Portfolio diversification, hedge and safe-haven properties in cryptocurrency investments and financial economics: A systematic literature review
J Almeida, TC Gonçalves - Journal of Risk and Financial Management, 2022 - mdpi.com
Our study collected and synthetized the existing knowledge on portfolio diversification,
hedge, and safe-haven properties in cryptocurrency investments. We sampled 146 studies …
hedge, and safe-haven properties in cryptocurrency investments. We sampled 146 studies …
[HTML][HTML] Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties
This paper examines return and volatility connectedness between Bitcoin, traditional
financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and …
financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and …
[HTML][HTML] Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices
This paper examines the dynamic connectedness of return-and volatility spillovers among
cryptocurrency index (CRIX), Gold, and uncertainty measures. Apart from traditional …
cryptocurrency index (CRIX), Gold, and uncertainty measures. Apart from traditional …
Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures
Using daily data from August 9, 2015, to July 7, 2020, this study examines the effects of
economic policy uncertainty (EPU) on the returns of four cryptocurrencies: Bitcoin, Ethereum …
economic policy uncertainty (EPU) on the returns of four cryptocurrencies: Bitcoin, Ethereum …
More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies
K Fung, J Jeong, J Pereira - Finance research letters, 2022 - Elsevier
This paper explores the risk and return characteristics of a large and diverse cross-section of
254 cryptocurrencies that differ in traded volume and main usage. First, we find long …
254 cryptocurrencies that differ in traded volume and main usage. First, we find long …
Economic policy uncertainty in China and bitcoin returns: evidence from the COVID-19 period
This paper analyses the effects of the Chinese Economic Policy Uncertainty (CEPU) index
on the daily returns of Bitcoin for the period from December 31, 2019 to May 20, 2020 …
on the daily returns of Bitcoin for the period from December 31, 2019 to May 20, 2020 …
Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies
Cryptocurrencies have been historically characterised by large price swings and inherent
volatility at a much higher scale than traditional financial assets. Understanding the …
volatility at a much higher scale than traditional financial assets. Understanding the …
Effects of country and geopolitical risks on income inequality: evidence from emerging economies
Income inequality is rising due to the risks and uncertainties related to the COVID-19
pandemic and other risks. This paper examines the effects of country risks (measured by …
pandemic and other risks. This paper examines the effects of country risks (measured by …
Investor sentiment and stock returns during the COVID-19 pandemic
B Jiang, H Zhu, J Zhang, C Yan, R Shen - Frontiers in Psychology, 2021 - frontiersin.org
In this paper, we regard the Baidu index as an indicator of investors' attention to China's
epidemic stocks. We believe that when seeking information to guide investment decisions …
epidemic stocks. We believe that when seeking information to guide investment decisions …
Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk
Abstract We forecast the Range Value at Risk (RVaR) of main cryptocurrencies using the
GARCH model with different error distributions. We compare the performance of the different …
GARCH model with different error distributions. We compare the performance of the different …