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Modelling the dynamics of Bitcoin and Litecoin: GARCH versus stochastic volatility models
16 references·8 citing·34 second hop
Modelling the dynamics of Bitcoin and Litecoin: GARCH versus stochastic volatility models (2019)Modelling the dynamics of Bitcoin and Lit…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…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 inefficiency of Bitcoin (2016)On the inefficiency of BitcoinVirtual currency, tangible return: Portfolio diversification with bitcoin (2015)Virtual currency, tangible re…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy (2014)The digital traces of bubbles…Do the Rich Get Richer? An Empirical Analysis of the Bitcoin Transaction Network (2014)Do the Rich Get Richer? An Em…Forecasting crude oil market volatility: Further evidence using GARCH-class models (2010)Forecasting crude oil market …Optimization of computer simulation models with rare events (1997)Optimization of computer simu…MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Cryptocurrency market microstructure: a systematic literature review (2023)Cryptocurrency market microst…Outliers and Time-Varying Jumps in the Cryptocurrency Markets (2022)Outliers and Time-Varying Jum…Net buying pressure and the information in bitcoin option trades (2022)Net buying pressure and the i…Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether (2021)Is there one safe-haven for v…Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak? (2021)Cryptocurrency volatility for…Correlations among cryptocurrencies: Evidence from multivariate factor stochastic volatility model (2020)Correlations among cryptocurr…Announcement effects in the cryptocurrency market (2020)Announcement effects in the c…Bitcoin in the Scientific Literature – A Bibliometric Study (2019)Bitcoin in the Scientific Lit…Applied Probability and Queues (1987)A quick simulation method for excessive backlogs in networks of queues (1989)Acceleration of Stochastic Approximation by Averaging (1992)Proceedings of the 2002 Winter Simulation Conference (2002)Simulation optimization: A comprehensive review on theory and applications (2004)Proceedings of the 2017 Winter Simulation Conference (2017)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)Dynamic connectedness and integration in cryptocurrency markets (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)Long-Term Global Market Correlations (2001)Buying Beauty: On Prices and Returns in the Art Market (2012)Predicting the Price of Bitcoin Using Machine Learning (2018)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)Econometric Analysis of Cross Section and Panel Data (2001)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach718 cited
  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin704 cited
  • 1997Optimization of computer simulation models with rare events682 cited
  • 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2017The inefficiency of Bitcoin revisited: A dynamic approach615 cited
  • 2014The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy466 cited
  • 2014

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Do the Rich Get Richer? An Empirical Analysis of the Bitcoin Transaction Network
417 cited
  • 2010Forecasting crude oil market volatility: Further evidence using GARCH-class models374 cited
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    • 2020Correlations among cryptocurrencies: Evidence from multivariate factor stochastic volatility model62 cited
    • 2023Cryptocurrency market microstructure: a systematic literature review42 cited
    • 2022Net buying pressure and the information in bitcoin option trades35 cited
    • 2019Bitcoin in the Scientific Literature – A Bibliometric Study30 cited
    • 2022Outliers and Time-Varying Jumps in the Cryptocurrency Markets28 cited