The Optimal Foreign Exchange Futures Hedge on the Bitcoin Exchange Rate: An Application to the U.S. Dollar and the Euro
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Publication:5148846
DOI10.1007/978-981-15-4498-9_9zbMath1457.91389OpenAlexW3046146378MaRDI QIDQ5148846
Publication date: 5 February 2021
Published in: Advanced Studies of Financial Technologies and Cryptocurrency Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-981-15-4498-9_9
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Time Series Analysis of Ether Cryptocurrency Prices: Efficiency, Predictability, and Arbitrage on Exchange Rates
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