Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum
Using the capital asset pricing model, this article critically assesses the relative importance of computing ‘realized’ betas from high-frequency returns for Bitcoin and Ethereum—the two major cryptocurrencies—against their classic counterparts using the 1-day and 5-day return-based betas. The sampl...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2023-08-01
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Series: | Econometrics |
Subjects: | |
Online Access: | https://www.mdpi.com/2225-1146/11/3/19 |