This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

We study intraday patterns of returns, trading activity, volatility and illiquidity in cryptocurrency markets. We analyze intraday data from 1,940 trading pairs traded on 38 centralized exchanges around the globe and show that there are pronounced intraday patterns. These patterns are similar...