
Time-Varying Risk–Return Dynamics of Cryptocurrencies, Stocks, and Bonds
6708 Pine St room 117 6708 Pine Street #room 117 Omaha, NE 68106 United StatesAbout this event Business • Educators Abstract: We document a highly significant, strongly nonlinear dependence of Bitcoin, stock, and bond returns on past equity market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits variation in the cross-section of returns. We find that...