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US municipal green bonds and financial integration
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023
green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …
Persistent link: https://www.econbiz.de/10014234020
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Interest rates under falling stars
Bauer, Michael D.; Rudebusch, Glenn D. - 2017
*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …
Persistent link: https://www.econbiz.de/10011688099
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Cryptocurrencies, technology stocks, Covid-19 and US policy responses: a fractional integration analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022
This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC,...
Persistent link: https://www.econbiz.de/10013041344
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COVID-19 outbreak, social response, and early economic effects : a global VAR analysis of cross-country interdependencies
Milani, Fabio - 2020
explain not only the spread of the disease, but also cross-country spillovers in perceptions about coronavirus risk and in … social distancing behavior. In the early phases of the pandemic, perceptions of coronavirus risk in most countries are …
Persistent link: https://www.econbiz.de/10012263745
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Cyber attacks, spillovers and contagion in the cryptocurrency markets
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
resulting from cyber attacks provide evidence that the latter affect the transmission mechanism between cryptocurrency returns … portfolio diversification opportunities for cryptocurrency investors. Finally, the conditional correlation analysis confirms the …
Persistent link: https://www.econbiz.de/10012219891
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Robust bond risk premia
Bauer, Michael D.; Hamilton, James D. - 2015 - Rev.: September 25, 2015
structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used … slope of the yield curve are robust predictors of excess bond returns, and there is no robust and convincing evidence for …
Persistent link: https://www.econbiz.de/10011346306
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Can bitcoin mining increase renewable electricity capacity?
Bruno, August; Weber, Paige; Yates, Andrew J. - 2022
Proponents of Bitcoin argue that demand for electricity from Bitcoin miners can lead to an increase in renewable electricity capacity. We rigorously evaluate this claim by estimating a Bitcoin electricity demand curve and include this demand curve in a long-run model of the Texas electricity...
Persistent link: https://www.econbiz.de/10013383628
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Momentum effects in the cryptocurrency market after one-day abnormal returns
Caporale, Guglielmo Maria; Plastun, Alex - 2019
This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market …
Persistent link: https://www.econbiz.de/10012118561
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Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis
Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...
Persistent link: https://www.econbiz.de/10013368898
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Non-linearities, cyber attacks and cryptocurrencies
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2019
This paper uses a Markov-switching non-linear specification to analyse the effects of cyber attacks on returns in the case of four cryptocurrencies (Bitcoin, Ethernam, Litecoin and Stellar) over the period 8/8/2015 - 28/2/2019. The analysis considers both cyber attacks in general and those...
Persistent link: https://www.econbiz.de/10012026468