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Minimum-Variance Hedging of Bitcoin Inverse Futures · Study

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ArticleMinimum-Variance Hedging of Bitcoin Inverse Futures

Jun Deng2020

OA

Articlegreen2020

Minimum-Variance Hedging of Bitcoin Inverse Futures

Jun Deng · Huifeng Pan · Shuyu Zhang · Bin Zou

21 citations·0/0 files stored·Applied Economics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk Management in Financial Firms

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References

2003Options, Futures and Other Derivatives 1979The Hedging Performance of the New Futures Markets 2016The Inefficiency of Bitcoin 2015Hedging capabilities of bitcoin. Is it the virtual gold?2018Trading and Arbitrage in Cryptocurrency Markets 2018Price manipulation in the Bitcoin ecosystem 2015Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices 1984Hedging Performance and Basis Risk in Stock Index Futures

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Year2020

Typearticle

Published2020-01-01

VenueApplied Economics

ISSN-L0003-6846

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1080/00036846.2020.1789549

openalex_workW3041040920

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