Cross-cryptocurrency return predictability

DOI10.1016/J.JEDC.2024.104863MaRDI QIDQ6572647zbMATH OpenFDO

Authors Li Guo, Bo Sang, Jun Tu, Yu Wang

Publication date 16 July 2024

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JEDC.2024.104863

zbMATH Keywords

adaptive LASSOcryptocurrencyinformation spilloverreturn predictability

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Determining the Number of Factors in Approximate Factor Models
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• The Adaptive Lasso and Its Oracle Properties

Cited in

(1)

• Pair trading strategies in the cryptoassets market: a cointegration framework with optimized thresholds using genetic algorithms

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