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An Empirical Investigation of Volatility Dynamics in the Cryptocurrency Market · Study

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ArticleAn Empirical Investigation of Volatility Dynamics in the Cryptocurrency Market

Paraskevi Katsiampa2018

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Articlegreen2018

An Empirical Investigation of Volatility Dynamics in the Cryptocurrency Market

Paraskevi Katsiampa

174 citations·0/0 files stored·Research in International Business and Finance

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

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1998Modeling Asymmetric Comovements of Asset Returns 2015Bitcoin, gold and the dollar – A GARCH volatility analysis

Cited by

2021Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties 2020Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?2022Linkages between DeFi assets and conventional currencies: Evidence from the COVID-19 pandemic 2021Investigating the relationship between volatilities of cryptocurrencies and other financial assets 2021Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures

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2019CRYPTOCURRENCIES IN FINANCE: REVIEW AND APPLICATIONSarticle · 24 shared references 2019News and subjective beliefs: A Bayesian approach to Bitcoin investmentsarticle · 19 shared references 2019Multiresolution analysis and spillovers of major cryptocurrency marketsarticle · 16 shared references 2019Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfoliosarticle · 15 shared references 2019A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Marketsarticle · 15 shared references 2019Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulasarticle · 15 shared references

Details

Year2018

Typearticle

Published2018-01-01

VenueResearch in International Business and Finance

ISSN-L0275-5319

Languageen

Citations174

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ribaf.2019.06.004

openalex_workW2894466258

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2020Tail-risk spillovers in cryptocurrency markets

2019Multiresolution analysis and spillovers of major cryptocurrency markets

2020Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis