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CATEGORIES:Lecture/Conference
DESCRIPTION:Part of the UNO Economics seminar series. This research seminar
  runs from 3PM-4PM. Appetizers at Inner Rail afterwards.\n\n \n\nWe documen
 t a highly significant\, strongly nonlinear dependence of Bitcoin\, stock\, 
 and bond returns on past equity market volatility as measured by the VIX. W
 e propose a new estimator for the shape of the nonlinear forecasting relati
 onship that exploits variation in the cross-section of returns. We find tha
 t the nonlinear relationship between Bitcoin and bonds are very similar to 
 the nonlinear relationship between stocks and bond. The nonlinearity are mi
 rror images for stocks and bonds\, as well as for Bitcoin and bonds\, revea
 ling flight-to-safety: expected returns increase for Bitcoin and stocks when
  volatility increases from low to moderate while they decline for Bitcoin a
 nd Treasuries. Expected returns decrease for stocks when volatility increas
 es from moderate to high while they increase for Bitcoin and Treasuries. Th
 ese findings provide support that Bitcoin price is highly correlated with th
 e stock market and treasuries. The price of risk is a nonlinear function of
  market volatility.
DTEND:20250912T210000Z
DTSTAMP:20260314T060346Z
DTSTART:20250912T200000Z
GEO:41.24425;-96.01524
LOCATION:Mammel Hall\, 117
SEQUENCE:0
SUMMARY:The Time-Varying Risk-Return Relationship between Cryptocurrency\, 
 Stock\, and Bond Markets
UID:tag:localist.com\,2008:EventInstance_49481548720229
URL:https://events.unomaha.edu/event/the-time-varying-risk-return-relations
 hip-between-cryptocurrency-stock-and-bond-markets
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