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A Statistical Analysis of Cryptocurrencies
3 references·16 citing·53 second hop
A Statistical Analysis of Cryptocurrencies (2017)A Statistical Analysis of CryptocurrenciesWhat Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis (2015)What Are the Main Drivers of …Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Virtual currency, tangible re…Neural networks in finance : gaining predictive edge in the market (2005)Neural networks in finance : …BeFi meets DeFi: A behavioral finance approach to decentralized finance asset pricing (2023)BeFi meets DeFi: A behavioral…Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios (2022)Stablecoins as a tool to miti…An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies (2021)An extreme value analysis of …OUP accepted manuscript (2020)OUP accepted manuscriptOn the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market (2020)On the Market Efficiency and …Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting? (2020)Cryptocurrencies value‐at‐ris…The adaptive market hypothesis in the high frequency cryptocurrency market (2019)The adaptive market hypothesi…Return and volatility spillovers between Bitcoin and other asset classes in Turkey (2019)Return and volatility spillov…Multifractal behavior of price and volume changes in the cryptocurrency market (2019)Multifractal behavior of pric…High frequency momentum trading with cryptocurrencies (2019)High frequency momentum tradi…Forecasting Bitcoin risk measures: A robust approach (2019)Forecasting Bitcoin risk meas…Common Risk Factors in the Returns on Cryptocurrencies (2019)Common Risk Factors in the Re…Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility (2018)Wavelet time-scale persistenc…Portfolio diversification across cryptocurrencies (2018)Portfolio diversification acr…Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect (2018)Cryptocurrencies from the per…Bitcoin Price Forecasting Using Time Series Analysis (2018)Bitcoin Price Forecasting Usi…Using wavelets to decompose the time–frequency effects of monetary policy (2008)On the inefficiency of Bitcoin (2016)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)PORTFOLIO SELECTION* (1952)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)The Effectiveness of Technical Trading Rules in Cryptocurrency Markets (2019)Convolution on neural networks for high-frequency trend prediction of cryptocurrency exchange rates using technical indicators (2020)Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis (2020)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A long memory property of stock market returns and a new model (1993)Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs (2021)Investor attention and cryptocurrency: Evidence from wavelet-based quantile Granger causality analysis (2021)Does volatility in cryptocurrencies drive the interconnectedness between the cryptocurrencies market? Insights from wavelets (2022)Multifractal detrended fluctuation analysis of nonstationary time series (2002)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Signatures of the Crypto-Currency Market Decoupling from the Forex (2019)Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19 (2020)An analysis of the return–volume relationship in decentralised finance (DeFi) (2023)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Cryptocurrency volatility forecasting: A Markov regime‐switching MIDAS approach (2020)Forecasting volatility of Bitcoin (2021)Machine learning approaches to forecasting cryptocurrency volatility: Considering internal and external determinants (2023)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Asymmetric efficiency of cryptocurrencies during COVID19 (2020)Cryptocurrency returns and the volatility of liquidity (2021)High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Forecasting Bitcoin with technical analysis: A not-so-random forest? (2021)Speculation and lottery-like demand in cryptocurrency markets (2021)Is Geopolitical Risk Priced in the Cross-Section of Cryptocurrency Returns? (2022)COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)Long-Term Global Market Correlations (2001)Buying Beauty: On Prices and Returns in the Art Market (2012)Predicting the Price of Bitcoin Using Machine Learning (2018)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)Continuous Auctions and Insider Trading (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Bitcoin option pricing with a SETAR-GARCH model (2020)The Bitcoin options market: A first look at pricing and risk (2020)Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data (2022)Pairs selection and outranking: An application to the S&P 100 index (2008)Forecasting tourism demand based on empirical mode decomposition and neural network (2011)Impact of COVID-19 on GDP of major economies: Application of the artificial neural network forecaster (2020)
this work references cited by second hop

References

  • 2015What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis989 cited
  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin704 cited
  • 2005Neural networks in finance : gaining predictive edge in the market224 cited

Cited by

  • 2018Portfolio diversification across cryptocurrencies205 cited
  • 2019The adaptive market hypothesis in the high frequency cryptocurrency market140 cited
  • 2019Common Risk Factors in the Returns on Cryptocurrencies116 cited
  • 2019Forecasting Bitcoin risk measures: A robust approach107 cited
  • 2019Multifractal behavior of price and volume changes in the cryptocurrency market77 cited
  • 2018Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility73 cited
  • 2020OUP accepted manuscript71 cited
  • 2022Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios64 cited
  • 2020Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting?62 cited
  • 2019High frequency momentum trading with cryptocurrencies54 cited
  • 2019Return and volatility spillovers between Bitcoin and other asset classes in Turkey53 cited

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2018
Bitcoin Price Forecasting Using Time Series Analysis
52 cited
  • 2018Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect49 cited
  • 2021An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies47 cited
  • 2020On the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market46 cited
  • 2023BeFi meets DeFi: A behavioral finance approach to decentralized finance asset pricing39 cited