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Is the investment factor a proxy for time-varying investment opportunities? : the US and international evidence
Huang, Lin; Wang, Zijun - In: Journal of banking & finance 44 (2014), pp. 219-232
Persistent link: https://www.econbiz.de/10010410914
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Systematic risk in cryptocurrency market : evidence from DCC-MGARCH model
Nguyen Phuc Canh; Wongchoti, Udomsak; Su Dinh Thanh; … - In: Finance research letters 29 (2019), pp. 90-100
Persistent link: https://www.econbiz.de/10012417957
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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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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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Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns
Zhang, Zehua; Zhao, Ran - 2021
predictability of RVM on future returns. We show the cryptocurrency volatility persistence and the importance of the asymmetry on … volatility forecasting. Signed jumps variations contribute around 18% of the cryptocurrency return quadratic variations. The …
Persistent link: https://www.econbiz.de/10013214000
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Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns
Zhang, Zehua; Zhao, Ran - 2022
predictability of RVM on future returns. We show the cryptocurrency volatility persistence and the importance of the asymmetry on … volatility forecasting. Signed jumps variations contribute around 18% of the cryptocurrency return quadratic variations. The …
Persistent link: https://www.econbiz.de/10013491560
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Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model
Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119
Persistent link: https://www.econbiz.de/10011333691
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Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return
Vafiadis, Nikolaos - In: Journal of time series econometrics 7 (2015) 2, pp. 181-216
Persistent link: https://www.econbiz.de/10011291298