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Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities
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Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities (2020)Distant or close cousins: Connectedness b…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Dynamic connectedness and integration in cryptocurrency markets (2018)Dynamic connectedness and int…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…CoVaR (2016)CoVaROn the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…A new index of financial conditions (2014)A new index of financial cond…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Contagion: Understanding How It Spreads (2000)Contagion: Understanding How …Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …The econometrics of financial markets (1996)The econometrics of financial…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks? (1994)Sources of Real Exchange Rate…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…RETRACTED: Mapping fear in financial markets: Insights from dynamic networks and centrality measures (2024)RETRACTED: Mapping fear in fi…When bitcoin lost its position: Cryptocurrency uncertainty and the dynamic spillover among cryptocurrencies before and during the COVID-19 pandemic (2022)When bitcoin lost its positio…Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review (2022)Portfolio Diversification, He…Evaluation of Cryptocurrencies for Investment Decisions in the Era of Industry 4.0: A Borda Count-Based Intuitionistic Fuzzy Set Extensions EDAS-MAIRCA-MARCOS Multi-Criteria Methodology (2022)Evaluation of Cryptocurrencie…Cryptocurrency connectedness nexus the COVID-19 pandemic: evidence from time-frequency domains (2021)Cryptocurrency connectedness …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Efficient Tests for an Autoregressive Unit Root (1996)Return connectedness across asset classes around the COVID-19 outbreak (2020)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2016CoVaR2,395 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 1996The econometrics of financial markets886 cited
  • 2000Contagion: Understanding How It Spreads812 cited
  • 2014A new index of financial conditions710 cited
  • 2018Dynamic connectedness and integration in cryptocurrency markets627 cited

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  • 1994Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?622 cited
  • Cited by

    • 2022Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review78 cited
    • 2022When bitcoin lost its position: Cryptocurrency uncertainty and the dynamic spillover among cryptocurrencies before and during the COVID-19 pandemic74 cited
    • 2022Evaluation of Cryptocurrencies for Investment Decisions in the Era of Industry 4.0: A Borda Count-Based Intuitionistic Fuzzy Set Extensions EDAS-MAIRCA-MARCOS Multi-Criteria Methodology44 cited
    • 2021Cryptocurrency connectedness nexus the COVID-19 pandemic: evidence from time-frequency domains33 cited
    • 2024RETRACTED: Mapping fear in financial markets: Insights from dynamic networks and centrality measures27 cited