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Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets

Aslanidis, Nektarios - 2020

This paper adopts a versatile multivariate conditional correlation model to estimate daily seasonality in the returns … insights in terms of investment and portfolio diversification, that can be applied to the analysis of systematic risk asset …

Persistent link: https://www.econbiz.de/10012839971

Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …

Persistent link: https://www.econbiz.de/10014532413

Price Discovery of a Speculative Asset : Evidence from a Bitcoin Exchange

Ghysels, Eric - 2018

This paper examines price discovery and liquidity provision in the secondary market for bitcoin -- an asset that has no observable fundamentals and is associated with a high level of speculative trading. Based on a comprehensive dataset of the full limit order book of BTC-e over the 2013-2014...

Persistent link: https://www.econbiz.de/10012910270

Cryptocurrency Network Factors and Gold

Nakagawa, Kei; Sakemoto, Ryuta - 2021

Both cryptocurrencies and gold are scarce, expensive for extraction, and less affected by money supply. We focus on these similarities and investigate whether cryptocurrency network affects impact on expected return on gold. Our results show that the number of cryptocurrency wallet users is...

Persistent link: https://www.econbiz.de/10013227440

Portfolio Diversification using Cryptocurrency

S, Padmavarthini - 2021

performance. Testing the maximized utility for different levels of risk aversion confirms the findings of this empirical study and …

Persistent link: https://www.econbiz.de/10013235837

Long-term nexus of macroeconomic and financial fundamentals with cryptocurrencies

Pourpourides, Panayiotis M. - 2022

monthly data reveals a robust statistical correlation, resulting in adverse effects on cryptocurrency prices, market …

Persistent link: https://www.econbiz.de/10014433399

In Cryptocurrencies We Trust : An Empirical Analysis of Bitcoin Demand and Price

Sharma, Vasundhara - 2020

Many pundits have alluded to cryptocurrencies as a bubble or Ponzi scheme. Yet, noted economists have long emphasized the need for competing currencies, and the usage of Bitcoin is high in countries where the fiat currency has experienced significant devaluation. With no central authority...

Persistent link: https://www.econbiz.de/10012849385

Demand Elasticities of Bitcoin and Ethereum

Jalan, Akanksha; Matkovskyy, Roman; Urquhart, Andrew - 2023

In this paper we analyze dynamic demand elasticity for Bitcoin and Ethereum in terms of price, transaction fees, and energy usage. We find that while both BTC and ETH have significantly positive price elasticities, transaction fee elasticity is negative and positive for BTC and ETH respectively,...

Persistent link: https://www.econbiz.de/10014257180

On survivor stocks in the S&P 500 stock index

Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24

This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...

Persistent link: https://www.econbiz.de/10012888297

Stochastic Idiosyncratic Cash Flow Risk and Real Options : Implications for Stock Returns

Bhamra, Harjoat Singh - 2016

based on introducing stochastic idiosyncratic cash flow risk into an equity valuation model of firms with growth options …. Within our model, a firm's systematic risk depends on the delta of its growth option. The growth option's delta is lower when … idiosyncratic volatility rises, driving down the firm's systematic risk and hence its expected return - firms with higher …

Persistent link: https://www.econbiz.de/10013007739