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The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19
16 references·5 citing·33 second hop
The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19 (2022)The diversification benefits of cryptocur…Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Safe haven or risky hazard? B…COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)COVID-19 pandemic, oil prices…Trading and Arbitrage in Cryptocurrency Markets (2018)Trading and Arbitrage in Cryp…Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Bitcoin is not the New Gold –…Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Does Bitcoin hedge global unc…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn 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…Hedging capabilities of bitcoin. Is it the virtual gold? (2015)Hedging capabilities of bitco…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…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Global Portfolio Optimization (1992)Global Portfolio OptimizationBayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Digital finance and personality traits interplay in determining central bank digital currency adoption: extending the technology acceptance perspective (2025)Digital finance and personali…Leveraging FinTech Compliance to Mitigate Cryptocurrency Volatility for Secure US Employee Retirement Benefits: Bitcoin ETF Case Study (2024)Leveraging FinTech Compliance…Behavioral and Psychological Determinants of Cryptocurrency Investment: Expanding UTAUT with Perceived Enjoyment and Risk Factors (2024)Behavioral and Psychological …Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits (2023)Extreme downside risk transmi…Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach (2022)Assessing the Risk Characteri…A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)A Simplified Model for Portfolio Analysis (1963)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)Measuring Economic Policy Uncertainty* (2016)COVID-19 and finance: Agendas for future research (2020)COVID-Induced Economic Uncertainty (2020)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Financial contagion during COVID–19 crisis (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)Conditional value-at-risk for general loss distributions (2002)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)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)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach1,488 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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  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?982 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2018Trading and Arbitrage in Cryptocurrency Markets903 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance832 cited
  • 2020Safe haven or risky hazard? Bitcoin during the Covid-19 bear market

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832 cited
  • 2017Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions816 cited
  • Cited by

    • 2023Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits86 cited
    • 2024Leveraging FinTech Compliance to Mitigate Cryptocurrency Volatility for Secure US Employee Retirement Benefits: Bitcoin ETF Case Study27 cited
    • 2022Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach24 cited
    • 2024Behavioral and Psychological Determinants of Cryptocurrency Investment: Expanding UTAUT with Perceived Enjoyment and Risk Factors14 cited
    • 2025Digital finance and personality traits interplay in determining central bank digital currency adoption: extending the technology acceptance perspective9 cited