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Achieving Portfolio Diversification through Cryptocurrencies in European Markets

Author

Listed:
  • Pavković Ana
  • Anđelinović Mihovil
  • Pavković Ivan

    (University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia)

Abstract

Background: Cryptocurrencies represent a specific technological innovation in financial markets that keeps getting more and more popular among investors around the world. Given the specific characteristics of the cryptocurrencies, this paper examines the possibility of their use as a diversification instrument.

Suggested Citation

  • Pavković Ana & Anđelinović Mihovil & Pavković Ivan, 2019. "Achieving Portfolio Diversification through Cryptocurrencies in European Markets," Business Systems Research, Sciendo, vol. 10(2), pages 85-107, September.
    • Handle: RePEc:bit:bsrysr:v:10:y:2019:i:2:p:85-107:n:7
    DOI: 10.2478/bsrj-2019-020
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    References listed on IDEAS

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    More about this item

    Keywords

    Bitcoin; portfolio diversification; volatility clustering; wavelet; cryptocurrencies;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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