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- W3034641695 abstract "Cryptocurrencies return cross-predictability yields information on riskpropagation and market segmentation. To explore these effects, we build adynamic network of cryptocurrencies based on the evolution of returncross-predictability and develop a dynamic covariate-assisted spectralclustering method to consistently estimate the latent group membership ofcryptocurrencies. We show that return cross-predictability andcryptocurrencies' characteristics, including hashing algorithms and prooftypes, jointly determine the cryptocurrencies market segmentation. Portfolioanalysis reveals that more centred cryptocurrencies in the network earn higherrisk premiums." @default.
- W3034641695 created "2020-06-19" @default.
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- W3034641695 date "2018-02-11" @default.
- W3034641695 modified "2023-09-27" @default.
- W3034641695 title "A Dynamic Network for Cryptocurrencies" @default.
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