Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies
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- Alla Petukhina & Simon Trimborn & Wolfgang Karl Härdle & Hermann Elendner, 2021. "Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies," Quantitative Finance, Taylor & Francis Journals, vol. 21(11), pages 1825-1853, November.
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Citations
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- Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022.
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- Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: Investigating the Crypto-market," Papers 2203.10777, arXiv.org.
- Xie, Wenhao & Cao, Guangxi, 2024. "Volatility and returns connectedness between cryptocurrency and China’s financial markets: A TVP-VAR extended joint connectedness approach," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
- Zdravka Aljinović & Branka Marasović & Tea Šestanović, 2021. "Cryptocurrency Portfolio Selection—A Multicriteria Approach," Mathematics, MDPI, vol. 9(14), pages 1-21, July.
- Aljinović Zdravka & Marasović Branka & Milićević Tea Kalinić, 2022. "The Risk and Return of Traditional and Alternative Investments Under the Impact of COVID-19," Business Systems Research, Sciendo, vol. 13(3), pages 8-22, October.
- Gunay, Samet & Goodell, John W. & Muhammed, Shahnawaz & Kirimhan, Destan, 2023. "Frequency connectedness between FinTech, NFT and DeFi: Considering linkages to investor sentiment," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Alla A. Petukhina & Raphael C. G. Reule & Wolfgang Karl Härdle, 2021.
"Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies,"
The European Journal of Finance, Taylor & Francis Journals, vol. 27(1-2), pages 8-30, January.
- Petukhina, Alla A. & Reule, Raphael C. G. & Härdle, Wolfgang Karl, 2019. "Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies," IRTG 1792 Discussion Papers 2019-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Alla A. Petukhina & Raphael C. G. Reule & Wolfgang Karl Hardle, 2020. "Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies," Papers 2009.04200, arXiv.org.
- Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
- Patel, Ritesh & Migliavacca, Milena & Oriani, Marco E., 2022. "Blockchain in banking and finance: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 62(C).
- Rebekka Buse & Konstantin Gorgen & Melanie Schienle, 2022. "Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests," Papers 2203.08224, arXiv.org, revised Dec 2024.
- Bruno Spilak & Wolfgang Karl Hardle, 2022. "Risk budget portfolios with convex Non-negative Matrix Factorization," Papers 2204.02757, arXiv.org, revised Jun 2023.
- Gerritsen, Dirk F. & Lugtigheid, Rick A.C. & Walther, Thomas, 2022. "Can Bitcoin Investors Profit from Predictions by Crypto Experts?," Finance Research Letters, Elsevier, vol. 46(PA).
- Čuljak, Maria & Tomić, Bojan & Žiković, Saša, 2022. "Benefits of sectoral cryptocurrency portfolio optimization," Research in International Business and Finance, Elsevier, vol. 60(C).
- Rudkin, Simon & Rudkin, Wanling & Dłotko, Paweł, 2023. "On the topology of cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Ingo Weber & Mark Staples, 2022. "Programmable money: next-generation blockchain-based conditional payments," Digital Finance, Springer, vol. 4(2), pages 109-125, September.
- Kim, Alisa & Trimborn, Simon & Härdle, Wolfgang Karl, 2021.
"VCRIX — A volatility index for crypto-currencies,"
International Review of Financial Analysis, Elsevier, vol. 78(C).
- Kim, Alisa & Trimborn, Simon & Härdle, Wolfgang Karl, 2019. "VCRIX - a volatility index for crypto-currencies," IRTG 1792 Discussion Papers 2019-027, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Steven Y. K. Wong & Jennifer S. K. Chan & Lamiae Azizi, 2024. "Quantifying neural network uncertainty under volatility clustering," Papers 2402.14476, arXiv.org, revised Sep 2024.
- Chen, Hao & Xu, Chao, 2022. "The impact of cryptocurrencies on China's carbon price variation during COVID-19: A quantile perspective," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
- Petukhina, Alla & Klochkov, Yegor & Härdle, Wolfgang Karl & Zhivotovskiy, Nikita, 2024. "Robustifying Markowitz," Journal of Econometrics, Elsevier, vol. 239(2).
- Wolfgang Karl Hardle & Yegor Klochkov & Alla Petukhina & Nikita Zhivotovskiy, 2022. "Robustifying Markowitz," Papers 2212.13996, arXiv.org.
- Serdar Neslihanoglu, 2021. "Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
- Luis Lorenzo & Javier Arroyo, 2023. "Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-40, December.
- Ren, Rui & Althof, Michael & Härdle, Wolfgang Karl, 2020. "Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis," IRTG 1792 Discussion Papers 2020-028, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
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This paper has been announced in the following NEP Reports:- NEP-PAY-2020-09-21 (Payment Systems and Financial Technology)
- NEP-RMG-2020-09-21 (Risk Management)
- NEP-UPT-2020-09-21 (Utility Models and Prospect Theory)
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