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Long-range correlations and asymmetry in the Bitcoin market
12 references·16 citing·44 second hop
Long-range correlations and asymmetry in the Bitcoin market (2017)Long-range correlations and asymmetry in …The Market Efficiency of Bitcoin: A Weekly Anomaly Perspective (2017)The Market Efficiency of Bitc…Some stylized facts of the Bitcoin market (2017)Some stylized facts of the Bi…Price clustering in Bitcoin (2017)Price clustering in BitcoinHigh-Frequency Jump Analysis of the Bitcoin Market (2017)High-Frequency Jump Analysis …The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn the inefficiency of Bitcoin (2016)On the inefficiency of BitcoinCorporate Governance and Blockchains (2016)Corporate Governance and Bloc…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Does Bitcoin follow the hypothesis of efficient market? (2015)Does Bitcoin follow the hypot…Bitcoins as an investment or speculative vehicle? A first look (2014)Bitcoins as an investment or …Time-varying Hurst exponent for US stock markets (2008)Time-varying Hurst exponent f…Time-dependent Hurst exponent in financial time series (2004)Time-dependent Hurst exponent…Re-examining Bitcoin Volatility: A CAViaR-based Approach (2021)Re-examining Bitcoin Volatili…Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China (2021)Is Bitcoin a better portfolio…Volatility persistence in cryptocurrency markets under structural breaks (2020)Volatility persistence in cry…Policy uncertainty and Bitcoin returns (2020)Policy uncertainty and Bitcoi…Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19 (2020)Changes to the extreme and er…A complete empirical ensemble mode decomposition and support vector machine-based approach to predict Bitcoin prices (2020)A complete empirical ensemble…Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal (2019)Volatility forecasting, downs…Multifractal behavior of price and volume changes in the cryptocurrency market (2019)Multifractal behavior of pric…Forecasting Bitcoin volatility: The role of leverage effect and uncertainty (2019)Forecasting Bitcoin volatilit…Cryptocurrency momentum effect: DFA and MF-DFA analysis (2019)Cryptocurrency momentum effec…Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis (2019)Cryptocurrencies and equity f…Clustering patterns in efficiency and the coming-of-age of the cryptocurrency market (2019)Clustering patterns in effici…Asymmetric multifractal cross-correlations between the main world currencies and the main cryptocurrencies (2019)Asymmetric multifractal cross…Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility (2018)Wavelet time-scale persistenc…Quantifying the cross-correlations between online searches and Bitcoin market (2018)Quantifying the cross-correla…Bitcoin price–volume: A multifractal cross-correlation approach (2018)Bitcoin price–volume: A multi…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock returns and the weekend effect (1980)BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era (2013)The effects of markets, uncertainty and search intensity on bitcoin returns (2018)COVID-19 pandemic improves market signals of cryptocurrencies–evidence from Bitcoin, Bitcoin Cash, Ethereum, and Litecoin (2021)Forecasting Bitcoin prices using artificial intelligence: Combination of ML, SARIMA, and Facebook Prophet models (2023)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Does the Stock Market Overreact? 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(2009)Cross-correlations between Chinese A-share and B-share markets (2010)Econophysics and sociophysics: Their milestones & challenges (2018)A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques (2005)Comparison of detrending methods for fluctuation analysis (2008)Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Dividend yields and expected stock returns (1988)Time-varying long-term memory in Bitcoin market (2017)Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position (2019)Multiscale characteristics of the emerging global cryptocurrency market (2020)A new look at Cryptocurrencies (2017)Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Price discovery of cryptocurrencies: Bitcoin and beyond (2018)Return and volatility spillovers among cryptocurrencies (2018)Takeover Bids, The Free-Rider Problem, and the Theory of the Corporation (1980)Large Shareholders as Monitors: Is There a Trade‐Off between Liquidity and Control? (1998)Real and Accrual-Based Earnings Management in the Pre- and Post-Sarbanes-Oxley Periods (2008)The FinTech Opportunity (2016)The emergence of the global fintech market: economic and technological determinants (2018)Fintech and access to finance (2021)Negative bubbles and shocks in cryptocurrency markets (2016)Informational efficiency of Bitcoin—An extension (2017)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)An Empirical Study on Modeling and Prediction of Bitcoin Prices With Bayesian Neural Networks Based on Blockchain Information (2017)The inefficiency of Bitcoin revisited: A dynamic approach (2017)Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)
this work references cited by second hop

References

  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2016Corporate Governance and Blockchains1,069 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2014Bitcoins as an investment or speculative vehicle? A first look635 cited
  • 2017Some stylized facts of the Bitcoin market449 cited
  • 2004Time-dependent Hurst exponent in financial time series403 cited
  • 2017Price clustering in Bitcoin355 cited
  • 2008Time-varying Hurst exponent for US stock markets219 cited
  • 2015Does Bitcoin follow the hypothesis of efficient market?139 cited
  • 2017High-Frequency Jump Analysis of the Bitcoin Market95 cited
  • 2017The Market Efficiency of Bitcoin: A Weekly Anomaly Perspective91 cited

Cited by

  • 2019Asymmetric multifractal cross-correlations between the main world currencies and the main cryptocurrencies124 cited
  • 2018Bitcoin price–volume: A multifractal cross-correlation approach111 cited
  • 2019Clustering patterns in efficiency and the coming-of-age of the cryptocurrency market106 cited

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

  • 2019Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis104 cited
  • 2020Policy uncertainty and Bitcoin returns88 cited
  • 2021Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China82 cited
  • 2020Volatility persistence in cryptocurrency markets under structural breaks78 cited
  • 2021Re-examining Bitcoin Volatility: A CAViaR-based Approach78 cited
  • 2019Multifractal behavior of price and volume changes in the cryptocurrency market77 cited
  • 2019Cryptocurrency momentum effect: DFA and MF-DFA analysis77 cited
  • 2020Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-1974 cited
  • 2018Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility73 cited
  • 2020A complete empirical ensemble mode decomposition and support vector machine-based approach to predict Bitcoin prices73 cited
  • 2019Forecasting Bitcoin volatility: The role of leverage effect and uncertainty69 cited
  • 2019Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal68 cited
  • 2018Quantifying the cross-correlations between online searches and Bitcoin market68 cited