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Is there any witching in the cryptocurrency market?

Plastun, Alex; Khomutenko, Ludmila; Bashlai, Serhii - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-14

approach, regression analysis with dummy variables, and the trading simulation approach) to daily and weekly Bitcoin data over … forecasting analysis in the case of Bitcoin. …

Persistent link: https://www.econbiz.de/10012888243

The skewness risk in the energy market

Yoon, Jungah; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-24

In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often used to measure the possibility of market crash. We study both physical skewness (market skewness and cross-sectional average realized skewness) estimated from underlying stock...

Persistent link: https://www.econbiz.de/10012801590

Dynamic conditional bias-adjusted carry cost rate futures hedge ratios

Leistikow, Dean; Tang, Yi; Zhang, Wei - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

This paper proposes new dynamic conditional futures hedge ratios and compares their hedging performances along with those of common benchmark hedge ratios across three broad asset classes. Three of the hedge ratios are based on the upward-biased carry cost rate hedge ratio, where each is...

Persistent link: https://www.econbiz.de/10012813322

Role of international trade competitive advantage and corporate governance quality in predicting equity returns : static and conditional model proposals for an emerging market

Muzir, Erol; Kizil, Cevdet; Ceylan, Burak - In: Journal of risk and financial management : JRFM 14 (2021) 3/125, pp. 1-31

This paper aims to develop some static and conditional (dynamic) models to predict portfolio returns in the Borsa Istanbul (BIST) that are calibrated to combine the capital asset-pricing model (CAPM) and corporate governance quality. In our conditional model proposals, both the traditional CAPM...

Persistent link: https://www.econbiz.de/10012486240

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17

Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

Persistent link: https://www.econbiz.de/10013475217

Does the hashrate affect the bitcoin price?

Fantazzini, Dean; Kolodin, Nikita - In: Journal of risk and financial management : JRFM 13 (2020) 11/263, pp. 1-29

This paper investigates the relationship between the bitcoin price and the hashrate by disentangling the effects of the … energy efficiency of the bitcoin mining equipment, bitcoin halving, and of structural breaks on the price dynamics. For this … purpose, we propose a methodology based on exponential smoothing to model the dynamics of the Bitcoin network energy …

Persistent link: https://www.econbiz.de/10012389835

Can bitcoin replace gold in an investment portfolio?

Henriques, Irene; Sadorsky, Perry A. - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-19

Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper … investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to use … portfolio with gold to a portfolio with bitcoin. These results are robust to the inclusion of trading costs. …

Persistent link: https://www.econbiz.de/10011895634

A study of the machine learning approach and the MGARCH-BEKK model in volatility transmission

Joshi, Prashant; Wang, Jinghua; Busler, Michael - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-9

This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetric volatility transmission on both markets. We...

Persistent link: https://www.econbiz.de/10013163552

A comparative analysis on probability of volatility clusters on cryptocurrencies, and FOREX currencies

Chinthapalli, Usha Rekha - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-23

GARCH (or EGARCH) and through its portrayal as a financial asset, ANN models will provide analytical insight into bitcoin …

Persistent link: https://www.econbiz.de/10012622787

The sectoral effects of value-added tax : evidence from UAE stock markets

Gopakumar, Anagha Ann; Kaur, Avneet; Ramiah, Vikash; … - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-16

This paper investigates the impact of 19 announcements pertaining to the introduction of value-added tax (VAT) in the United Arab Emirates (UAE) on equities listed on the Abu Dhabi Stock Exchange (ADX). Using a well-established event study methodology over the period 2015 to 2018, a sector-wise...

Persistent link: https://www.econbiz.de/10013471485

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