This paper examines the risk cascade in high-order moments between investors and traders operating at different investment horizons in the cryptocurrency market. After constructing realized skewness and kurtosis on five major cryptocurrencies (BTC, ETH, XRP, LTC, and XLM) based on...

We examine the profitability of a cross-asset time-series momentum strategy (XTSMOM) constructed using past crude oil options and stock market returns as joint predictors. We show that past crude oil options straddle returns negatively predict while past stock returns positively predict future...