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Keywords: Litecoin
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Journal Articles
Causality-in-mean and causality-in-variance among Bitcoin, Litecoin, and Ethereum
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2021) 38 (4): 861–872.
Published: 11 April 2021
...Eray Gemici; Müslüm Polat Purpose This study aims to examine the volatility spillovers between Bitcoin (BTC), Litecoin (LTC) and Ethereum (ETH) as they are related to structural breaks. Design/methodology/approach This study examines the daily period from August 7, 2015 to July 10, 2018...
Journal Articles
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2019) 36 (4): 581–599.
Published: 25 September 2019
... to a set of performance metrics. Findings The paper finds cointegrated portfolios involving four cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Bitcoin Cash (BCH) and Litecoin (LTC), and the corresponding trading strategies are shown to be profitable under different configurations. Originality...
Journal Articles
Bitcoin, Litecoin, and the Euro: an annualized volatility analysis
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2020) 37 (2): 229–242.
Published: 12 July 2019
...Cynthia Miglietti; Zdenka Kubosova; Nicole Skulanova Purpose This paper aims to empirically investigate the volatility of Bitcoin, Litecoin and the Euro. Design/methodology/approach The authors use quantitative methodologies to assess the annualized volatility of two cryptocurrencies and one...
