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Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela
(Elsevier Inc., 2017-10)
Purpose
We test the informational efficiency of Venezuelan USD sovereign bond yields when the black market exchange-rate premium (BMERP) changes.
Design
We use a non-parametric, asymmetric, Granger causality test to ...
Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
(LLC "CPC" Business Perspectives, 2021-11-24)
In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of ...