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High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets
16 references·16 citing·32 second hopsampled
High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets (2019)High-frequency asymmetric volatility conn…RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)RETRACTED: Is Bitcoin a bette…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn the inefficiency of Bitcoin (2016)On 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…Virtual 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…Hedging capabilities of bitcoin. Is it the virtual gold? (2015)Hedging capabilities of bitco…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…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…Is 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…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty (2023)Do clean and dirty cryptocurr…Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic (2022)Time–frequency co-movement an…Safe flight to which haven when Russia invades Ukraine? A 48-hour story (2022)Safe flight to which haven wh…Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review (2022)Portfolio Diversification, He…Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework (2022)Dynamic connectedness between…Time and frequency dynamics of connectedness and hedging performance in global stock markets: Bitcoin versus conventional hedges (2021)Time and frequency dynamics o…Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis (2021)Stock market reactions to ups…Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China (2021)Is Bitcoin a better portfolio…Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic (2021)Intraday volatility transmiss…How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin (2021)How do Islamic equity markets…COVID-19 and asymmetric volatility spillovers across global stock markets (2021)COVID-19 and asymmetric volat…Understanding cryptocurrency volatility: The role of oil market shocks (2020)Understanding cryptocurrency …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…Beyond Risk Parity - A Machine Learning-based Hierarchical Risk Parity Approach on Cryptocurrencies (2020)Beyond Risk Parity - A Machin…Asymmetric volatility connectedness among U.S. stock sectors (2020)Asymmetric volatility connect…Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Correlations in Price Changes and Volatility across International Stock Markets (1990)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)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)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)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)SRISK: A conditional capital shortfall measure of systemic risk (2017)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)A CNN–LSTM model for gold price time-series forecasting (2020)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2010Is gold a safe haven? International evidence1,944 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
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 2016The Inefficiency of Bitcoin1,292 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

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  • 2019RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities?696 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • Cited by

    • 2021Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic179 cited
    • 2020Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks173 cited
    • 2020Quantile spillovers and dependence between Bitcoin, equities and strategic commodities103 cited
    • 2021COVID-19 and asymmetric volatility spillovers across global stock markets94 cited
    • 2020Understanding cryptocurrency volatility: The role of oil market shocks90 cited
    • 2020Asymmetric volatility connectedness among U.S. stock sectors84 cited
    • 2021Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China82 cited
    • 2022Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework81 cited
    • 2021Time and frequency dynamics of connectedness and hedging performance in global stock markets: Bitcoin versus conventional hedges81 cited
    • 2023Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty79 cited
    • 2022Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review78 cited
    • 2022Safe flight to which haven when Russia invades Ukraine? A 48-hour story76 cited
    • 2022Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic53 cited
    • 2020Beyond Risk Parity - A Machine Learning-based Hierarchical Risk Parity Approach on Cryptocurrencies48 cited
    • 2021How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin39 cited
    • 2021Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis38 cited