Predictability of cryptocurrency returns: evidence from robust tests

DOI10.1515/demo-2022-0111zbMath1489.62330OpenAlexW4285292155MaRDI QIDQ2148734

Siyun He, Rustam Ibragimov

Publication date: 24 June 2022

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2022-0111

zbMATH Keywords

HACrobust inferencecryptocurrenciesBitcoin\(t\)-statistic inferencepredictive regressions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• Stata
• QRM
• hreg

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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• Heavy-tailed distributions and robustness in economics and finance
• t-Statistic Based Correlation and Heterogeneity Robust Inference
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Model-based pairs trading in the bitcoin markets
• Empirical properties of asset returns: stylized facts and statistical issues
• Common risk factors in the returns on stocks and bonds
• TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500

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