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Are cryptocurrencies connected to forex? : a quantile cross-spectral approach

Baumöhl, Eduard - 2018

This paper aims to elucidate the connectedness between major forex currencies and cryptocurrencies using the quantile … cryptocurrencies over the period of 1 September 2015 to 29 December 2017. Compared with the results obtained from standard correlations …

Persistent link: https://www.econbiz.de/10011796561

Stablecoins as a crypto safe haven? Not all of them!

Baumöhl, Eduard; Vyrost, Tomas - 2020

-weighted averages across 18 exchanges where these cryptocurrencies are traded, thus capturing the entire price movement around the world …

Persistent link: https://www.econbiz.de/10012183194

Kryptowährungen in der Asset- Allokation: eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios

Glas, Tobias N.; Poddig, Thorsten - In: Vierteljahrshefte zur Wirtschaftsforschung 87 (2018) 3, pp. 107-128

This article shows that the inclusion of cryptocurrencies to a portfolio consisting of several German asset classes … should be viewed with caution. Due to a high realized volatility, cryptocurrencies are only marginally included in a … cryptocurrencies is not supported by mean-variance-spanning tests. Furthermore, the tradability of this new asset class and its data …

Persistent link: https://www.econbiz.de/10012144672

Kryptowährungen in der Asset-Allokation : eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios

Glas, Tobias N.; Poddig, Thorsten - In: Vierteljahrshefte zur Wirtschaftsforschung 87 (2018) 3, pp. 107-128

Persistent link: https://www.econbiz.de/10012053532

Leveraged Carry Trade Portfolios

Darvas, Zsolt - 2008

Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the...

Persistent link: https://www.econbiz.de/10010494390