Sanhaji, Bilel; Chevallier, Julien - In: Econometrics : open access journal 11 (2023) 3, pp. 1-36
' betas from high-frequency returns for Bitcoin and Ethereum-the two major cryptocurrencies-against their classic counterparts … Bitcoin and Ethereum with respect to the CRIX market index, which could enhance portfolio diversification (at the expense of … frequency is thus revealed as being less precise for capturing the 'pure' systematic risk for Bitcoin and Ethereum. For Ethereum …