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Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes?
16 references·16 citing·29 second hopsampled
Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes? (2018)Are There Any Volatility Spill-Over Effec…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Bitcoin, gold and the US dollar – A replication and extension (2017)Bitcoin, gold and the US doll…On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Virtual currency, tangible re…Hedging capabilities of bitcoin. Is it the virtual gold? (2015)Hedging capabilities of bitco…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Does gold act as a hedge or a safe haven for stocks? A smooth transition approach (2014)Does gold act as a hedge or a…BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era (2013)BitCoin meets Google Trends a…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Safe Haven Currencies (2010)Safe Haven CurrenciesIs gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Macroeconomics and Reality (1980)Macroeconomics and RealityInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants (2023)Spillovers of joint volatilit…New Evidence on Spillovers Between Crypto Assets and Financial Markets (2023)New Evidence on Spillovers Be…Evaluating the Performance of Metaheuristic Based Artificial Neural Networks for Cryptocurrency Forecasting (2023)Evaluating the Performance of…When bitcoin lost its position: Cryptocurrency uncertainty and the dynamic spillover among cryptocurrencies before and during the COVID-19 pandemic (2022)When bitcoin lost its positio…The impact of economic uncertainty caused by COVID-19 on renewable energy stocks (2021)The impact of economic uncert…Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies (2021)Dynamic spillovers between th…COVID-19 and cryptocurrency market: Evidence from quantile connectedness (2021)COVID-19 and cryptocurrency m…Are Cryptocurrencies and African stock markets integrated? (2021)Are Cryptocurrencies and Afri…Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different? (2020)Spillovers to Renewable Energ…Quantile spillovers and dependence between Bitcoin, equities and strategic commodities (2020)Quantile spillovers and depen…Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks (2020)Fancy Bitcoin and conventiona…Connectedness between cryptocurrency and technology sectors: International evidence (2020)Connectedness between cryptoc…ARE STOCK MARKETS AND CRYPTOCURRENCIES CONNECTED? (2020)ARE STOCK MARKETS AND CRYPTOC…Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach (2019)Value-at-risk and expected sh…Return and volatility spillovers between Bitcoin and other asset classes in Turkey (2019)Return and volatility spillov…A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets (2019)A Survey on Empirical Finding…Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Dynamic Conditional Correlation (2002)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The Inefficiency of Bitcoin (2016)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?982 cited
  • 2013BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era859 cited
  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin704 cited
  • 2017Bitcoin, gold and the US dollar – A replication and extension518 cited

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2010
Safe Haven Currencies
488 cited
  • 2014Does gold act as a hedge or a safe haven for stocks? A smooth transition approach436 cited
  • Cited by

    • 2020Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks173 cited
    • 2021Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies111 cited
    • 2020Quantile spillovers and dependence between Bitcoin, equities and strategic commodities103 cited
    • 2020Connectedness between cryptocurrency and technology sectors: International evidence91 cited
    • 2021The impact of economic uncertainty caused by COVID-19 on renewable energy stocks86 cited
    • 2019A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets85 cited
    • 2021COVID-19 and cryptocurrency market: Evidence from quantile connectedness76 cited
    • 2022When bitcoin lost its position: Cryptocurrency uncertainty and the dynamic spillover among cryptocurrencies before and during the COVID-19 pandemic74 cited
    • 2020Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?73 cited
    • 2019Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach69 cited
    • 2020ARE STOCK MARKETS AND CRYPTOCURRENCIES CONNECTED?59 cited
    • 2023Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants56 cited
    • 2021Are Cryptocurrencies and African stock markets integrated?55 cited
    • 2019Return and volatility spillovers between Bitcoin and other asset classes in Turkey53 cited
    • 2023Evaluating the Performance of Metaheuristic Based Artificial Neural Networks for Cryptocurrency Forecasting35 cited
    • 2023New Evidence on Spillovers Between Crypto Assets and Financial Markets32 cited