Similar Search Results

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

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

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

Is geopolitical risk priced in the cross-section of cryptocurrency returns?

Long, Huaigang; Demir, Ender; Będowska-Sójka, Barbara; … - In: Finance research letters 49 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10013479434

Volatility, distress risk, and the cross-section of portfolio returns

Sabbaghi, Omid - In: Review of accounting & finance 14 (2015) 2, pp. 149-171

Persistent link: https://www.econbiz.de/10011308963

Jump-diffusion long-run risks models, variance risk premium and volatility dynamics

Jin, Jianjian - 2013

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

Persistent link: https://www.econbiz.de/10009734341