Momentum trading in cryptocurrencies: short-term returns and diversification benefits

DOI10.1016/J.ECONLET.2019.108728zbMath1442.91091OpenAlexW2978236304WikidataQ116750705 ScholiaQ116750705MaRDI QIDQ777626

Bayasgalan Tsend-Ayush, Panagiotis Tzouvanas, Renatas Kizys

Publication date: 7 July 2020

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

Full work available at URL: http://sro.sussex.ac.uk/id/eprint/86820/1/Tzouvanas_paper.pdf

zbMATH Keywords

momentumdynamic conditional correlationcryptocurrency

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Volatility and return jumps in Bitcoin
• Portfolio management with cryptocurrencies: the role of estimation risk
• Volatility estimation for Bitcoin: a comparison of GARCH models
• Optimal vs naïve diversification in cryptocurrencies

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