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Should stock investors include cryptocurrencies in their portfolios after all? Evidence from a conditional diversification benefits measure
16 references·5 citing·28 second hop
Should stock investors include cryptocurrencies in their portfolios after all? Evidence from a conditional diversification benefits measure (2020)Should stock investors include cryptocurr…Portfolio diversification with virtual currency: Evidence from bitcoin (2018)Portfolio diversification wit…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 BitcoinOn the inefficiency of Bitcoin (2016)On the inefficiency of BitcoinOn the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Virtual currency, tangible re…Hedging capabilities of bitcoin. Is it the virtual gold? (2015)Hedging capabilities of bitco…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Speculators, commodities and cross-market linkages (2013)Speculators, commodities and …Financialization, crisis and commodity correlation dynamics (2012)Financialization, crisis and …Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Cryptocurrency: A new player or a new crisis in financial markets? —— Evolutionary analysis of association and risk spillover based on network science (2024)Cryptocurrency: A new player …Is the cryptocurrency market a hedge against stock market risk? A Wavelet and GARCH approach (2023)Is the cryptocurrency market …Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market (2023)Can diversification be improv…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…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)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)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Correlations in Price Changes and Volatility across International Stock Markets (1990)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)The Strategic and Tactical Value of Commodity Futures (2006)The Fundamentals of Commodity Futures Returns (2012)Financialization of Commodity Markets (2013)“Options, Futures, and Other Derivatives” (2016)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)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 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
  • 2006Facts and Fantasies about Commodity Futures1,389 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
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?982 cited
  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin704 cited
  • 2012Financialization, crisis and commodity correlation dynamics650 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2018Portfolio diversification with virtual currency: Evidence from bitcoin633 cited
  • 2013Speculators, commodities and cross-market linkages617 cited

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  • 2017The inefficiency of Bitcoin revisited: A dynamic approach615 cited
  • Cited by

    • 2022Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review78 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
    • 2024Cryptocurrency: A new player or a new crisis in financial markets? —— Evolutionary analysis of association and risk spillover based on network science31 cited
    • 2023Is the cryptocurrency market a hedge against stock market risk? A Wavelet and GARCH approach27 cited
    • 2023Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market27 cited