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What determines bitcoin exchange prices? A network VAR approach · Study

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ArticleWhat determines bitcoin exchange prices? A network VAR approach

Paolo Giudici2018

Article2018

What determines bitcoin exchange prices? A network VAR approach

Paolo Giudici · Iman Abu Hashish

191 citations·0/0 files stored·Finance research letters

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 2016CoVaR 2016Measuring Systemic Risk 1995One Security, Many Markets: Determining the Contributions to Price Discovery 2015Bitcoin, gold and the dollar – A GARCH volatility analysis 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets 1995Estimation of Common Long-Memory Components in Cointegrated Systems

Cited by

2018When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin 2020Can Bitcoin hedge the risks of geopolitical events?2021Cryptocurrency price prediction using traditional statistical and machine‐learning techniques: A survey 2018The effects of markets, uncertainty and search intensity on bitcoin returns 2023Are DeFi tokens a separate asset class from conventional cryptocurrencies?

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Year2018

Typearticle

Published2018-06-19

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations191

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.frl.2018.05.013

openalex_workW2809250076

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2019

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