A Principal Component-Guided Sparse Regression Approach for the Determination of Bitcoin Returns
We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010−2018 (2872 daily observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic policy uncertainty and stock market volatility are...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-02-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/13/2/33 |