We aim to construct portfolios by employing different risk models and compare their performance in order to understand their appropriateness for effective portfolio management for investors. Mean variance (MV), semi variance (SV), mean absolute deviation (MaD) and conditional value at risk...

We examine the profitability of the momentum and contrarian strategies in three South Asian markets, i.e., Bangladesh, India, and Pakistan. We also analyze, whether credit risk influences momentum and contrarian return for these markets from 2008 to 2014. We use default risk that relates to...

We test for the existence of bubbles in DeFi-focused cryptocurrencies, seeking to identify key driving forces that distinguish DeFi tokens from conventional cryptocurrencies. Conducting Supremum Augmented Dickey-Fuller, and Hacker-Hatemi-J modified Wald tests, as well as Diebold-Yilmaz return...

We investigate connectedness between energy cryptocurrencies and common asset classes, including oil, using TVP-VAR modeling, evidencing that energy cryptocurrencies, as diversifiers, normally have strong connections with bitcoin and nothing else. However, their connectedness to other assets...