Now showing items 1-5 of 5
The influence of Bitcoin on portfolio diversification and design
We employ a VARMA DCC-GARCH model to search for portfolio diversification with Bitcoin in global industry portfolios and bond index. We find lower dynamic conditional correlations between Bitcoin and industry portfolios ...
High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets
This study examines the asymmetric volatility connectedness between Bitcoin and major precious metals markets (gold, silver, palladium, and platinum). We use high-frequency data with methodologies introduced by Diebold and ...
Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: an asymmetric multifractal detrended fluctuation analysis
This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC) and Ethereum (ETH), using the asymmetric multifractal detrended ...
The inefficiency of Bitcoin revisited: a high-frequency analysis with alternative currencies
We compare the time-varying weak-form efficiency of Bitcoin prices in terms of US dollars (BTCUSD) and euro (BTCEUR) at a high-frequency level by using permutation entropy. We find that BTCUSD and BTCEUR markets have become ...
The effectiveness of technical trading rules in cryptocurrency markets
We analyse various technical trading rules in the form of the moving average-oscillator and trading range break-out strategies to specifically test resistance and support levels and their trading performance using ...