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)

zbMATH Keywords

adaptive LASSOreturn predictabilitycryptocurrencyinformation spillover

Mathematics Subject Classification ID

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

Cites work

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

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