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Excess Volatility in Bitcoin: Extreme Value Volatility Estimation
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Excess Volatility in Bitcoin: Extreme Value Volatility Estimation (2021)Excess Volatility in Bitcoin: Extreme Val…Price manipulation in the Bitcoin ecosystem (2018)Price manipulation in the Bit…Predicting the Price of Bitcoin Using Machine Learning (2018)Predicting the Price of Bitco…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…Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Does Bitcoin hedge global unc…Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017)Can volume predict Bitcoin re…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn the inefficiency of Bitcoin (2016)On the inefficiency of BitcoinOn the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis (2015)What Are the Main Drivers of …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 …Bitcoins as an investment or speculative vehicle? A first look (2014)Bitcoins as an investment or …The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Volatility forecast comparison using imperfect volatility proxies (2010)Using wavelets to decompose the time–frequency effects of monetary policy (2008)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)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)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)
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References

  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2015What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis989 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
  • 2017Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions816 cited
  • 2018Price manipulation in the Bitcoin ecosystem746 cited
  • 2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach718 cited
  • 2018Predicting the Price of Bitcoin Using Machine Learning690 cited
  • 2016

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On the inefficiency of Bitcoin
636 cited
  • 2014Bitcoins as an investment or speculative vehicle? A first look635 cited
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