Bitcoin-based triangular arbitrage with the Euro/U.S. dollar as a foreign futures hedge: modeling with a bivariate GARCH model

This paper proposes a bitcoin-based triangular arbitrage, combining foreign exchanges in the bitcoin market and reverse foreign exchange spot transactions. An FX futures contract is used to reduce exposure to risk as a hedging instrument. The returns of the portfolio are jointly modeled using a biva...

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發表在:	Quantitative Finance and Economics
Main Authors:	Zheng Nan, Taisei Kaizoji
格式:	Article
語言:	英语
出版:	AIMS Press 2019-06-01
主題:	bitcoin| bitcoin exchange rate| triangular arbitrage| optimal hedge ratio| DCC-GARCH model
在線閱讀:	https://www.aimspress.com/article/10.3934/QFE.2019.2.347/fulltext.html