Predictability of cryptocurrency returns: evidence from robust tests
The paper provides a comparative empirical study of predictability of cryptocurrency returns and prices using econometrically justified robust inference methods. We present robust econometric analysis of predictive regressions incorporating factors, which were suggested by Liu, Y., & Tsyvinski,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2022-06-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2022-0111 |