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Intraday return predictability in the cryptocurrency markets : momentum, reversal, or both

Wen, Zhuzhu; Bouri, Elie; Xu, Yahua; Zhao, Yang - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013534113

Dynamic asymmetric dependence and portfolio management in cryptocurrency markets

Li, Danyang; Shi, Yukun; Xu, Liao; Xu, Yahua; Zhao, Yang - In: Finance research letters 48 (2022), pp. 1-11

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Volatility‐of‐volatility risk in the crude oil market

Roh, Tai‐Yong; Tourani‐Rad, Alireza; Xu, Yahua; … - In: Journal of Futures Markets 41 (2020) 2, pp. 245-265

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Intraday Return Predictability in the Cryptocurrency Markets : Momentum, Reversal, or Both

Wen, Zhuzhu; Bouri, Elie; Xu, Yahua; Zhao, Yang - 2022

This paper reports evidence of intraday return predictability, consisting of both intraday momentum and reversal, in the cryptocurrency market. Using high-frequency price data on Bitcoin from March 3, 2013, to May 31, 2020, it shows that the patterns of intraday return predictability change in...

Persistent link: https://www.econbiz.de/10013289927