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| Cryptoasset Returns: Statistical Properties and Implications for Asset Allocations |
| Hyemin Kim, Noolee Kim |
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Korean J Financ Stud. 2022;51(5):635-664. Published online October 31, 2022 DOI: https://doi.org/10.26845/KJFS.2022.10.51.5.635 |
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Cryptoasset Returns: Statistical Properties and Implications for Asset Allocations Korean Journal of Financial Studies. 2022;51(5):635-664  Statistical inference of the efficient frontier for dependent asset returns Statistical Papers. 2007;50(3):593-604 Models for heavy-tailed asset returns Statistical Tools for Finance and Insurance. 2011;21-55 Explaining US stock market returns from 1980 to 2005: Implications for the next 25 years Journal of Asset Management. 2006;6(6):418-432 Multifractal model of asset returns with leverage effect Physica A: Statistical Mechanics and its Applications. 2004;343:603-622 An Economic Evaluation of Model Risk in Long-term Asset Allocations Review of International Economics. 2013;21(3):475-491 Large Investors: Implications for Equilibrium Asset Returns, Shock Absorption, and Liquidity Finance and Economics Discussion Series. 2005;2005(36):1-72 A class of non-expected utility risk measures and implications for asset allocations Insurance: Mathematics and Economics. 2001;28(1):69-82 Asset returns and volatility clustering in financial time series Physica A: Statistical Mechanics and its Applications. 2011;390(7):1300-1314 Time-independent models of asset returns revisited Physica A: Statistical Mechanics and its Applications. 2000;282(1-2):304-324 |
