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Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach
16 references·6 citing·41 second hop
Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach (2021)Dynamic efficiency and arbitrage potentia…Trading and Arbitrage in Cryptocurrency Markets (2018)Trading and Arbitrage in Cryp…Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Volatility estimation for Bit…RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)RETRACTED: Datestamping the B…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 BitcoinSpeculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…Detecting long-range correlations with detrended fluctuation analysis (2001)Detecting long-range correlat…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Efficient Capital Markets: II (1991)Efficient Capital Markets: IILong-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…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 …Spillover effects between fossil energy and green markets: Evidence from informational inefficiency (2024)Spillover effects between fos…Cryptocurrency market microstructure: a systematic literature review (2023)Cryptocurrency market microst…Asymmetric spillover from Bitcoin to green and traditional assets: A comparison with gold (2023)Asymmetric spillover from Bit…Asymmetric effects of decomposed oil-price shocks on the EU carbon market dynamics (2022)Asymmetric effects of decompo…Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models (2021)Exploring the predictability …MAX Momentum in Cryptocurrency Markets (2020)MAX Momentum in Cryptocurrenc…A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Long-Term Storage: An Experimental Study. 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The challenges and opportunities of Social Media (2009)Correlations in Price Changes and Volatility across International Stock Markets (1990)Dynamic Conditional Correlation (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)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)Prospect Theory: An Analysis of Decision under Risk (1979)An Evolutionary Theory of Economic Change. (1983)Prospect theory: An analysis of decision under risk (1988)Institutional Investors and the Informational Efficiency of Prices (2009)Sustainable Development and Financial Markets (2015)Machine learning techniques and data for stock market forecasting: A literature review (2022)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The econometrics of financial markets (1996)
this work references cited by second hop

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
  • 1991Efficient Capital Markets: II5,346 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2001Detecting long-range correlations with detrended fluctuation analysis1,401 cited
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2018Trading and Arbitrage in Cryptocurrency Markets903 cited
  • 2017RETRACTED: Datestamping the Bitcoin and Ethereum bubbles655 cited

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  • 2016On the inefficiency of Bitcoin636 cited
  • Cited by

    • 2022Asymmetric effects of decomposed oil-price shocks on the EU carbon market dynamics94 cited
    • 2024Spillover effects between fossil energy and green markets: Evidence from informational inefficiency77 cited
    • 2020MAX Momentum in Cryptocurrency Markets59 cited
    • 2023Cryptocurrency market microstructure: a systematic literature review42 cited
    • 2021Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models41 cited
    • 2023Asymmetric spillover from Bitcoin to green and traditional assets: A comparison with gold39 cited