This paper investigates a hedge and safe haven asset for Bitcoin investors. Bitcoin has been receiving high attention from finance investors because of its high upside return and volatility. The recent finance literature focused upon Bitcoin characteristics as an alternative asset. We take...

This study employs a conditional factor model in order to investigate the time-varying profitability of currency carry trades. To that end, I estimate conditional alphas and betas on the popular dollar and carry factors through the use of a nonparametric approach. The empirical results...

This study proposes a method to enhance cryptocurrency portfolio returns constructed by forecast models. We forecast returns on four liquid cryptocurrencies and determine the weights on the cryptocurrencies based upon a dynamic allocation framework. We assess the performances of the portfolios...