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Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying
16 references·9 citing·31 second hop
Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying (2020)Studying the properties of the Bitcoin as…Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Safe haven or risky hazard? B…Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Bitcoin is not the New Gold –…Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Volatility estimation for Bit…On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Speculative 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 …Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Quantitative Risk Management (2011)Quantitative Risk ManagementIs Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Modelling Financial Time Series (2007)Modelling Financial Time Seri…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Copula Methods in Finance (2004)Copula Methods in FinanceAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Connectedness between healthcare cryptocurrencies and major asset classes: Implications for hedging and investments strategies (2024)Connectedness between healthc…Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic (2023)Spillovers between cryptocurr…Forecasting Bitcoin prices using artificial intelligence: Combination of ML, SARIMA, and Facebook Prophet models (2023)Forecasting Bitcoin prices us…Are cryptocurrencies a safe haven for stock investors? A regime-switching approach (2022)Are cryptocurrencies a safe h…A Systematic Literature Review of Volatility and Risk Management on Cryptocurrency Investment: A Methodological Point of View (2022)A Systematic Literature Revie…Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models (2021)Green Bonds and Asset Classes…Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold (2021)Does bitcoin provide hedge to…Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic? (2021)Dependence dynamics of Islami…Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach (2021)Bitcoin and Portfolio Diversi…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)The Inefficiency of Bitcoin (2016)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)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)Is gold a safe haven? International evidence (2010)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2011Quantitative Risk Management985 cited
  • 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance

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832 cited
  • 2020Safe haven or risky hazard? Bitcoin during the Covid-19 bear market832 cited
  • Cited by

    • 2023Forecasting Bitcoin prices using artificial intelligence: Combination of ML, SARIMA, and Facebook Prophet models92 cited
    • 2022A Systematic Literature Review of Volatility and Risk Management on Cryptocurrency Investment: A Methodological Point of View80 cited
    • 2021Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold77 cited
    • 2021Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach57 cited
    • 2022Are cryptocurrencies a safe haven for stock investors? A regime-switching approach46 cited
    • 2021Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models33 cited
    • 2021Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic?30 cited
    • 2024Connectedness between healthcare cryptocurrencies and major asset classes: Implications for hedging and investments strategies30 cited
    • 2023Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic25 cited