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Dynamic selection of Gram-Charlier expansions with risk targets : an application to cryptocurrencies

Jiménez, Inés; Mora-Valencia, Andrés; Perote, Javier - In: Risk management : an international journal 24 (2022) 1, pp. 81-99

Persistent link: https://www.econbiz.de/10013163633

Outliers and time-varying jumps in the cryptocurrency markets

Dutta, Anupam; Bouri, Elie - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-7

We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin …, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns … are contaminated with outliers. Time-varying jumps are present in Bitcoin, Litecoin, Ripple, and the cryptocurrency index …

Persistent link: https://www.econbiz.de/10013163949

Returns, volatility and the cryptocurrency bubble of 2017-18

Cross, Jamie; Hou, Chenghan; Trinh, Kelly - In: Economic modelling 104 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013164208

The mean-variance core of cryptocurrencies : when more is not better

Galvani, Valentina; Faychuk, Vita - 2022

Persistent link: https://www.econbiz.de/10013166522

Jumps in geopolitical risk and the cryptocurrency market : the singularity of bitcoin

Bouri, Elie; Gupta, Rangan; Xuan Vinh Vo - In: Defence and peace economics 33 (2022) 2, pp. 150-161

Persistent link: https://www.econbiz.de/10013167286

CBDC as competitor for bank deposits and cryptocurrencies

Fuchs, Max - 2022

Private cryptocurrencies allow for payments without the need for a financial institution. These institutions, the … a payment system which is superior to cryptocurrencies. Miners cannot match the CBDC rate and go bankrupt. Retail banks … out cryptocurrencies by an interest-bearing CBDC. …

Persistent link: https://www.econbiz.de/10013168975

COVID-19, lockdowns and herding towards a cryptocurrency market-specific implied volatility index

Rubbaniy, Ghulame; Polyzos, Stathis; Rizvi, Kumail Abbas; … - In: Economics letters 207 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10013169956

Cumulation, crash, coherency : a cryptocurrency bubble wavelet analysis

Fruehwirt, Wolfgang; Hochfilzer, Leonhard; Weydemann, … - In: Finance research letters 40 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012818919

Cryptocurrencies and the low volatility anomaly

Burggraf, Tobias; Rudolf, Markus - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012819216

Convergence in cryptocurrency prices? : the role of market microstructure

Apergēs, Nikolaos; Koutmos, Dimitrios; Payne, James E. - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012819218