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Volatility and return jumps in bitcoin
11 references·16 citing·36 second hop
Volatility and return jumps in bitcoin (2018)Volatility and return jumps in bitcoinPrice manipulation in the Bitcoin ecosystem (2018)Price manipulation in the Bit…Liquidity and market efficiency in cryptocurrencies (2018)Liquidity and market efficien…Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Volatility estimation for Bit…The inefficiency of Bitcoin revisited: A dynamic approach (2017)The inefficiency of Bitcoin r…RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)RETRACTED: Datestamping the B…Informational efficiency of Bitcoin—An extension (2017)Informational efficiency of B…Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017)Can volume predict Bitcoin re…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Long memory and regime switching (2001)Long memory and regime switch…The link between cryptocurrencies and Google Trends attention (2022)The link between cryptocurren…The CEO Beauty Premium: Founder CEO Attractiveness and Firm Valuation in Initial Coin Offerings (2021)The CEO Beauty Premium: Found…Re-examining Bitcoin Volatility: A CAViaR-based Approach (2021)Re-examining Bitcoin Volatili…Understanding cryptocurrency volatility: The role of oil market shocks (2020)Understanding cryptocurrency …The impact of blockchain related name changes on corporate performance (2020)The impact of blockchain rela…Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach (2020)Investigating tail-risk depen…Nonlinear dependence in cryptocurrency markets (2019)Nonlinear dependence in crypt…Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis (2019)Intraday downward/upward mult…Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks (2019)Forecasting the volatility of…Forecasting Bitcoin risk measures: A robust approach (2019)Forecasting Bitcoin risk meas…Do Bitcoin and other cryptocurrencies jump together? (2019)Do Bitcoin and other cryptocu…Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models (2019)Asymmetric volatility in cryp…A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets (2019)A Survey on Empirical Finding…A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets (2019)A Survey on Efficiency and Pr…Portfolio Management with Cryptocurrencies: The Role of Estimation Risk (2018)Portfolio Management with Cry…Is Bitcoin a bubble? (2018)Is Bitcoin a bubble?A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Modelling Extremal Events (1997)Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Chapter 8 Growth Econometrics (2005)Volatility Is Rough (2018)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)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)Dynamic connectedness and integration in cryptocurrency markets (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)Théorie de la spéculation (1900)A new look at Cryptocurrencies (2017)What Causes the Attention of Bitcoin? (2018)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Effects of the geopolitical risks on Bitcoin returns and volatility (2018)Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets (2018)Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios (2019)Stock Prices and Social Dynamics (1984)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)The predictive power of public Twitter sentiment for forecasting cryptocurrency prices (2020)
this work references cited by second hop

References

  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2001Long memory and regime switching1,162 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2018Price manipulation in the Bitcoin ecosystem746 cited
  • 2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach718 cited
  • 2017RETRACTED: Datestamping the Bitcoin and Ethereum bubbles655 cited
  • 2017The inefficiency of Bitcoin revisited: A dynamic approach615 cited
  • 2017Informational efficiency of Bitcoin—An extension365 cited
  • 2018Liquidity and market efficiency in cryptocurrencies360 cited

Cited by

  • 2018Portfolio Management with Cryptocurrencies: The Role of Estimation Risk144 cited
  • 2018Is Bitcoin a bubble?137 cited
  • 2019A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets125 cited
  • 2019Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis

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124 cited
  • 2020The impact of blockchain related name changes on corporate performance123 cited
  • 2019Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models121 cited
  • 2019Do Bitcoin and other cryptocurrencies jump together?111 cited
  • 2019Forecasting Bitcoin risk measures: A robust approach107 cited
  • 2021The CEO Beauty Premium: Founder CEO Attractiveness and Firm Valuation in Initial Coin Offerings100 cited
  • 2019Nonlinear dependence in cryptocurrency markets94 cited
  • 2019Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks92 cited
  • 2020Understanding cryptocurrency volatility: The role of oil market shocks90 cited
  • 2019A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets85 cited
  • 2022The link between cryptocurrencies and Google Trends attention85 cited
  • 2020Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach80 cited
  • 2021Re-examining Bitcoin Volatility: A CAViaR-based Approach78 cited