We employ a repertoire of machine learning models to explore the cross-sectional return predictability in cryptocurrency markets. While all methods generate substantial economic gains, those that account for nonlinearities and interactions fare the best. The return predictability derives mainly...

This paper examines the impact vaccination programs have on the stock market volatility of the travel and leisure sector. Using daily data from 56 countries over the period from January 2020 to March 2021, we find that vaccination leads to a decrease in the investment risk of travel and leisure...

We test the interaction between COVID-19 governments' interventions, COVID-19- induced uncertainty, and the volatility of sovereign bonds. Using a panel-quantile approach and a comprehensive dataset of 31 countries worldwide, we document that containment and closure policies tend to amplify...