We study the relationship between conditional quantiles of returns and the long-, medium- and short-term volatility in a portfolio of financial assets. We argue that the combination of quantile panel regression and wavelet decomposition of the volatility time series provides us with new insights...

This study investigates the relationship between expected returns on cryptocurrencies and macroeconomic fundamentals. We employ a dynamic factor model and summarize information as common factors. We find that the common factors are strongly linked to the cryptocurrency expected returns at a...

The study employs the wavelet coherence and the spillover index methodologies to investigate time-varying relationship between green sukuk and selected assets from the crypto-currency and commodity markets between October 2019, and March 2022. The results of wavelet coherence indicated weak...

This paper aims to find the effectiveness of Cryptocurrency on well-formed portfolio with assets like Commodities, Exchange Traded Fund (ETFs), Stock assets and currency value of INR. There are several ways to determine the effectiveness in diversification. In this paper we use SOLVER, Modern...

What are cryptocurrencies? They are created (or mined) by the solving of complex mathematical problems that verify transactions – just a chain with data, no backing with real assets and no issuance as a medium of exchange by a central bank! Therefore, the word ‘cryptocurrency’ can be...

Cryptocurrency markets exhibit periods of large, recurrent arbitrage opportunities across exchanges. These price deviations are much larger across than within countries, and smaller between cryptocurrencies, highlighting the importance of capital controls for the movement of arbitrage capital....

We examine the association of Bitcoin, and other cryptocurrency, returns with changes in inflation expectations. We show that returns of cryptocurrency, and gold, are positively related to changes in US inflation expectations. This relationship holds after controlling for uncertainty in economic...

Since the launch of Bitcoin in 2009, the spectacular rise and fall of cryptocurrencies and the underlying blockchain technology have attracted global attention. While the application of distributed ledger technology presents great economic and business potential, significant volatility and...

Since the launch of Bitcoin in 2009, the spectacular rise and fall of cryptocurrencies and the underlying blockchain technology have attracted global attention. While the application of distributed ledger technology presents great economic and business potential, significant volatility and...