Special Issue "Alternative Assets and Cryptocurrencies"

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074).

Deadline for manuscript submissions: 31 October 2018

Special Issue Editor

Guest Editor
Prof. Christian Hafner

CORE and Institute of statistics, biostatistics and actuarial sciences, Université catholique de Louvain, Louvain-la-neuve, Belgium
Website | E-Mail
Interests: financial econometrics

Special Issue Information

Dear Colleagues,

In times of low interest rates, classical fixed-income type investments become less attractive, while the risks of speculative bubbles in stocks and real estate increase. Crises such as the global financial crisis 2007–09 or the European debt crisis 2011–12 amplify the need for diversification and safe haven investments, a role traditionally played by gold. Recently, there has been an increasing academic interest in alternative investments such as fine art, wine, diamonds, classical cars, watches, and many other physical goods. Typically, heterogeneity of the investments hampers construction of price indices and performance analyses. Cryptocurrencies share some features of alternative assets such as low correlation with financial markets, but they are non-physical, without an intrinsic consumption value, and still suffer from extreme volatilities, which explains why hedge funds remain reluctant to include them in their portfolios. However, this may change in the future with higher market maturity and less volatility. This Special Issue will collect papers addressing alternative assets and cryptocurrencies from financial, economic or econometric viewpoints. Topics include properties of cryptocurrencies, construction of price indices, portfolio diversification, performance evaluation, prediction, volatility and correlation modelling, correlation with financial markets, extreme value analysis, statistical and time series properties, risk management, etc.

Prof. Dr. Christian Hafner
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 350 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • properties of cryptocurrencies
  • construction of price indices
  • portfolio diversification
  • performance evaluation
  • prediction
  • volatility and correlation modelling
  • correlation with financial markets
  • extreme value analysis
  • statistical and time series properties
  • risk management

Published Papers (2 papers)

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Research

Open AccessFeature PaperArticle Can Bitcoin Replace Gold in an Investment Portfolio?
J. Risk Financial Manag. 2018, 11(3), 48; https://doi.org/10.3390/jrfm11030048
Received: 2 July 2018 / Revised: 8 August 2018 / Accepted: 13 August 2018 / Published: 14 August 2018
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Abstract
Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to use several different multivariate GARCH models (dynamic
[...] Read more.
Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to use several different multivariate GARCH models (dynamic conditional correlation (DCC), asymmetric DCC (ADCC), generalized orthogonal GARCH (GO-GARCH)) to estimate minimum variance equity portfolios. Both long and short portfolios are considered. An analysis of the economic value shows that risk-averse investors will be willing to pay a high performance fee to switch from a portfolio with gold to a portfolio with bitcoin. These results are robust to the inclusion of trading costs. Full article
(This article belongs to the Special Issue Alternative Assets and Cryptocurrencies)
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Open AccessArticle Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis
J. Risk Financial Manag. 2018, 11(2), 23; https://doi.org/10.3390/jrfm11020023
Received: 10 April 2018 / Revised: 5 May 2018 / Accepted: 8 May 2018 / Published: 10 May 2018
Cited by 1 | PDF Full-text (875 KB) | HTML Full-text | XML Full-text
Abstract
We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure of global economic activity. We
[...] Read more.
We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure of global economic activity. We find that S&P 500 realized volatility has a negative and highly significant effect on long-term Bitcoin volatility. The finding is atypical for volatility co-movements across financial markets. Moreover, we find that the S&P 500 volatility risk premium has a significantly positive effect on long-term Bitcoin volatility. Finally, we find a strong positive association between the Baltic dry index and long-term Bitcoin volatility. This result shows that Bitcoin volatility is closely linked to global economic activity. Overall, our findings can be used to construct improved forecasts of long-term Bitcoin volatility. Full article
(This article belongs to the Special Issue Alternative Assets and Cryptocurrencies)
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