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What is the expected return on Bitcoin? Extracting the term structure of returns from options prices
16 references·0 citing·51 second hopsampled
What is the expected return on Bitcoin? Extracting the term structure of returns from options prices (2021)What is the expected return on Bitcoin? E…The term structure of equity risk premia (2021)The term structure of equity …Is Bitcoin really more than a diversifier? A pre- and post-COVID-19 analysis (2021)Is Bitcoin really more than a…Economic policy uncertainty and cryptocurrency volatility (2020)Economic policy uncertainty a…Does Bitcoin add value to global industry portfolios? (2020)Does Bitcoin add value to glo…What Is the Expected Return on a Stock? (2019)What Is the Expected Return o…Do FOMC and macroeconomic announcements affect Bitcoin prices? (2019)Do FOMC and macroeconomic ann…Cryptocurrencies and the downside risk in equity investments (2019)Cryptocurrencies and the down…Common Risk Factors in Cryptocurrency (2019)Common Risk Factors in Crypto…The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study (2018)The Role of Bitcoin in Well D…Risks and Returns of Cryptocurrency (2018)Risks and Returns of Cryptocu…How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets (2018)How investible is Bitcoin? An…Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Bitcoin is not the New Gold –…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…What Is the Expected Return on the Market? (2016)What Is the Expected Return o…Nonexpected Utility in Macroeconomics (1990)Nonexpected Utility in Macroe…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The equity premium: A puzzle (1985)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Household Finance (2006)An Intertemporal Capital Asset Pricing Model (1973)The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)Understanding Consumption (1992)Unequal Societies: Income Distribution and the Social Contract (2000)Correlations in Price Changes and Volatility across International Stock Markets (1990)Dynamic Conditional Correlation (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)The Inefficiency of Bitcoin (2016)Cryptocurrency forecasting with deep learning chaotic neural networks (2018)Return and volatility spillovers among cryptocurrencies (2018)Bitcoin volatility, stock market and investor sentiment. Are they connected? (2019)The General Theory of Employment, Interest and Money. (1936)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach (2018)Cryptocurrency trading: a comprehensive survey (2022)Measuring Economic Policy Uncertainty* (2016)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)COVID-19 and the United States financial markets’ volatility (2020)Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis (2020)Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices (2021)The Pricing of Options and Corporate Liabilities (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)The Time Variation in Risk Appetite and Uncertainty (2017)Volatility‐Managed Portfolios (2017)Declining Labor and Capital Shares (2020)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Disaster Resilience and Asset Prices (2020)Is Carbon Risk Priced in the Cross Section of Corporate Bond Returns? (2020)Pricing Climate Change Exposure (2021)Common Risk Factors in Cryptocurrency (2019)Cryptocurrencies and stock market indices. Are they related? (2019)A Novel Cryptocurrency Price Prediction Model Using GRU, LSTM and bi-LSTM Machine Learning Algorithms (2021)
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References

  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,425 cited
  • 2018Risks and Returns of Cryptocurrency1,135 cited
  • 1990Nonexpected Utility in Macroeconomics986 cited
  • 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance886 cited
  • 2016What Is the Expected Return on the Market?540 cited
  • 2018The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study270 cited
  • 2018How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets232 cited
  • 2019What Is the Expected Return on a Stock?211 cited
  • 2020Economic policy uncertainty and cryptocurrency volatility195 cited
  • 2019Cryptocurrencies and the downside risk in equity investments192 cited
  • 2021Is Bitcoin really more than a diversifier? A pre- and post-COVID-19 analysis123 cited
  • 2019Common Risk Factors in Cryptocurrency102 cited
  • 2021The term structure of equity risk premia99 cited
  • 2019Do FOMC and macroeconomic announcements affect Bitcoin prices?

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  • 2020Does Bitcoin add value to global industry portfolios?54 cited
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