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Higher moment connectedness in cryptocurrency market
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Higher moment connectedness in cryptocurrency market (2021)Higher moment connectedness in cryptocurr…Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)Volatility connectedness in t…Liquidity and market efficiency in cryptocurrencies (2018)Liquidity and market efficien…Dynamic connectedness and integration in cryptocurrency markets (2018)Dynamic connectedness and int…Conditional Tail-Risk in Cryptocurrency Markets (2018)Conditional Tail-Risk in Cryp…Co-explosivity in the cryptocurrency market (2018)Co-explosivity in the cryptoc…RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)RETRACTED: Datestamping the B…Price clustering in Bitcoin (2017)Price clustering in BitcoinExploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Does realized skewness predict the cross-section of equity returns? (2015)Does realized skewness predic…Bitcoins as an investment or speculative vehicle? A first look (2014)Bitcoins as an investment or …Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Who Gambles in the Stock Market? (2009)Who Gambles in the Stock Mark…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach (2024)Dynamic spillovers between le…Cryptocurrency volatility: A review, synthesis, and research agenda (2024)Cryptocurrency volatility: A …Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets: Portfolio implications (2023)Volatility spillover and conn…Tail risk transmission in technology-driven markets (2023)Tail risk transmission in tec…Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants (2023)Spillovers of joint volatilit…Realized higher-order moments spillovers across cryptocurrencies (2023)Realized higher-order moments…On the prediction of systemic risk tolerance of cryptocurrencies (2023)On the prediction of systemic…Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war (2023)Interconnectivity and investm…Higher-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 (2023)Higher-order moment risk conn…Connectedness between cryptocurrencies using high-frequency data: A novel insight from the Silicon Valley Banks collapse (2023)Connectedness between cryptoc…Assessing linkages between alternative energy markets and cryptocurrencies (2023)Assessing linkages between al…Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic (2022)Time–frequency co-movement an…Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data (2022)Good versus bad information t…Bitcoin and S&P500: Co-movements of high-order moments in the time-frequency domain (2022)Bitcoin and S&P500: Co-moveme…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)The Inefficiency of Bitcoin (2016)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Advances in prospect theory: Cumulative representation of uncertainty (1992)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Correlations in Price Changes and Volatility across International Stock Markets (1990)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Stock Prices and Social Dynamics (1984)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Negative bubbles and shocks in cryptocurrency markets (2016)Informational efficiency of Bitcoin—An extension (2017)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)Stock markets and the COVID-19 fractal contagion effects (2020)Quantile connectedness in the cryptocurrency market (2021)Cryptocurrency trading: a comprehensive survey (2022)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
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  • 2009Who Gambles in the Stock Market?1,808 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
  • 2017RETRACTED: Datestamping the Bitcoin and Ethereum bubbles655 cited
  • 2014Bitcoins as an investment or speculative vehicle? A first look635 cited
  • 2018Dynamic connectedness and integration in cryptocurrency markets627 cited
  • 2015Does realized skewness predict the cross-section of equity returns?507 cited
  • 2018Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?436 cited
  • 2018Conditional Tail-Risk in Cryptocurrency Markets384 cited
  • 2018Co-explosivity in the cryptocurrency market369 cited
  • 2018Liquidity and market efficiency in cryptocurrencies

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360 cited
  • 2017Price clustering in Bitcoin355 cited
  • 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 conflict119 cited
    • 2023Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war85 cited
    • 2023Assessing linkages between alternative energy markets and cryptocurrencies78 cited
    • 2023Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants56 cited
    • 2022Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic53 cited
    • 2023Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets: Portfolio implications46 cited
    • 2023Connectedness between cryptocurrencies using high-frequency data: A novel insight from the Silicon Valley Banks collapse46 cited
    • 2022Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data43 cited
    • 2022Bitcoin and S&P500: Co-movements of high-order moments in the time-frequency domain41 cited
    • 2024Cryptocurrency volatility: A review, synthesis, and research agenda38 cited
    • 2023Realized higher-order moments spillovers across cryptocurrencies35 cited
    • 2023On the prediction of systemic risk tolerance of cryptocurrencies34 cited
    • 2023Tail risk transmission in technology-driven markets28 cited
    • 2024Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach27 cited