About 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...

About this event The event lasts 1 hour 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...