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Contribution Details
Type | Bachelor's Thesis |
Scope | Discipline-based scholarship |
Title | Interdependencies of Cryptocurrencies |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Number of Pages | 44 |
Date | 2018 |
Abstract Text | Abstract In this thesis I consider the implementation of a VAR-DCCGARCH based strategy on a cryptocurrency portfolio consisting of Bitcoin and six widely used Altcoins, to take advantage of possible spillover effects between the currencies in the portfolio. Furthermore, the use of a moving average crossover rule, based on the network value to transaction volume ratio, to improve the strategy is examined. As a benchmark a simple Buy and Hold portfolio strategy is used. To compare the the strategies the Sharpe ratio is used and a studentized bootstrap interference is implemented to test the hypotheses that there is no difference in the Sharpe ratios of the strategies. Strong evidence that the VAR-DCCGARCH strategy renders superior risk adjusted returns compared to the Buy and Hold benchmark is presented. Additionally evidence, that VAR-DCCGARCH is improved upon by combining it with the moving average crossover rule, is presented. |
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