SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
What determines bitcoin exchange prices? A network VAR approach
15 references·16 citing·42 second hop
What determines bitcoin exchange prices? A network VAR approach (2018)What determines bitcoin exchange prices? …Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets (2017)Virtual relationships: Short-…On the return-volatility relationship in the Bitcoin market around the price crash of 2013 (2017)On the return-volatility rela…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn the inefficiency of Bitcoin (2016)On the inefficiency of BitcoinMeasuring Systemic Risk (2016)Measuring Systemic RiskCoVaR (2016)CoVaRPrice discovery on Bitcoin exchanges (2015)Price discovery on Bitcoin ex…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Liaisons dangereuses: Increas…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)Capital Shortfall: A New Appr…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Are DeFi tokens a separate asset class from conventional cryptocurrencies? (2023)Are DeFi tokens a separate as…Volatility and return spillovers between stock markets and cryptocurrencies (2021)Volatility and return spillov…Cryptocurrency price prediction using traditional statistical and machine‐learning techniques: A survey (2021)Cryptocurrency price predicti…Bitcoin price forecasting: A perspective of underlying blockchain transactions (2021)Bitcoin price forecasting: A …The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry (2020)The influence of the COVID-19…Quantifying the spillover effect in the cryptocurrency market (2020)Quantifying the spillover eff…Financial modelling, risk management of energy instruments and the role of cryptocurrencies (2020)Financial modelling, risk man…Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach (2020)Does bitcoin co-move and shar…Can Bitcoin hedge the risks of geopolitical events? (2020)Can Bitcoin hedge the risks o…Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model (2019)Time-varying dynamic conditio…The Effectiveness of Technical Trading Rules in Cryptocurrency Markets (2019)The Effectiveness of Technica…From financial markets to Bitcoin markets: A fresh look at the contagion effect (2019)From financial markets to Bit…Crypto price discovery through correlation networks (2019)Crypto price discovery throug…Can uncertainty indices predict Bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches (2019)Can uncertainty indices predi…When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin (2018)When Bitcoin meets economic p…The effects of markets, uncertainty and search intensity on bitcoin returns (2018)The effects of markets, uncer…Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A PANIC Attack on Unit Roots and Cointegration (2004)Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (2004)Realized Variance and Market Microstructure Noise (2006)Estimating betas from nonsynchronous data (1977)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation, Loanable Funds, and The Real Sector (1997)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Where the Risks Lie: A Survey on Systemic Risk (2015)Estimating global bank network connectedness (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Correlations in Price Changes and Volatility across International Stock Markets (1990)Dynamic Conditional Correlation (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)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)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Bank Runs, Deposit Insurance, and Liquidity (1983)Coherent Measures of Risk (1999)Market Liquidity and Funding Liquidity (2008)Bank Capital and Lending Relationships (2017)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)
this work references cited by second hop

References

  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2016CoVaR2,395 cited
  • 2016Measuring Systemic Risk1,846 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2012Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk734 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2017Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets365 cited
  • 2015Price discovery on Bitcoin exchanges332 cited
  • 2017On the return-volatility relationship in the Bitcoin market around the price crash of 2013

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

264 cited

Cited by

  • 2018When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin250 cited
  • 2020Can Bitcoin hedge the risks of geopolitical events?192 cited
  • 2021Cryptocurrency price prediction using traditional statistical and machine‐learning techniques: A survey179 cited
  • 2018The effects of markets, uncertainty and search intensity on bitcoin returns163 cited
  • 2023Are DeFi tokens a separate asset class from conventional cryptocurrencies?150 cited
  • 2019Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model141 cited
  • 2019From financial markets to Bitcoin markets: A fresh look at the contagion effect139 cited
  • 2019Can uncertainty indices predict Bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches136 cited
  • 2019The Effectiveness of Technical Trading Rules in Cryptocurrency Markets118 cited
  • 2020Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach116 cited
  • 2020Quantifying the spillover effect in the cryptocurrency market108 cited
  • 2020Financial modelling, risk management of energy instruments and the role of cryptocurrencies98 cited
  • 2021Volatility and return spillovers between stock markets and cryptocurrencies96 cited
  • 2019Crypto price discovery through correlation networks95 cited
  • 2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry92 cited
  • 2021Bitcoin price forecasting: A perspective of underlying blockchain transactions88 cited