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Cryptocurrencies, diversification and the COVID-19 pandemic
Allen, David E. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25
This paper features an analysis of cryptocurrencies and the impact of the COVID-19 pandemic on their effectiveness as a portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum and the S&P500 Index using a variety of parametric...
Persistent link: https://www.econbiz.de/10013161685
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Realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013
Persistent link: https://www.econbiz.de/10009784942
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Asymmetric realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014 - This version: June 2014
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10010366935
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Asymmetric realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011553303