Momentum trading in cryptocurrencies: short-term returns and diversification benefits

DOI10.1016/J.ECONLET.2019.108728MaRDI QIDQ777626zbMATH OpenOpenAlexWikidataFDO

Authors Panagiotis Tzouvanas, Renatas Kizys, Bayasgalan Tsend-Ayush

Publication date 7 July 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://sro.sussex.ac.uk/id/eprint/86820/1/Tzouvanas_paper.pdf

zbMATH Keywords

momentumdynamic conditional correlationcryptocurrency

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• Optimal vs naïve diversification in cryptocurrencies
• Portfolio management with cryptocurrencies: the role of estimation risk
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Volatility and return jumps in Bitcoin
• Volatility estimation for Bitcoin: a comparison of GARCH models

Cited in

(7)

• Technical trading and cryptocurrencies
• The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction
• Measuring cryptocurrency moment convergence using distance analysis
• How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality
• Diversification benefits in the cryptocurrency market under mild explosivity
• Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
• Optimal vs naïve diversification in cryptocurrencies

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