Determinants of cryptocurrency returns: A LASSO quantile regression approach
Determinants of cryptocurrency returns: A LASSO quantile regression approach
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, significantly impact the tail behavior of the cryptocurrency returns.
LASSO, quantile regression, Cryptocurrency, covid-19
Ciner, Cetin
cf7b4a40-8c6b-4105-ab75-cfd1547e79c0
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
8 July 2022
Ciner, Cetin
cf7b4a40-8c6b-4105-ab75-cfd1547e79c0
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Ciner, Cetin, Lucey, Brian and Yarovaya, Larisa
(2022)
Determinants of cryptocurrency returns: A LASSO quantile regression approach.
Finance Research Letters, 49, [102990].
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, significantly impact the tail behavior of the cryptocurrency returns.
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Ciner_et_al.FRL.QuantileLasso (1)
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Accepted/In Press date: 17 May 2022
e-pub ahead of print date: 19 May 2022
Published date: 8 July 2022
Keywords:
LASSO, quantile regression, Cryptocurrency, covid-19
Identifiers
Local EPrints ID: 470631
URI: http://eprints.soton.ac.uk/id/eprint/470631
ISSN: 1544-6123
PURE UUID: 95e1299c-c366-47b4-ba32-4753ba8d4e6d
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Date deposited: 17 Oct 2022 16:31
Last modified: 17 Mar 2024 07:28
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Contributors
Author:
Cetin Ciner
Author:
Brian Lucey
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