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arXiv q-fin· Pedram Ebadollahyvahed, Nneka Umeorah·· 5 hr agoAI Score56

Weekend Cryptocurrency Volatility and Monday Market Risk

Weekend Crypto Volatility and Monday Market Risk

AI summary

A new arXiv paper examines whether weekend cryptocurrency volatility can predict Monday variance in equity, commodity, and fixed income markets. The study uses daily range-based variance data for Bitcoin, Ethereum, XRP, the S&P 500, gold, and US Treasury ETFs from 2017 to 2026, incorporating a weekend cryptocurrency common factor into a heterogeneous autoregressive model.

Source:arXiv q-fin · arxiv.org

Academic papers#Papers / Research#Crypto Assets#Volatility#arXiv

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