An empirical study of market risk factors for Bitcoin
Statistical Finance
2024-07-02 v2 Computational Finance
Mathematical Finance
Abstract
The study examines whether fama-french equity factors can effectively explain the idiosyncratic risk and return characteristics of Bitcoin. By incorporating Fama-french factors, the explanatory power of these factors on Bitcoin's excess returns over various moving average periods is tested through applications of several statistical methods. The analysis aims to determine if equity market factors are significant in explaining and modeling systemic risk in Bitcoin.
Cite
@article{arxiv.2406.19401,
title = {An empirical study of market risk factors for Bitcoin},
author = {Shubham Singh},
journal= {arXiv preprint arXiv:2406.19401},
year = {2024}
}
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10 pages