Hedging cryptos with Bitcoin futures

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios may not be suitable for hedgers. In this work, we consider two ext...

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Bibliographic Details
Main Authors: LIU, Francis, PACKHAM, Natalie, LU, Meng-Jou, HAERDLE, Wolfgang Karl
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
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Online Access:https://ink.library.smu.edu.sg/skbi/35
https://ink.library.smu.edu.sg/context/skbi/article/1034/viewcontent/Hedging_cryptos_with_Bitcoin_futures.pdf
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Institution: Singapore Management University
Language: English
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