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Volatility persistence in cryptocurrency markets under structural breaks
16 references·10 citing·31 second hop
Volatility persistence in cryptocurrency markets under structural breaks (2020)Volatility persistence in cryptocurrency …Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinSpeculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…Long memory and regime switching (2001)Long memory and regime switch…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Cryptocurrency volatility: A review, synthesis, and research agenda (2024)Cryptocurrency volatility: A …Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets (2023)Volatility spillovers and oth…Factors behind the performance of green bond markets (2023)Factors behind the performanc…Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks (2023)Asymmetric volatility in the …Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets (2022)Volatility Interdependence Be…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…An Empirical Study of Volatility in Cryptocurrency Market (2022)An Empirical Study of Volatil…Re-examination of international bond market dependence: Evidence from a pair copula approach (2021)Re-examination of internation…More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies (2021)More to cryptos than bitcoin:…Effects of COVID-19 on Cryptocurrency and Emerging Market Connectedness: Empirical Evidence from Quantile, Frequency, and Lasso Networks (2021)Effects of COVID-19 on Crypto…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. 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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
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  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
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  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
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  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 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
  • 1990

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Persistence in Variance, Structural Change, and the GARCH Model
1,188 cited
  • 2001Long memory and regime switching1,162 cited
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    • 2023Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets39 cited
    • 2022Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets38 cited
    • 2024Cryptocurrency volatility: A review, synthesis, and research agenda38 cited
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