Momentum trading in cryptocurrencies: short-term returns and diversification benefits
DOI10.1016/J.ECONLET.2019.108728zbMATH Open1442.91091OpenAlexW2978236304WikidataQ116750705 ScholiaQ116750705MaRDI QIDQ777626FDOQ777626
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
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Cites Work
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
- Volatility and return jumps in Bitcoin
- Portfolio management with cryptocurrencies: the role of estimation risk
- Volatility estimation for Bitcoin: a comparison of GARCH models
- Optimal vs naïve diversification in cryptocurrencies
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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