paper examines the stylized facts, correlation and...

This paper examines the volatility of Bitcoin as well as shedding light on the forecasting ability of GARCH models and HAR models in the Bitcoin market. We find no evidence of the leverage effect in Bitcoin and that the HAR models are superior in modelling Bitcoin volatility to traditional GARCH...

Bitcoin has attracted a wealth of attention in the media and by investors alike and this paper investigates whether Bitcoin can act as a hedge or safe-haven against world currencies. Contrary to previous studies, we assess the relationship between Bitcoin and currencies at the hourly frequency...

Bitcoin has received much investor attention in recent years, however, there remains a lot of scepticism and lack of understanding of this cryptocurrency. We contribute to the growing literature of Bitcoin by examining the intraday variables of the leading Bitcoin exchange with the highest...

This paper studies the volatility of Bitcoin and determines the importance of jumps and structural breaks in forecasting volatility. Using high-frequency data, we perform a model-free decomposition of realized variance into its continuous and discontinuous components, positive and negative...