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Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis
16 references·8 citing·38 second hop
Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis (2019)Cryptocurrencies and equity funds: Eviden…Multifractal analysis of financial markets: a review (2019)Multifractal analysis of fina…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…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinWhat Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis (2015)What Are the Main Drivers of …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…The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy (2014)The digital traces of bubbles…BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era (2013)BitCoin meets Google Trends a…Quantifying cross-correlations using local and global detrending approaches (2009)Quantifying cross-correlation…Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Multifractal detrended cross-…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Is the cryptocurrency market a hedge against stock market risk? A Wavelet and GARCH approach (2023)Is the cryptocurrency market …Interconnectedness between healthcare tokens and healthcare stocks: Evidence from a quantile VAR approach (2023)Interconnectedness between he…Bitcoin and S&P500: Co-movements of high-order moments in the time-frequency domain (2022)Bitcoin and S&P500: Co-moveme…Asymmetric volatility dynamics in cryptocurrency markets on multi-time scales (2022)Asymmetric volatility dynamic…Energy Consumption and Bitcoin Market (2021)Energy Consumption and Bitcoi…A differential evolution-based regression framework for forecasting Bitcoin price (2021)A differential evolution-base…Cryptocurrency Trading: A Comprehensive Survey (2020)Cryptocurrency Trading: A Com…Bitcoin Sentiment Index, Bitcoin Performance and US Dollar Exchange Rate (2020)Bitcoin Sentiment Index, Bitc…A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Fractional Differencing (1981)Cross-correlations between volume change and price change (2009)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)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)On the inefficiency of Bitcoin (2016)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)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (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)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)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)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)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Integration and Contagion (2005)Downside Risk (2006)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)
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References

  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2002Asymmetric correlations of equity portfolios1,530 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
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 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
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin704 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

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  • 2019Multifractal analysis of financial markets: a review429 cited
  • 2009Quantifying cross-correlations using local and global detrending approaches424 cited
  • Cited by

    • 2021Energy Consumption and Bitcoin Market95 cited
    • 2021A differential evolution-based regression framework for forecasting Bitcoin price55 cited
    • 2023Interconnectedness between healthcare tokens and healthcare stocks: Evidence from a quantile VAR approach43 cited
    • 2022Bitcoin and S&P500: Co-movements of high-order moments in the time-frequency domain41 cited
    • 2022Asymmetric volatility dynamics in cryptocurrency markets on multi-time scales37 cited
    • 2020Bitcoin Sentiment Index, Bitcoin Performance and US Dollar Exchange Rate32 cited
    • 2020Cryptocurrency Trading: A Comprehensive Survey30 cited
    • 2023Is the cryptocurrency market a hedge against stock market risk? A Wavelet and GARCH approach27 cited