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Portfolio management and dependence structure between cryptocurrencies and traditional assets: evidence from FIEGARCH-EVT-Copula
16 references·7 citing·44 second hop
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this work references cited by second hop

References

  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 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
  • 2018Asymmetric Volatility in Cryptocurrencies372 cited
  • 2019Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis305 cited
  • 2011Crude oil hedging strategies using dynamic multivariate GARCH305 cited
  • 2007On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios294 cited
  • 2009Research in International Business and Finance287 cited
  • 2018The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study270 cited
  • 2006The Impact of Trades on Daily Volatility269 cited
  • 2017

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On the return-volatility relationship in the Bitcoin market around the price crash of 2013
264 cited
  • 2019Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors262 cited
  • Cited by

    • 2021Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach57 cited
    • 2021Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies: a comparison between DCC, ADCC and GO-GARCH models42 cited
    • 2024Cryptocurrency volatility: A review, synthesis, and research agenda38 cited
    • 2022Investigating the Co-Volatility Spillover Effects between Cryptocurrencies and Currencies at Different Natures of Risk Events31 cited
    • 2023Analyzing spillover effects of selected cryptocurrencies on gold and brent crude oil under COVID-19 pandemic: Evidence from GJR-GARCH and EVT copula methods25 cited
    • 2023Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic25 cited
    • 2022Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach24 cited