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Time series analysis of Cryptocurrency returns and volatilities
16 references·5 citing·40 second hop
Time series analysis of Cryptocurrency returns and volatilities (2020)Time series analysis of Cryptocurrency re…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 …Introductory Econometrics for Finance (2008)Introductory Econometrics for…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Dividend yields and expected stock returns (1988)Dividend yields and expected …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Macroeconomics and Reality (1980)Macroeconomics and RealityDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…LSTM-ARIMA as a hybrid approach in algorithmic investment strategies (2025)LSTM-ARIMA as a hybrid approa…The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models (2024)The nexus between the volatil…Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach (2022)Assessing the Risk Characteri…How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin (2021)How do Islamic equity markets…Cryptocurrency Trading: A Comprehensive Survey (2020)Cryptocurrency Trading: A Com…The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Econometric Analysis of Cross Section and Panel Data (2001)Oil prices and the stock prices of alternative energy companies (2007)Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)The Impact of Corporate Social Responsibility Disclosure on Financial Performance: Evidence from the GCC Islamic Banking Sector (2016)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)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. 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References

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  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
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  • 2002Dynamic Conditional Correlation7,126 cited
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  • 2008Introductory Econometrics for Finance3,662 cited
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  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 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
  • 2015

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Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin
1,386 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • Cited by

    • 2025LSTM-ARIMA as a hybrid approach in algorithmic investment strategies45 cited
    • 2021How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin39 cited
    • 2024The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models30 cited
    • 2020Cryptocurrency Trading: A Comprehensive Survey30 cited
    • 2022Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach24 cited