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Cryptocurrencies, Stocks, and Economic Policy Uncertainty : A FAVAR Analysis

Civelli, Andrea; Jackson, Laura E. - 2023

We study the interactions between cryptocurrencies, stock markets, and economic policy uncertainty (EPU) by means of a Factor-Augmented Vector Autoregressive (FAVAR) framework. We rely on two market factors to model the comovements of returns within cryptocurrencies and stock markets. We...

Persistent link: https://www.econbiz.de/10014254302

Bubbles and Crashes in Cryptocurrencies : Interdependence, Contagion, or Asset Rotation?

Chowdhury, Md Shahedur R.; Damianov, Damian S.; … - 2021

Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts and a net receiver during booms. Analysis of...

Persistent link: https://www.econbiz.de/10013324335

Re-Evaluating Cryptocurrencies’ Contribution to Portfolio Diversification – A Portfolio Analysis With Special Focus on German Investors

Schmitz, Tim - 2020

In this paper, we investigate whether mixing cryptocurrencies to a German investor portfolio improves portfolio diversification. We analyse this research question by applying a (mean variance) portfolio analysis using a toolbox consisting of:(i) the comparison of descriptive statistics, (ii)...

Persistent link: https://www.econbiz.de/10012831425

Value-at-Risk and Expected Shortfall in Cryptocurrencies' Portfolio : A Vine Copula-based Approach

Trucíos, Carlos - 2019

Risk management is an important and helpful process for investors, hedge funds, traders and market makers. One of its … key points is the appropriate estimation of risk measures which can improve the investment decisions and trading … strategies. The high volatility of cryptocurrencies turns them a really risky investment and consequently, appropriate risk …

Persistent link: https://www.econbiz.de/10012864228

Cryptocurrency Pair Trading

Lesa, Chiara; Hochreiter, Ronald - 2023

Pair trading is a strategy which relies on betting on the relative mispricing of the spread between two securities which share a long-term relationship. These strategies have shown to perform well with equities, however not much research has been conducted in the field of cryptocurrencies, even...

Persistent link: https://www.econbiz.de/10014350826

A Multivariate Approach for the Simultaneous Modelling of Market Risk and Credit Risk for Cryptocurrencies

Fantazzini, Dean - 2019

This paper proposes a set of models which can be used to estimate the market risk for a portfolio of crypto …-currencies, and simultaneously to estimate also their credit risk using the Zero Price Probability (ZPP) model by Fantazzini et al … backtesting exercise using two datasets of 5 and 15 coins for market risk forecasting and a dataset of 42 coins for credit risk …

Persistent link: https://www.econbiz.de/10012863029

Economic Policy Uncertainty and the Bitcoin market

Huynh, Toan Luu Duc - 2019

volatilities. Therefore, under uncertain regimes, investors are risk-averse to trade, which makes the market less volatile. Our … findings confirm the existence of pessimistic risk premium and the theory of deteriorating liquidity under uncertainties in the …

Persistent link: https://www.econbiz.de/10012864067

Uncertainty and Bubbles in Cryptocurrencies : Evidence from Newly Developed Uncertainty Indices

Chowdhury, Md Shahedur R.; Damianov, Damian - 2023

In this paper, we examine whether newly developed crypto price and policy uncertainty indices based on news coverage (Lucey et al., 2022) are associated with the emergence of bubbles in cryptocurrencies. Using probit regressions, we show that these indices have a higher explanatory power than...

Persistent link: https://www.econbiz.de/10014258417

The Impact of Bitcoin Futures Introduction on Spot Price Crash Risk

Pan, Ningning; Zhang, Chuanhai - 2023

This paper examines the impact of futures introduction on Bitcoin price crash risk. Using the difference …-in-difference (DID) approach, we find that the crash risk of Bitcoin, proxied by negative coefficient of skewness (NCSKEW) and down … rather than increases Bitcoin price crash risk …

Persistent link: https://www.econbiz.de/10014257732

Bitcoin price risk - a durations perspective

Dimpfl, Thomas; Odelli, Stefania - In: Journal of risk and financial management : JRFM 13 (2020) 7/157, pp. 1-18

Persistent link: https://www.econbiz.de/10012309358