"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 …

Virtual currency represents a specific technological innovation on financial markets. Bitcoin and other …, and Bitcoin. In addition, virtual currencies are moderately Correlated, with the exception of Tether based on correlation … analysis. The high correlation is dangerous for cryptocurrency in portfolio diversification. However, Tether is an atypical …

Crypto-currencies have developed a vibrant market since bitcoin, the rst crypto-currency, was created in 2009. We look … assets, studying their returns and the co-movements of altcoin prices with bitcoin and against each other. We evaluate their …-currencies: an equallyweighted one, a value-weighted one, and one based on the CRypto-currency IndeX (CRIX). The CRIX portfolio …

. Cryptocurrency, such as Bitcoin, has become a new currency tool for speculators and investors, and it is expected to be used in … future exchanges. Therefore, this paper uses a Value at Risk (VaR) model to measure the risk of investment in Bitcoin. In …

In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …