Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance
Year of publication: |
2018
|
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Authors: | Klein, Tony ; Thu, Hien Pham ; Walther, Thomas |
Publisher: |
Berlin : Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" |
Subject: | BEKK | Bitcoin | CRIX | Cryptocurrency | Gold | GARCH | Conditional Correlation | Asymmetry | Long memory |
Series: | IRTG 1792 Discussion Paper ; 2018-015 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/230726 [Handle] RePEc:zbw:irtgdp:2018015 [RePEc] |
Classification: | C10 - Econometric and Statistical Methods: General. General ; c58 ; G11 - Portfolio Choice |
Source: |
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Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance
Klein, Tony, (2018)
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Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance
Klein, Tony, (2018)
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Exogenous drivers of cryptocurrency volatility : a mixed data sampling approach to forecasting
Walther, Thomas, (2018)
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True or spurious long memory in European non-EMU currencies
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Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance
Klein, Tony, (2018)
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Bitcoin is not the New Gold : a comparison of volatility, correlation, and portfolio performance
Klein, Tony, (2018)
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