Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect

DOI10.1016/J.ECONLET.2022.110885zbMath1501.91183OpenAlexW4303520997MaRDI QIDQ2096246

Jimmie Lenz, Alessio Brini

Publication date: 16 November 2022

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2022.110885

zbMATH Keywords

volatilityleverage effectcryptocurrencymarket crash

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

• Volatility puzzles: a simple framework for gauging return-volatility regressions
• Asymmetric volatility in cryptocurrencies
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Empirical properties of asset returns: stylized facts and statistical issues

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