4 papers
Shifting Correlations: How Trade Policy Uncertainty Alters stock-T bill Relationships
Demetrio Lacava
This paper examines how trade policy uncertainty influences the correlation between U.S. stock indices and short-term government bonds. The objective is to assess whether policy-re…
Modeling and Forecasting Tail Risk Spillovers: A Component-Based CAViaR Approach
Demetrio Lacava
This paper introduces a new extension of the Conditional Autoregressive Value at Risk (CAViaR) model aimed at improving tail risk forecasting across assets. The proposed component-…
Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections
Giampiero M. Gallo, Demetrio Lacava, Edoardo Otranto
This paper examines the dynamic relationship between electoral polls and indicators of economic and financial uncertainty during the last two U.S. presidential elections (2020 and…
Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models
Demetrio Lacava, Edoardo Otranto
This paper investigates the impact of Trade Policy Uncertainty (TPU) on stock-bond correlation dynamics in the United States. Using daily data on major U.S. stock indices and the 1…