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 …

"pump-and-dump schemes" in the crypto markets. To do that, we estimate the volatility spillovers from Bitcoin to altcoin and … the cryptos' own risk spillovers during bull and bear markets. The spillover results from Bitcoin to altcoin provide mixed …This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the …

cryptocurrencies' returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among … analysed cryptocurrencies. This paper provides new insights about cryptocurrency behaviour and the main measures of risk and … possibilities for arbitrage opportunities. Findings could be beneficial for investors and policymakers as well as for scientific …

-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform …