Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin
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DOI: 10.1016/j.jeconbus.2019.105886
Abstract: Abstract This study examines the link between returns and volatility of Bitcoin, at both contemporaneous and intertemporal levels, employing high-frequency data. The intraday price variability is proxied by four different measures, namely realized variance, jump… read more here.
Keywords: jump variation; risk return; return trade; bitcoin ... See more keywords