Determinants of cryptocurrency returns: A LASSO quantile regression approach

【Author】 Ciner, Cetin; Lucey, Brian; Yarovaya, Larisa

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We consider a relatively large set of predictors and investigate the determinants of cryptocurrency returns at different quantiles. Our analysis exclusively focuses on the highly volatile period of COVID-19. The innovation in the paper stems from the fact that we employ the LASSO penalty in a quantile regression framework to select informative variables. We find that US government bond indices and small company stock returns, a new predictor introduce in this study, signifi-cantly impact the tail behavior of the cryptocurrency returns.

【Keywords】LLASSO; Quantile regression; Cryptocurrency; COVID-19

【发表时间】2022 OCT

【收录时间】2022-08-15

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币