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Contagion Effect in Cryptocurrency Market
16 references·4 citing·35 second hop
Contagion Effect in Cryptocurrency Market (2019)Contagion Effect in Cryptocurrency MarketWhat Causes the Attention of Bitcoin? (2018)What Causes the Attention of …Herding behaviour in cryptocurrencies (2018)Herding behaviour in cryptocu…Dynamic connectedness and integration in cryptocurrency markets (2018)Dynamic connectedness and int…The inefficiency of Bitcoin revisited: A dynamic approach (2017)The inefficiency of Bitcoin r…RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)RETRACTED: Datestamping the B…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 BitcoinWhat Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis (2015)What Are the Main Drivers of …Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Do the Rich Get Richer? An Empirical Analysis of the Bitcoin Transaction Network (2014)Do the Rich Get Richer? An Em…BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era (2013)BitCoin meets Google Trends a…Statistical tests for power-law cross-correlated processes (2011)Statistical tests for power-l…DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)DCCA cross-correlation coeffi…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies (2022)Microstructure noise and idio…Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both (2022)Intraday return predictabilit…Herding in the crypto market: a diagnosis of heavy distribution tails (2021)Herding in the crypto market:…The pricing of bad contagion in cryptocurrencies: A four-factor pricing model (2020)The pricing of bad contagion …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)Fractional Differencing (1981)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Cross-correlations between volume change and price change (2009)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)Using wavelets to decompose the time–frequency effects of monetary policy (2008)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)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)Correlations in Price Changes and Volatility across International Stock Markets (1990)Dynamic Conditional Correlation (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)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)Impulse response analysis in nonlinear multivariate models (1996)Generalized impulse response analysis in linear multivariate models (1998)Stock markets and the COVID-19 fractal contagion effects (2020)Quantile connectedness in the cryptocurrency market (2021)Cryptocurrency trading: a comprehensive survey (2022)Stock Prices and Social Dynamics (1984)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)An Empirical Study on Modeling and Prediction of Bitcoin Prices With Bayesian Neural Networks Based on Blockchain Information (2017)Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 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
  • 2015What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis989 cited
  • 2013BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era859 cited
  • 2017RETRACTED: Datestamping the Bitcoin and Ethereum bubbles655 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2018Dynamic connectedness and integration in cryptocurrency markets627 cited
  • 2017The inefficiency of Bitcoin revisited: A dynamic approach615 cited
  • 2010DCCA cross-correlation coefficient: Quantifying level of cross-correlation611 cited
  • 2018Herding behaviour in cryptocurrencies536 cited
  • 2011Statistical tests for power-law cross-correlated processes443 cited
  • 2014

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Do the Rich Get Richer? An Empirical Analysis of the Bitcoin Transaction Network
417 cited
  • 2018What Causes the Attention of Bitcoin?389 cited
  • Cited by

    • 2021Herding in the crypto market: a diagnosis of heavy distribution tails50 cited
    • 2020The pricing of bad contagion in cryptocurrencies: A four-factor pricing model35 cited
    • 2022Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both33 cited
    • 2022Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies32 cited