A Time-Varying Network for Cryptocurrencies
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F24%3A10452676" target="_blank" >RIV/00216208:11320/24:10452676 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=PKFwBlRMsC" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=PKFwBlRMsC</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/07350015.2022.2146695" target="_blank" >10.1080/07350015.2022.2146695</a>
Alternative languages
Result language
angličtina
Original language name
A Time-Varying Network for Cryptocurrencies
Original language description
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the evolution of return cross-predictability and technological similarities. We develop a dynamic covariate-assisted spectral clustering method to consistently estimate the latent community structure of cryptocurrencies network that accounts for both sets of information. We demonstrate that investors can achieve better risk diversification by investing in cryptocurrencies from different communities. A cross-sectional portfolio that implements an inter-crypto momentum trading strategy earns a 1.08% daily return. By dissecting the portfolio returns on behavioral factors, we confirm that our results are not driven by behavioral mechanisms.
Czech name
—
Czech description
—
Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Business and Economic Statistics
ISSN
0735-0015
e-ISSN
1537-2707
Volume of the periodical
42
Issue of the periodical within the volume
2
Country of publishing house
US - UNITED STATES
Number of pages
20
Pages from-to
437-456
UT code for WoS article
000897074300001
EID of the result in the Scopus database
2-s2.0-85144064625