Determinants of cryptocurrency returns: A LASSO quantile regression approach

Cetin Ciner, Brian Lucey and Larisa Yarovaya

Finance Research Letters, 2022, vol. 49, issue C

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.

Keywords: LLASSO; Quantile regression; Cryptocurrency; COVID-19 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002380

DOI: 10.1016/j.frl.2022.102990

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