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Cryptocurrencies: Asset Classification, Trading and Portfolio Management

https://doi.org/10.2139/ssrn.6277859
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Intraday time‐series momentum: Evidence from China
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An empirical investigation on risk factors in cryptocurrency futures
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Mixed moment estimator and location invariant alternatives
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On the determinants of pairs trading profitability
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Profitability of pairs trading strategy in an illiquid market with multiple share classes
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Bitcoin: Medium of exchange or speculative assets?
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Volatility forecast comparison using imperfect volatility proxies
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Time Series Momentum and Reversal: Intraday Information from Realized Semivariance
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Comovement
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Time Series Momentum
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Market intraday momentum
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Trading and Arbitrage in Cryptocurrency Markets
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Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply
inferredcites →https://doi.org/10.1016/j.ribaf.2025.102949openalex-snapshot
Style investing and return comovement in the cryptocurrency market
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A well-conditioned estimator for large-dimensional covariance matrices
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Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
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What's My Line? A Comparison of Industry Classification Schemes for Capital Market Research
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Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins
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The Stationary Bootstrap
inferredcites →https://doi.org/10.1080/10293523.2023.2268386openalex-snapshot
Pairs trading in cryptocurrency markets: A comparative study of statistical methods
inferredcites →https://doi.org/10.1080/1351847x.2021.1960403openalex-snapshot
Are cryptos becoming alternative assets?
inferredcites →https://doi.org/10.1080/1351847x.2022.2033806openalex-snapshot
The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19
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International Monetary Policy and Cryptocurrency Markets: Dynamic and Spillover Effects
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Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies
inferredcites →https://doi.org/10.1080/14697688.2022.2109989openalex-snapshot
Bitcoin: jumps, convenience yields, and option prices
inferredcites →https://doi.org/10.1080/14697688.2023.2187316openalex-snapshot
Hedging cryptos with Bitcoin futures
inferredcites →https://doi.org/10.1080/14697688.2026.2653663openalex-snapshot
Pair trading strategies in the cryptoassets market: a cointegration framework with optimized thresholds using genetic algorithms
inferredcites →https://doi.org/10.1093/rfs/12.5.937openalex-snapshot
On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model
inferredcites →https://doi.org/10.1093/rfs/hhaa113openalex-snapshot
Risks and Returns of Cryptocurrency
inferredcites →https://doi.org/10.1093/rfs/hhj020openalex-snapshot
Pairs Trading: Performance of a Relative-Value Arbitrage Rule
inferredcites →https://doi.org/10.1109/tsp.2010.2053029openalex-snapshot
Shrinkage Algorithms for MMSE Covariance Estimation
inferredcites →https://doi.org/10.1111/joes.12153openalex-snapshot
STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK
inferredcites →https://doi.org/10.1111/jofi.12021openalex-snapshot
Value and Momentum Everywhere
inferredcites →https://doi.org/10.1111/jofi.13119openalex-snapshot
Common Risk Factors in Cryptocurrency
inferredcites →https://doi.org/10.2307/1913236openalex-snapshot
Co-Integration and Error Correction: Representation, Estimation, and Testing
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2469/faj.v63.n6.4927openalex-snapshot
Industry Classifications and Return Comovement
inferredcites →https://doi.org/10.2469/faj.v66.n4.1openalex-snapshot
Does Simple Pairs Trading Still Work?
inferredcites →https://doi.org/10.3905/jpm.2004.110openalex-snapshot
Honey, I Shrunk the Sample Covariance Matrix
inferredcites →https://doi.org/10.3905/jpm.2017.44.1.015openalex-snapshot
A Century of Evidence on Trend-Following Investing
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