An empirical study of market risk factors for Bitcoin
Fuente:
arXiv
Salvato in:
| Autore principale: | |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2024
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866911937662550016 |
|---|---|
| author | Singh, Shubham |
| author_facet | Singh, Shubham |
| contents | The study examines whether fama-french equity factors can effectively explain the idiosyncratic risk and return characteristics of Bitcoin. By incorporating Fama-french factors, the explanatory power of these factors on Bitcoin's excess returns over various moving average periods is tested through applications of several statistical methods. The analysis aims to determine if equity market factors are significant in explaining and modeling systemic risk in Bitcoin. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_19401 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | An empirical study of market risk factors for Bitcoin Singh, Shubham Statistical Finance Computational Finance Mathematical Finance The study examines whether fama-french equity factors can effectively explain the idiosyncratic risk and return characteristics of Bitcoin. By incorporating Fama-french factors, the explanatory power of these factors on Bitcoin's excess returns over various moving average periods is tested through applications of several statistical methods. The analysis aims to determine if equity market factors are significant in explaining and modeling systemic risk in Bitcoin. |
| title | An empirical study of market risk factors for Bitcoin |
| topic | Statistical Finance Computational Finance Mathematical Finance |
| url | https://arxiv.org/abs/2406.19401 |