Predictability of cryptocurrency returns: evidence from robust tests

DOI10.1515/DEMO-2022-0111MaRDI QIDQ2148734zbMATH OpenOpenAlexFDO

Authors Siyun He, Rustam Ibragimov

Publication date 24 June 2022

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2022-0111

zbMATH Keywords

\(t\)-statistic inferenceBitcoincryptocurrenciesHACpredictive regressionsrobust inference

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• t-Statistic Based Correlation and Heterogeneity Robust Inference
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds
• Empirical properties of asset returns: stylized facts and statistical issues
• GMM estimation with cross sectional dependence
• Heavy-tailed distributions and robustness in economics and finance
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Model-based pairs trading in the bitcoin markets
• Quantitative risk management. Concepts, techniques and tools
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Volatility estimation for Bitcoin: a comparison of GARCH models

Cited in

(1)

• Return and volatility spillovers among cryptocurrencies

Describes a project that uses

Uses Software

• hreg
• QRM
• Stata

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