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Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic
16 references·16 citing·39 second hopsampled
Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic (2020)Discovering interlinkages between major c…The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)The contagion effects of the …COVID-19: Media coverage and financial markets behavior—A sectoral inquiry (2020)COVID-19: Media coverage and …Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)Volatility connectedness in t…Trading and Arbitrage in Cryptocurrency Markets (2018)Trading and Arbitrage in Cryp…Dynamic connectedness and integration in cryptocurrency markets (2018)Dynamic connectedness and int…Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Bitcoin is not the New Gold –…The Global Crisis and Equity Market Contagion (2014)The Global Crisis and Equity …On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)On the impacts of oil price f…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Global financial crisis, extr…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Stock market linkages: Evidence from Latin America (2002)Stock market linkages: Eviden…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Equity markets and ESG dynamics: Assessing spillovers and portfolio strategies through time-varying parameters (2024)Equity markets and ESG dynami…The dynamic volatility nexus of FinTech, innovative technology communication, and cryptocurrency indices during the crises period (2023)The dynamic volatility nexus …From cryptos to consciousness: Dynamics of return and volatility spillover between green cryptocurrencies and G7 markets (2023)From cryptos to consciousness…Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets (2023)Dynamic connectedness and net…Connectedness between cryptocurrencies using high-frequency data: A novel insight from the Silicon Valley Banks collapse (2023)Connectedness between cryptoc…Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic (2022)Time–frequency co-movement an…Investor sentiment and Bitcoin relationship: A quantile-based analysis (2022)Investor sentiment and Bitcoi…IMPACT OF COVID-19 ON VOLATILITY SPILLOVERS ACROSS INTERNATIONAL MARKETS: EVIDENCE FROM VAR ASYMMETRIC BEKK GARCH MODEL (2022)IMPACT OF COVID-19 ON VOLATIL…Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data (2022)Good versus bad information t…Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis (2022)Cue the volatility spillover …Connectedness between Defi assets and equity markets during COVID-19: A sector analysis (2022)Connectedness between Defi as…Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis (2021)Spillovers between the Islami…Preventing crash in stock market: The role of economic policy uncertainty during COVID-19 (2021)Preventing crash in stock mar…LINKAGES BETWEEN STOCK AND CRYPTOCURRENCY MARKETS DURING THE COVID-19 OUTBREAK: AN INTRADAY ANALYSIS (2021)LINKAGES BETWEEN STOCK AND CR…Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets (2021)Asymmetric spillover and netw…Asymmetric interdependencies between large capital cryptocurrency and Gold returns during the COVID-19 pandemic crisis (2021)Asymmetric interdependencies …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)The Limits of Arbitrage (1995)Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach (2018)Common Risk Factors in Cryptocurrency (2022)Cryptocurrency trading: a comprehensive survey (2022)Market Liquidity and Funding Liquidity (2008)On the International Spillovers of US Quantitative Easing (2016)Flights to Safety (2019)Banking sector performance during the COVID-19 crisis (2021)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)The robustness of identified VAR conclusions about money (1998)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)Extreme Correlation of International Equity Markets (2001)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2018Trading and Arbitrage in Cryptocurrency Markets903 cited
  • 2020The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies880 cited
  • 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance832 cited
  • 2014The Global Crisis and Equity Market Contagion708 cited
  • 2018Dynamic connectedness and integration in cryptocurrency markets627 cited
  • 2020COVID-19: Media coverage and financial markets behavior—A sectoral inquiry567 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 2011On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness

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487 cited
  • 2018Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?436 cited
  • 2002Stock market linkages: Evidence from Latin America421 cited
  • Cited by

    • 2021Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets168 cited
    • 2021Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis108 cited
    • 2022Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis102 cited
    • 2022Connectedness between Defi assets and equity markets during COVID-19: A sector analysis92 cited
    • 2023Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets89 cited
    • 2021Asymmetric interdependencies between large capital cryptocurrency and Gold returns during the COVID-19 pandemic crisis88 cited
    • 2021Preventing crash in stock market: The role of economic policy uncertainty during COVID-1979 cited
    • 2022IMPACT OF COVID-19 ON VOLATILITY SPILLOVERS ACROSS INTERNATIONAL MARKETS: EVIDENCE FROM VAR ASYMMETRIC BEKK GARCH MODEL73 cited
    • 2023From cryptos to consciousness: Dynamics of return and volatility spillover between green cryptocurrencies and G7 markets73 cited
    • 2022Investor sentiment and Bitcoin relationship: A quantile-based analysis65 cited
    • 2024Equity markets and ESG dynamics: Assessing spillovers and portfolio strategies through time-varying parameters57 cited
    • 2021LINKAGES BETWEEN STOCK AND CRYPTOCURRENCY MARKETS DURING THE COVID-19 OUTBREAK: AN INTRADAY ANALYSIS54 cited
    • 2022Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic53 cited
    • 2023Connectedness between cryptocurrencies using high-frequency data: A novel insight from the Silicon Valley Banks collapse46 cited
    • 2022Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data43 cited
    • 2023The dynamic volatility nexus of FinTech, innovative technology communication, and cryptocurrency indices during the crises period42 cited