The influence of Bitcoin on portfolio diversification and design
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DOI: 10.1016/j.frl.2019.101344
Abstract: Abstract We employ a VARMA DCC-GARCH model to search for portfolio diversification with Bitcoin in global industry portfolios and bond index. We find lower dynamic conditional correlations between Bitcoin and industry portfolios and bond index,… read more here.
Keywords: portfolio; industry; bitcoin; portfolio diversification ... See more keywords