6 citations · 9 across the 5 of their papers we have counts for
5 papers
A Time-Varying Network for Cryptocurrencies
Li Guo, Wolfgang Karl Härdle, Yubo Tao
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a ti…
A first econometric analysis of the CRIX family
Shi Chen, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle
In order to price contingent claims one needs to first understand the dynamics of these indices. Here we provide a first econometric analysis of the CRIX family within a time-serie…
Regularization Approach for Network Modeling of German Power Derivative Market
Shi Chen, Wolfgang Karl Härdle, Brenda López Cabrera
In this paper we propose a regularization approach for network modeling of German power derivative market. To deal with the large portfolio, we combine high-dimensional variable se…
Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies
Alla Petukhina, Simon Trimborn, Wolfgang Karl Härdle +1
Cryptocurrencies (CCs) have risen rapidly in market capitalization over the last years. Despite striking price volatility, their high average returns have drawn attention to CCs as…
A Time-Varying Network for Cryptocurrencies
Li Guo, Wolfgang Karl Härdle, Yubo Tao
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a ti…