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...

Insider trading laws are designed to ensure a level-playing field and trust in financial markets at the expense of less efficient markets. This paper argues that insider trading laws fail to ensure a level-playing field and instead facilitate fraud and undermine trust and fairness. We use a...

There is a well documented asymmetric return - volatility effect of equity returns, that is, negative shocks increase volatility by more than positive shocks. This paper analyzes the return - volatility relationship of commodity price changes and finds an inverted asymmetric effect with a...

We estimate quantile autoregression (QAR) models to analyze variations in the autoregressive coefficients of 55 international stock index returns and demonstrate that it is important to allow the autoregressive parameters to vary with quantiles. The empirical results identify distinctively...