We provide evidence in favour of a significant non-linear, time-varying dependence between sovereign credit default swap (CDS) spreads and macroeconomic fundamentals for OECD countries. Macroeconomic conditions alone explain more than 80% of the out-of-sample variation in CDS spreads when...

We investigate the performance of funds that specialise in cryptocurrency markets. In doing so, we contribute to a growing literature that aims to understand the role of digital assets as an investment. Methodologically, we implement a novel panel bootstrap approach that samples jointly the...

We provide empirical evidence that the returns on US equity momentum exhibit a time-varying skewness which deepens during dramatic losses (crashes). As a result, the dynamics of the strategy expected returns reflects the time variation in both conditional volatility and skewness. This has first...