Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
Year of publication: |
2021
|
---|---|
Authors: | Figà-Talamanca, Gianna ; Focardi, Sergio M. ; Patacca, Marco |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 44.2021, 2, p. 863-882
|
Subject: | Cryptocurrencies | Cointegration | Dynamic factor models | Forecasting analysis | Pair-trading | Prognoseverfahren | Forecasting model | Virtuelle Währung | Virtual currency | Kointegration | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis |
-
Escribano, Álvaro, (2021)
-
Estimation of a dynamic multi-level factor model with possible long-range dependence
Ergemen, Yunus Emre, (2023)
-
Bhattacharya, Rudrani, (2020)
- More ...
-
Regime switches and commonalities of the cryptocurrencies asset-class
Figà-Talamanca, Gianna, (2020)
-
Regime switches and commonalities of the cryptocurrencies asset class
Figà-Talamanca, Gianna, (2021)
-
Does market attention affect Bitcoin returns and volatility?
Figà-Talamanca, Gianna, (2019)
- More ...