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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
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Bitcoin intraday time series momentum
Shen, Dehua; Urquhart, Andrew; Wang, Pengfei - In: The financial review : the official publication of the … 57 (2022) 2, pp. 319-344
Persistent link: https://www.econbiz.de/10013189512
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Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting
Walther, Thomas; Klein, Tony; Bouri, Elie - 2018
Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction …
Persistent link: https://www.econbiz.de/10014284448
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Outliers and time-varying jumps in the cryptocurrency markets
Dutta, Anupam; Bouri, Elie - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-7
We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin …, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns … are contaminated with outliers. Time-varying jumps are present in Bitcoin, Litecoin, Ripple, and the cryptocurrency index …
Persistent link: https://www.econbiz.de/10013163949
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Returns, volatility and the cryptocurrency bubble of 2017-18
Cross, Jamie; Hou, Chenghan; Trinh, Kelly - In: Economic modelling 104 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013164208
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Jumps in geopolitical risk and the cryptocurrency market : the singularity of bitcoin
Bouri, Elie; Gupta, Rangan; Xuan Vinh Vo - In: Defence and peace economics 33 (2022) 2, pp. 150-161
Persistent link: https://www.econbiz.de/10013167286
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COVID-19, lockdowns and herding towards a cryptocurrency market-specific implied volatility index
Rubbaniy, Ghulame; Polyzos, Stathis; Rizvi, Kumail Abbas; … - In: Economics letters 207 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10013169956
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Cryptocurrencies and the low volatility anomaly
Burggraf, Tobias; Rudolf, Markus - In: Finance research letters 40 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012819216
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Is there one safe-haven for various turbulences? : the evidence from gold, Bitcoin and Ether
Będowska-Sójka, Barbara; Kliber, Agata - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012821881
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Do cryptocurrencies hedge against EPU and the equity market volatility during COVID-19? : New evidence from quantile coherency analysis
Jiang, Yonghong; Wu, Lanxin; Tian, Gengyu; Nie, He - In: Journal of international financial markets, … 72 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012801456