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Bitcoin and the day-of-the-week effect
16 references·15 citing·33 second hop
Bitcoin and the day-of-the-week effect (2018)Bitcoin and the day-of-the-week effectOn 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…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 …Numerical distribution functions for unit root and cointegration tests (1996)Numerical distribution functi…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…Stock return variances (1986)Stock return variancesGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Detecting and date-stamping bubbles in fan tokens (2024)Detecting and date-stamping b…Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis (2022)Cue the volatility spillover …Arbitrage, contract design, and market structure in Bitcoin futures markets (2022)Arbitrage, contract design, a…Volatility models for cryptocurrencies and applications in the options market (2021)Volatility models for cryptoc…Speculation and lottery-like demand in cryptocurrency markets (2021)Speculation and lottery-like …Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies (2021)Seasonal and Calendar Effects…Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China (2021)Is Bitcoin a better portfolio…A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets (2021)A Survey on Volatility Fluctu…Testing the random walk hypothesis for leading cryptocurrencies (2020)Testing the random walk hypot…Seasonality in the Cross-Section of Cryptocurrency Returns (2020)Seasonality in the Cross-Sect…Is There a Value Premium in Cryptoasset Markets? (2020)Is There a Value Premium in C…The day-of-the-week effect on Bitcoin return and volatility (2019)The day-of-the-week effect on…Forecasting of BTC volatility: comparative study between parametric and nonparametric models (2019)Forecasting of BTC volatility…Calendar effects in Bitcoin returns and volatility (2019)Calendar effects in Bitcoin r…Bitcoin fluctuations and the frequency of price overreactions (2019)Bitcoin fluctuations and the …The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Unit root tests for panel data (2001)Critical Values for Cointegration Tests (2010)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Econometric Analysis of Cross Section and Panel Data (2001)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1996Numerical distribution functions for unit root and cointegration tests3,119 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 1986Stock return variances1,813 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
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?982 cited

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  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • Cited by

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    • 2021Speculation and lottery-like demand in cryptocurrency markets98 cited
    • 2019Calendar effects in Bitcoin returns and volatility92 cited
    • 2021Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China82 cited
    • 2019The day-of-the-week effect on Bitcoin return and volatility80 cited
    • 2021Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies60 cited
    • 2020Testing the random walk hypothesis for leading cryptocurrencies55 cited
    • 2021A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets52 cited
    • 2020Seasonality in the Cross-Section of Cryptocurrency Returns49 cited
    • 2022Arbitrage, contract design, and market structure in Bitcoin futures markets33 cited
    • 2021Volatility models for cryptocurrencies and applications in the options market32 cited
    • 2019Bitcoin fluctuations and the frequency of price overreactions26 cited
    • 2019Forecasting of BTC volatility: comparative study between parametric and nonparametric models26 cited
    • 2020Is There a Value Premium in Cryptoasset Markets?24 cited
    • 2024Detecting and date-stamping bubbles in fan tokens21 cited