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Momentum trading in cryptocurrencies : short-term returns and diversification benefits

Tzouvanas, Panagiotis; Kizys, Renatas; Tsend-Ayush, … - In: Economics letters 191 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012508024

Cryptocurrency Momentum and VIX premium

Chang, Hsuan-ling; Nie, Wei-ying; Chang, Li-han; Cheng, … - In: Finance research letters 57 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014507872

Cointegrated portfolios and volatility modeling in the cryptocurrency market

Gabriel, Stefan; Kunst, Robert M. - 2024

constructing cointegrated portfolios that enable statistical arbitrage. Moreover, we find evidence for a connection between market … implement two types of forecasting models for Bitcoin volatility: the GARCH (generalized autoregressive conditional … important role in Bitcoin volatility forecasts. The findings indicate that the realized GARCH model is the only GARCH model that …

Persistent link: https://www.econbiz.de/10014495264

Bitcoin-based triangular arbitrage with the Euro/U.S. dollar as a foreign futures hedge : modeling with a bivariate GARCH model

Nan, Zheng; Kaizoji, Taisei - In: Quantitative finance and economics 3 (2019) 2, pp. 347-365

Persistent link: https://www.econbiz.de/10012176483

It's all in the timing again : simple active portfolio strategies that outperform naïve diversification in the cryptocurrency market

Tavares, Ricardo de Souza; Caldeira, João F.; Raimundo … - In: Applied economics letters 29 (2022) 2, pp. 118-122

Persistent link: https://www.econbiz.de/10012803391

Variable tradeoff between diversification and volatility on risk-averse approaches to crypto allocation for Indian retail investors

Agarwal, Ajay - In: Advances in Management Research : Emerging Challenges …, (pp. 210-228). 2022

Persistent link: https://www.econbiz.de/10014434884

Google search and cross-section of cryptocurrency returns and trading activities

Hoang Lai Trung; Duc Hong Vo - In: Journal of behavioral and experimental finance 44 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015162560

Do limits to arbitrage explain the benefits of volatility-managed portfolios?

Barroso, Pedro; Detzel, Andrew - In: Journal of financial economics 140 (2021) 3, pp. 744-767

Persistent link: https://www.econbiz.de/10013259593

Investor attention and Bitcoin trading behaviors

Wang Chun Wei; Koutmos, Dimitrios - In: Essays on Financial Analytics : Applications and Methods, (pp. 87-116). 2023

Persistent link: https://www.econbiz.de/10014338803

Investor attention and idiosyncratic risk in cryptocurrency markets

Yao, Shouyu; Kong, Xiaoran; Sensoy, Ahmet; Akyildirim, … - In: The European journal of finance 30 (2024) 16, pp. 1932-1950

Persistent link: https://www.econbiz.de/10015323326