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Investigating the relationship between volatilities of cryptocurrencies and other financial assets
16 references·16 citing·26 second hopsampled
Investigating the relationship between volatilities of cryptocurrencies and other financial assets (2021)Investigating the relationship between vo…Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)Bitcoin, gold, and commoditie…Portfolio diversification with virtual currency: Evidence from bitcoin (2018)Portfolio diversification wit…Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold (2018)Is Bitcoin a hedge, a safe ha…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…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…Bitcoin, gold and the US dollar – A replication and extension (2017)Bitcoin, gold and the US doll…Negative bubbles and shocks in cryptocurrency markets (2016)Negative bubbles and shocks i…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 …Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Exploring the Dynamics of Brent Crude Oil, S&P500 and Bitcoin Prices Amid Economic Instability (2024)Exploring the Dynamics of Bre…Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic (2023)Spillovers between cryptocurr…Interdependence of clean energy and green markets with cryptocurrencies (2023)Interdependence of clean ener…Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty (2023)Do clean and dirty cryptocurr…Diversification evidence of bitcoin and gold from wavelet analysis (2023)Diversification evidence of b…Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War? (2023)Are Bitcoin and Gold a Safe H…Volatility spillovers among G7, E7 stock markets and cryptocurrencies (2022)Volatility spillovers among G…Time and frequency dynamics of connectedness between cryptocurrencies and commodity markets (2022)Time and frequency dynamics o…Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review (2022)Portfolio Diversification, He…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 …An analysis of investors’ behavior in Bitcoin market (2022)An analysis of investors’ beh…Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period (2021)Volatility spillovers and con…How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin (2021)How do Islamic equity markets…Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies: a comparison between DCC, ADCC and GO-GARCH models (2021)Hedging stock market prices w…Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold (2021)Hedge and safe haven properti…Forecasting developed and BRICS stock markets with cryptocurrencies and gold: generalized orthogonal generalized autoregressive conditional heteroskedasticity and generalized autoregressive score analysis (2021)Forecasting developed and BRI…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)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)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)The Inefficiency of Bitcoin (2016)Correlations in Price Changes and Volatility across International Stock Markets (1990)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)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)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?982 cited
  • 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance832 cited
  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin704 cited
  • 2018Portfolio diversification with virtual currency: Evidence from bitcoin633 cited
  • 2018Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold526 cited
  • 2020Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis524 cited

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2017
Bitcoin, gold and the US dollar – A replication and extension
518 cited
  • 2016Negative bubbles and shocks in cryptocurrency markets508 cited
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    • 2021Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold202 cited
    • 2023Interdependence of clean energy and green markets with cryptocurrencies136 cited
    • 2022Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis102 cited
    • 2023Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty79 cited
    • 2022Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review78 cited
    • 2022Time and frequency dynamics of connectedness between cryptocurrencies and commodity markets63 cited
    • 2023Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War?62 cited
    • 2021Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period62 cited
    • 2021Forecasting developed and BRICS stock markets with cryptocurrencies and gold: generalized orthogonal generalized autoregressive conditional heteroskedasticity and generalized autoregressive score analysis58 cited
    • 2023Diversification evidence of bitcoin and gold from wavelet analysis49 cited
    • 2021Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies: a comparison between DCC, ADCC and GO-GARCH models42 cited
    • 2021How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin39 cited
    • 2022An analysis of investors’ behavior in Bitcoin market36 cited
    • 2022Volatility spillovers among G7, E7 stock markets and cryptocurrencies28 cited
    • 2023Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic25 cited
    • 2024Exploring the Dynamics of Brent Crude Oil, S&P500 and Bitcoin Prices Amid Economic Instability24 cited