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The role of binance in bitcoin volatility transmission
16 references·2 citing·45 second hopsampled
The role of binance in bitcoin volatility transmission (2022)The role of binance in bitcoin volatility…The intraday dynamics of bitcoin (2019)The intraday dynamics of bitc…High frequency volatility co-movements in cryptocurrency markets (2019)High frequency volatility co-…Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)Volatility connectedness in t…Long Memory Interdependency and Inefficiency in Bitcoin Markets (2018)Long Memory Interdependency a…Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence (2013)Preaveraging-Based Estimation…Jump-robust volatility estimation using nearest neighbor truncation (2012)Jump-robust volatility estima…Volatility transmission in emerging European foreign exchange markets (2011)Volatility transmission in em…Microstructure noise in the continuous case: The pre-averaging approach (2008)Microstructure noise in the c…Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Leverage and Volatility Feedb…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…New frontiers for arch models (2002)New frontiers for arch modelsThe Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks (2000)The Logarithmic ACD Model: An…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis (2024)The use of high-frequency dat…Net buying pressure and the information in bitcoin option trades (2022)Net buying pressure and the i…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Realized kernels in practice: trades and quotes (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Continuous Auctions and Insider Trading (1985)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risk and Volatility: Econometric Models and Financial Practice (2004)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Realized GARCH: a joint model for returns and realized measures of volatility (2011)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Time and the Price Impact of a Trade (2000)Optimal trading strategy and supply/demand dynamics (2012)Specification Tests in Econometrics (1978)Stochastic Integration and Differential Equations (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Cryptocurrency forecasting with deep learning chaotic neural networks (2018)Quantile connectedness in the cryptocurrency market (2021)A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies (2022)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications (2006)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)The impact of sentiment and attention measures on stock market volatility (2019)Continuous Martingales and Brownian Motion (1999)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)The Effects of Oil Price Uncertainty on Global Real Economic Activity (2014)Exploiting the errors: A simple approach for improved volatility forecasting (2015)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)
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References

  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2002New frontiers for arch models739 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 2012Jump-robust volatility estimation using nearest neighbor truncation449 cited
  • 2006Leverage and Volatility Feedback Effects in High-Frequency Data439 cited
  • 2018Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?436 cited
  • 2011Volatility transmission in emerging European foreign exchange markets337 cited
  • 2019High frequency volatility co-movements in cryptocurrency markets268 cited
  • 2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks266 cited
  • 2018Long Memory Interdependency and Inefficiency in Bitcoin Markets173 cited
  • 2019

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The intraday dynamics of bitcoin
120 cited
  • 2013Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence111 cited
  • Cited by

    • 2022Net buying pressure and the information in bitcoin option trades35 cited
    • 2024The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis26 cited