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Higher moment connectedness in cryptocurrency market · Study

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ArticleHigher moment connectedness in cryptocurrency market

Mudassar Hasan2021

Article2021

Higher moment connectedness in cryptocurrency market

Mudassar Hasan · Muhammad Abubakr Naeem · Muhammad Arif · Larisa Yarovaya

71 citations·0/0 files stored·Journal of Behavioral and Experimental Finance

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Financial Risk and Volatility Modeling Market Dynamics and Volatility COVID-19 Pandemic Impacts

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References

1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2003Modeling and Forecasting Realized Volatility 2009Who Gambles in the Stock Market?2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets 2017RETRACTED: Datestamping the Bitcoin and Ethereum bubbles

Cited by

2023Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict 2023Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war 2023Assessing linkages between alternative energy markets and cryptocurrencies 2023Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants

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Details

Year2021

Typearticle

Published2021-09-03

VenueJournal of Behavioral and Experimental Finance

ISSN-L2214-6350

Languageen

Citations71

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbef.2021.100562

openalex_workW3196595232

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2022

Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic

2023Connectedness between cryptocurrencies using high-frequency data: A novel insight from the Silicon Valley Banks collapse

2023Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets: Portfolio implications

2022Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data