SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles
12 references·16 citing·38 second hop
Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles (2018)Bitcoin and global financial stress: A co…On the return-volatility relationship in the Bitcoin market around the price crash of 2013 (2017)On the return-volatility rela…Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Does Bitcoin hedge global unc…Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017)Can volume predict Bitcoin re…The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)The cross-quantilogram: Measu…On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Virtual currency, tangible re…Hedging capabilities of bitcoin. Is it the virtual gold? (2015)Hedging capabilities of bitco…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Estimation of multivariate models for time series of possibly different lengths (2006)Estimation of multivariate mo…Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Nonparametric Specification T…An Introduction to Copulas (1999)An Introduction to CopulasQuasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…The role of financial stress, oil, gold and natural gas prices on clean energy stocks: Global evidence from extreme quantile approach (2022)The role of financial stress,…Implications of cryptocurrency energy usage on climate change (2022)Implications of cryptocurrenc…Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic (2021)Cryptocurrencies and oil pric…BitCoin: A new basket for eggs? (2020)BitCoin: A new basket for egg…Bitcoin and gold price returns: A quantile regression and NARDL analysis (2020)Bitcoin and gold price return…Asymmetric nexus between COVID-19 outbreak in the world and cryptocurrency market (2020)Asymmetric nexus between COVI…Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model (2019)Time-varying dynamic conditio…The relationship between Bitcoin returns and trade policy uncertainty (2019)The relationship between Bitc…Risk spillovers between oil and stock markets: A VAR for VaR analysis (2019)Risk spillovers between oil a…High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets (2019)High-frequency asymmetric vol…Forecasting cryptocurrency returns and volume using search engines (2019)Forecasting cryptocurrency re…Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting (2019)Exogenous drivers of Bitcoin …Does gold or Bitcoin hedge economic policy uncertainty? (2019)Does gold or Bitcoin hedge ec…Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar (2019)Does Bitcoin hedge crude oil …Bitcoin: Safe haven, hedge or diversifier? Perception of bitcoin in the context of a country’s economic situation — A stochastic volatility approach (2019)Bitcoin: Safe haven, hedge or…When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin (2018)When Bitcoin meets economic p…The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparison of semiparametric and parametric methods for estimating copulas (2006)Copula–Based Models for Financial Time Series (2009)The Effects of Traditional and Social Earned Media on Sales: A Study of a Microlending Marketplace (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Econometrics of Financial Markets (2012)An analysis of the literature on systemic financial risk: A survey (2016)Frequency Connectedness and Cross-quantile Dependence Between Green Bond and Green Equity Markets (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)A test for independence based on the correlation dimension (1996)RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)Dynamic connectedness and integration in cryptocurrency markets (2018)Oil prices, US stock return, and the dependence between their quantiles (2015)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)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)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)The Inefficiency of Bitcoin (2016)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?982 cited
  • 2017Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions816 cited
  • 2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach718 cited
  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin704 cited
  • 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series553 cited
  • 2006Estimation of multivariate models for time series of possibly different lengths421 cited
  • 2004Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates311 cited
  • 2017On the return-volatility relationship in the Bitcoin market around the price crash of 2013264 cited

Cited by

  • 2019Does gold or Bitcoin hedge economic policy uncertainty?266 cited
  • 2018When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

250 cited
  • 2019Bitcoin: Safe haven, hedge or diversifier? Perception of bitcoin in the context of a country’s economic situation — A stochastic volatility approach190 cited
  • 2020Bitcoin and gold price returns: A quantile regression and NARDL analysis185 cited
  • 2019Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting183 cited
  • 2020Asymmetric nexus between COVID-19 outbreak in the world and cryptocurrency market181 cited
  • 2019Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar168 cited
  • 2019Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model141 cited
  • 2019The relationship between Bitcoin returns and trade policy uncertainty141 cited
  • 2022The role of financial stress, oil, gold and natural gas prices on clean energy stocks: Global evidence from extreme quantile approach141 cited
  • 2019Risk spillovers between oil and stock markets: A VAR for VaR analysis133 cited
  • 2019Forecasting cryptocurrency returns and volume using search engines132 cited
  • 2022Implications of cryptocurrency energy usage on climate change126 cited
  • 2020BitCoin: A new basket for eggs?116 cited
  • 2021Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic110 cited
  • 2019High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets105 cited