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On the investment credentials of Bitcoin: A cross-currency perspective
16 references·5 citing·32 second hop
On the investment credentials of Bitcoin: A cross-currency perspective (2019)On the investment credentials of Bitcoin:…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…On the coherence of expected shortfall (2002)On the coherence of expected …Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskThe Sharpe Ratio (1994)The Sharpe RatioGlobal Portfolio Optimization (1992)Global Portfolio OptimizationMutual Fund Performance (1966)Mutual Fund PerformancePORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Short-run and long-run determinants of bitcoin returns: transnational evidence (2022)Short-run and long-run determ…Market efficiency of the cryptocurrencies: Some new evidence based on price–volume relationship (2022)Market efficiency of the cryp…Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets (2021)Volatility communicator or re…Value at risk and returns of cryptocurrencies before and after the crash: long-run relations and fractional cointegration (2020)Value at risk and returns of …Cryptocurrency Trading: A Comprehensive Survey (2020)Cryptocurrency Trading: A Com…Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)International Stock Return Comovements (2005)High dimensional covariance matrix estimation using a factor model (2008)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Efficient Capital Markets: II (1991)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1966Mutual Fund Performance3,932 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited

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2017
Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets
1,342 cited

Cited by

  • 2021Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets77 cited
  • 2020Cryptocurrency Trading: A Comprehensive Survey30 cited
  • 2020Value at risk and returns of cryptocurrencies before and after the crash: long-run relations and fractional cointegration26 cited
  • 2022Market efficiency of the cryptocurrencies: Some new evidence based on price–volume relationship23 cited
  • 2022Short-run and long-run determinants of bitcoin returns: transnational evidence21 cited