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Persistent link: https://www.econbiz.de/10010422318
We study the cross-sectional correlation between the returns on stablecoins and major cryptocurrency pairs. In doing so, we contribute to a growing literature that aims to understand the role of digital assets as an investment. Methodologically, we propose a large-scale Bayesian Vector...
Persistent link: https://www.econbiz.de/10012833567
Persistent link: https://www.econbiz.de/10015053533
We study the effects of a conventional monetary expansion, quantitative easing, and operation twist on corporate bond yields and spreads. These policies are simulated as shocks to the Treasury yield curve, and the impulse response functions of corporate yields and spreads to shocks are computed...
Persistent link: https://www.econbiz.de/10012988227
We examine whether simple VARs can produce empirical portfolio rules similar to those obtained under a range of multivariate Markov switching models, by studying the effects of expanding both the order of the VAR and the number/selection of predictor variables included. In a typical stock-bond...
Persistent link: https://www.econbiz.de/10013137095
We examine whether simple VARs can produce empirical portfolio rules similar to those obtained under a range of multivariate Markov switching models, by studying the effects of expanding both the order of the VAR and the number/selection of predictor variables included. In a typical stock bond...
Persistent link: https://www.econbiz.de/10013149308
Persistent link: https://www.econbiz.de/10003921737
Persistent link: https://www.econbiz.de/10008668600
We examine whether simple VARs can produce empirical portfolio rules similar to those obtained under a range of multivariate Markov switching models, by studying the effects of expanding both the order of the VAR and the number/selection of predictor variables included. In a typical stock-bond...
Persistent link: https://www.econbiz.de/10008990693
We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...
Persistent link: https://www.econbiz.de/10008990694