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Is the cryptocurrency market a hedge against stock market risk? : a wavelet and GARCH approach
Jana, Susovon; Sahu, Tarak Nath - In: Economic notes 52 (2023) 3, pp. 1-25
Persistent link: https://www.econbiz.de/10014427518
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US equity mean-reversion examined
Liew, Jim; Roberts, Ryan - In: Risks : open access journal 1 (2013) 3, pp. 162-175
In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761-782) within the Black and Litterman framework (BL; J. Fixed Income,...
Persistent link: https://www.econbiz.de/10010338334
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Non-parametric analysis of equity arbitrage
Vortelinos, Dimitrios I. - In: International review of economics & finance : IREF 33 (2014), pp. 199-216
Persistent link: https://www.econbiz.de/10010532732
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The analysis of the arbitrage pricing model on the stock return : a case of Athens stock market
Khudoykulov, Khurshid - In: American journal of finance and accounting 5 (2017) 1, pp. 51-63
Persistent link: https://www.econbiz.de/10011834005
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The disappearing profitability of volatility-managed equity factors
Angelidis, Timotheos; Tessaromatis, Nikolaos P. - In: Journal of financial markets 65 (2023), pp. 1-27
Persistent link: https://www.econbiz.de/10014466364
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Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies : from pre-industrial to the 4th industrial revolution
Thampanya, Natthinee; Nasir, Muhammad Ali; Toan Luu Duc … - In: Technological forecasting & social change : an … 159 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012519591
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Cryptocurrency as a safe haven for investment portfolios amid COVID-19 panic cases of Bitcoin, Ethereum and Litecoin
Marobhe, Mutaju Isaack - In: China finance review international 12 (2022) 1, pp. 51-68
Persistent link: https://www.econbiz.de/10012880138
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The correlation strength of the most important cryptocurrencies in the bull and bear market
Lahajnar, Sebastian; Rožanec, Alenka - In: Investment management and financial innovations 17 (2020) 3, pp. 67-81
Persistent link: https://www.econbiz.de/10012405543
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Combining Islamic equity portfolios and digital currencies : evidence from portfolio diversification
Alaoui, Abdelkader O. el; Dchieche, Amina; Asutay, Mehmet - In: Fintech, digital currency and the future of Islamic …, (pp. 31-48). 2021
the position of Monzer Kahf (Fatwa on Bitcoin (by Monzer Kahf). http://lightuponlight.com/blog/fatwa-on-bitcoin …-by-monzer-kahf/. Accessed 03 Feb 2020, 2017) who explained that Bitcoin is considered "Like any other currency". It should be used under the …
Persistent link: https://www.econbiz.de/10012414442
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Time-frequency co-movement of cryptocurrency return and volatility : evidence from wavelet coherence analysis
Qiao, Xingzhi; Zhu, Huiming; Hau, Liya - In: International review of financial analysis 71 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012436392