Hedging cryptos with Bitcoin futures-Reference-Cited by-同舟云学术

Hedging cryptos with Bitcoin futures

Published:2023-03-30 Issue:5 Volume:23 Page:819-841
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Liu Francis¹²³^ORCID,Packham Natalie¹³^ORCID,Lu Meng-Jou⁴^ORCID,Härdle Wolfgang Karl²⁵⁶⁷⁸^ORCID

Affiliation:

1. Department of Business and Economics, Berlin School of Economics and Law, Badensche Str. 52, 10825 Berlin, Germany

2. Blockchain Research Center, Humboldt-Universität zu Berlin, Berlin, Germany

3. International Research Training Group 1792 Humboldt-Universität zu Berlin, Berlin, Germany

4. Department of Finance, Asia University, Lioufeng Rd. 500, Taichung 41354, Taiwan

5. Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, People's Republic of China

6. Sim Kee Boon Institute for Financial Economics, Singapore Management University, Singapore, Singapore

7. Faculty of Mathematics and Physics, Charles University, Prague, Czech Republic

8. National Yang Ming Chiao Tung University, Hsinchu, Taiwan

Funder

European Cooperation in Science & Technology

Deutsche Forschungsgemeinschaft's

Yushan Scholar Program of Taiwan the Czech Science Foundation's

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2187316

Reference53 articles.

1. Abramowitz, M. and Stegun, I., Handbook of mathematical functions with formulas, graphs, and mathematical tables. Applied mathematics series, U.S. Government Printing Office, 1972, 1964.

2. Spectral measures of risk: A coherent representation of subjective risk aversion

3. Akaike, H., Information theory and an extension of the maximum likelihood principle. In Second International Symposium on Information Theory, edited by B. N. Petrov and F. Csaki, pp. 267–281, 1973. (Akadémiai Kiado: Budapest).

4. BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness

5. A critical investigation of cryptocurrency data and analysis

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