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Testing the random walk hypothesis for leading cryptocurrencies
16 references·7 citing·38 second hop
Testing the random walk hypothesis for leading cryptocurrencies (2020)Testing the random walk hypothesis for le…Semi-strong efficiency of Bitcoin (2018)Semi-strong efficiency of Bit…Persistence in the cryptocurrency market (2018)Persistence in the cryptocurr…Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets (2018)Efficiency, multifractality, …Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Volatility estimation for Bit…Time-varying long-term memory in Bitcoin market (2017)Time-varying long-term memory…The inefficiency of Bitcoin revisited: A dynamic approach (2017)The inefficiency of Bitcoin r…Informational efficiency of Bitcoin—An extension (2017)Informational efficiency of B…Cryptocurrency: A New Investment Opportunity? (2017)Cryptocurrency: A New Investm…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn the inefficiency of Bitcoin (2016)On the inefficiency of BitcoinBitcoins as an investment or speculative vehicle? A first look (2014)Bitcoins as an investment or …Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…On estimating the expected return on the market (1980)On estimating the expected re…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 …Do infectious diseases explain Bitcoin price Fluctuations? (2024)Do infectious diseases explai…Do cryptocurrency investors in the UK need more protection? (2024)Do cryptocurrency investors i…Cryptocurrency volatility: A review, synthesis, and research agenda (2024)Cryptocurrency volatility: A …Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm (2023)Online risk-based portfolio a…More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies (2021)More to cryptos than bitcoin:…Herding in the crypto market: a diagnosis of heavy distribution tails (2021)Herding in the crypto market:…Analysis of diversification benefits for cryptocurrency portfolios before and during the COVID-19 pandemic (2021)Analysis of diversification b…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Forecasting Volatility in Financial Markets: A Review (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)A test for independence based on the correlation dimension (1996)An Empirical Study on Modeling and Prediction of Bitcoin Prices With Bayesian Neural Networks Based on Blockchain Information (2017)Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (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)Théorie de la spéculation (1900)A new look at Cryptocurrencies (2017)What Causes the Attention of Bitcoin? (2018)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)Negative bubbles and shocks in cryptocurrency markets (2016)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)
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References

  • 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
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2014Bitcoins as an investment or speculative vehicle? A first look635 cited
  • 2017The inefficiency of Bitcoin revisited: A dynamic approach615 cited
  • 2017Informational efficiency of Bitcoin—An extension365 cited
  • 2017Cryptocurrency: A New Investment Opportunity?348 cited
  • 2018Persistence in the cryptocurrency market305 cited
  • 2017Time-varying long-term memory in Bitcoin market296 cited
  • 2018Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets287 cited

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  • 2018Semi-strong efficiency of Bitcoin259 cited
  • Cited by

    • 2021Herding in the crypto market: a diagnosis of heavy distribution tails50 cited
    • 2021More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies41 cited
    • 2024Cryptocurrency volatility: A review, synthesis, and research agenda38 cited
    • 2023Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm31 cited
    • 2021Analysis of diversification benefits for cryptocurrency portfolios before and during the COVID-19 pandemic26 cited
    • 2024Do infectious diseases explain Bitcoin price Fluctuations?21 cited
    • 2024Do cryptocurrency investors in the UK need more protection?15 cited