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Cryptocurrency momentum: Is it an illusion?

https://doi.org/10.2139/ssrn.4633099
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s11408-022-00417-8openalex-extracted
Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?
inferredcites →https://doi.org/10.1016/j.econlet.2017.06.023openalex-extracted
Volatility estimation for Bitcoin: A comparison of GARCH models
inferredcites →https://doi.org/10.1016/j.econlet.2019.03.028openalex-extracted
Cryptocurrencies and momentum
inferredcites →https://doi.org/10.1016/j.frl.2018.10.005openalex-extracted
Volatility co-movement between Bitcoin and Ether
inferredcites →https://doi.org/10.1016/j.frl.2019.03.009openalex-extracted
Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis
inferredcites →https://doi.org/10.1016/j.frl.2019.07.021openalex-extracted
A three-factor pricing model for cryptocurrencies
inferredcites →https://doi.org/10.1016/j.intfin.2021.101289openalex-extracted
Speculation and lottery-like demand in cryptocurrency markets
inferredcites →https://doi.org/10.1016/j.irfa.2021.101891openalex-extracted
What do we know about the second moment of financial markets?
inferredcites →https://doi.org/10.1016/j.irfa.2021.101908openalex-extracted
Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets
inferredcites →https://doi.org/10.1016/j.jbankfin.2022.106547openalex-extracted
Trading volume and liquidity provision in cryptocurrency markets
inferredcites →https://doi.org/10.1016/j.jempfin.2021.09.002openalex-extracted
On the stability of stablecoins
inferredcites →https://doi.org/10.1016/j.ribaf.2019.01.001openalex-extracted
Investigating volatility transmission and hedging properties between Bitcoin and Ethereum
inferredcites →https://doi.org/10.1016/s0304-405x(01)00055-1openalex-extracted
The distribution of realized stock return volatility
inferredcites →https://doi.org/10.1038/s41567-020-0921-xopenalex-extracted
Tail risk of contagious diseases
inferredcites →https://doi.org/10.1086/294632openalex-extracted
The Variation of Certain Speculative Prices
inferredcites →https://doi.org/10.1086/294633openalex-extracted
Mandelbrot and the Stable Paretian Hypothesis
inferredcites →https://doi.org/10.1111/1468-0262.00418openalex-extracted
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.1111/jofi.13119openalex-extracted
Common Risk Factors in Cryptocurrency
inferredcites →https://doi.org/10.1137/070710111openalex-extracted
Power-Law Distributions in Empirical Data
inferredcites →https://doi.org/10.1198/016214501750332965openalex-extracted
The Distribution of Realized Exchange Rate Volatility
inferredcites →https://doi.org/10.2139/ssrn.267791openalex-extracted
The Distribution of Realized Exchange Rate Volatility
inferredcites →https://doi.org/10.2139/ssrn.3856863openalex-extracted
What Do We Know About the Second Moment of Financial Markets?
inferredcites →https://doi.org/10.3390/jrfm12040170openalex-extracted
A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets
inferredcites →https://doi.org/10.5860/choice.42-3541openalex-extracted
The (mis)behavior of markets: a fractal view of risk, ruin, and reward
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