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The fair value of a token : how do markets price cryptocurrencies?
Nadler, Philip; Guo, Yike - In: Research in international business and finance 52 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012548565
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Seasonality in the cross-section of cryptocurrency returns
Long, Huaigang; Zaremba, Adam; Demir, Ender; … - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012439072
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Cryptocurrencies and momentum
Grobys, Klaus; Sapkota, Niranjan - In: Economics letters 180 (2019), pp. 6-10
Persistent link: https://www.econbiz.de/10012121731
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The volatility effect in China
Blitz, David; Hanauer, Matthias; Vliet, Willem Nicolaas van - In: The journal of asset management : a major new, … 22 (2021) 5, pp. 338-349
Persistent link: https://www.econbiz.de/10012614829
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Higher moments, extreme returns, and cross-section of cryptocurrency returns
Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012804999
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Is idiosyncratic volatility priced in cryptocurrency markets?
Zhang, Wei; Li, Yi - In: Research in international business and finance 54 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012550051
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The Pricing of Jump and Diffusive Risks in the Cross-Section of Cryptocurrency Returns
Leong, Minhao; Kwok, Simon - 2022
In this study, we investigate the pricing of risks in the cross-section of cryptocurrency returns. In doing so, we decompose total variations into systematic and idiosyncratic components, as well as differentiate jumps from diffusive variations. We show that a hedged portfolio sorted on...
Persistent link: https://www.econbiz.de/10013293621
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The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns
Leong, Minhao; Kwok, Simon Sai Man - In: Journal of empirical finance 74 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014477057
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Nonlinear relationship between cryptocurrency returns and price sensitivity to market uncertainty
Han, SeungOh - In: Finance research letters 68 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10015063767
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Investment choices, oil prices, and assets volatility : curious case of crypto currencies
Royal, Saransh; Singh, Kamaljit; Dalal, Ramesh Chander - In: International journal of risk assessment and management … 26 (2023) 2, pp. 144-159
Persistent link: https://www.econbiz.de/10015072397