Does Bitcoin add value to global industry portfolios?

DOI10.1016/J.ECONLET.2019.108935zbMath1442.91086OpenAlexW2998401173WikidataQ126405232 ScholiaQ126405232MaRDI QIDQ777646

Damian S. Damianov, Ahmed H. Elsayed

Publication date: 7 July 2020

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

Full work available at URL: http://dro.dur.ac.uk/29965/1/29965.pdf

zbMATH Keywords

portfolio diversificationBitcoinglobal industry sectorsreturn spillovers

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (1)

What is the expected return on bitcoin? Extracting the term structure of returns from options prices

Cites Work

• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Conditional Heteroskedasticity in Asset Returns: A New Approach

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