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Non-linearities, cyber attacks and cryptocurrencies
12 references·3 citing·41 second hop
Non-linearities, cyber attacks and cryptocurrencies (2019)Non-linearities, cyber attacks and crypto…Volatility and return jumps in bitcoin (2018)Volatility and return jumps i…Regime changes in Bitcoin GARCH volatility dynamics (2018)Regime changes in Bitcoin GAR…Price manipulation in the Bitcoin ecosystem (2018)Price manipulation in the Bit…Portfolio Management with Cryptocurrencies: The Role of Estimation Risk (2018)Portfolio Management with Cry…Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models (2018)Modelling Volatility of Crypt…Forecasting risk with Markov-switching GARCH models:A large-scale performance study (2018)Forecasting risk with Markov-…Bayesian Change Point Analysis of Bitcoin Returns (2018)Bayesian Change Point Analysi…A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models (2014)A Bayesian method of change-p…Theory and inference for a Markov switching GARCH model (2010)Theory and inference for a Ma…Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Business-Cycle Phases and Their Transitional Dynamics (1994)Business-Cycle Phases and The…The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp (1992)The likelihood ratio test und…Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach (2024)Dynamic spillovers between le…How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? Evidence from non-parametric causality-in-quantiles techniques (2021)How does COVID-19 influence d…Herding on Fundamental/Nonfundamental Information During the COVID-19 Outbreak and Cyber-Attacks: Evidence From the Cryptocurrency Market (2021)Herding on Fundamental/Nonfun…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)New Indexes of Coincident and Leading Economic Indicators (1989)The federal funds rate and the channels of monetary transmission (1989)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Stock market volatility and the business cycle (1996)Vulnerable Growth (2019)Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Cryptocurrency price prediction using traditional statistical and machine‐learning techniques: A survey (2021)On the stability of stablecoins (2021)Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties (2021)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Evaluating Interval Forecasts (1998)Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis (2019)The volatility of Bitcoin and its role as a medium of exchange and a store of value (2021)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)The Inefficiency of Bitcoin (2016)Is Bitcoin a bubble? (2018)A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets (2019)PORTFOLIO SELECTION* (1952)Global Portfolio Optimization (1992)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective (2019)Portfolio optimization in the era of digital financialization using cryptocurrencies (2020)Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China (2023)Why Does Stock Market Volatility Change Over Time? (1989)Autoregressive conditional heteroskedasticity and changes in regime (1994)Risk model-at-risk (2014)Forecasting crude oil price volatility (2018)Testing for the Constancy of Parameters Over Time (1989)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)Markov-Switching GARCH Models in R : The MSGARCH Package (2016)A novel hybrid model for forecasting crude oil price based on time series decomposition (2020)Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? Extreme co-movements and portfolio management analysis (2020)
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References

  • 1994Business-Cycle Phases and Their Transitional Dynamics883 cited
  • 2018Price manipulation in the Bitcoin ecosystem746 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1992The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp623 cited
  • 2018Regime changes in Bitcoin GARCH volatility dynamics298 cited
  • 2018Volatility and return jumps in bitcoin214 cited
  • 2018Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models199 cited
  • 2010Theory and inference for a Markov switching GARCH model188 cited
  • 2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study167 cited
  • 2018Portfolio Management with Cryptocurrencies: The Role of Estimation Risk144 cited
  • 2018Bayesian Change Point Analysis of Bitcoin Returns107 cited
  • 2014A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models56 cited

Cited by

  • 2021How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? Evidence from non-parametric causality-in-quantiles techniques43 cited
  • 2021Herding on Fundamental/Nonfundamental Information During the COVID-19 Outbreak and Cyber-Attacks: Evidence From the Cryptocurrency Market

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41 cited
  • 2024Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach27 cited