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Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets
16 references·3 citing·45 second hop
Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets (2021)Volatility communicator or receiver? Inve…Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)Safe haven, hedge and diversi…Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold (2018)Is Bitcoin a hedge, a safe ha…Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Is Bitcoin a Hedge or Safe-Ha…Investor Attention and Stock Market Volatility (2014)Investor Attention and Stock …Volatility spillover between oil and agricultural commodity markets (2012)Volatility spillover between …In Search of Attention (2011)In Search of AttentionBetter to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…The distribution of realized stock return volatility (2001)The distribution of realized …Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Volatility and Links between National Stock Markets (1994)Volatility and Links between …Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Volatility and returns connectedness between cryptocurrency and China’s financial markets: A TVP-VAR extended joint connectedness approach (2024)Volatility and returns connec…Quantile time-frequency connectedness among G7 stock markets and clean energy markets (2023)Quantile time-frequency conne…Dynamic volatility spillover among cryptocurrencies and energy markets: An empirical analysis based on a multilevel complex network (2023)Dynamic volatility spillover …The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? 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(1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Is gold a safe haven? International evidence (2010)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Econometric policy evaluation: A critique (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Were There Regime Switches in U.S. Monetary Policy? (2006)Statistical aspects of ARCH and stochastic volatility (1996)A New Approach to Measuring Financial Contagion (2000)Competition and Financial Stability (2004)Are Financial Assets Priced Locally or Globally? (2002)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2011In Search of Attention3,088 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1994Volatility and Links between National Stock Markets679 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 2014Investor Attention and Stock Market Volatility569 cited
  • 2018Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis551 cited
  • 2012Volatility spillover between oil and agricultural commodity markets539 cited
  • 2018Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold

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526 cited
  • 2019Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin516 cited
  • Cited by

    • 2023Quantile time-frequency connectedness among G7 stock markets and clean energy markets28 cited
    • 2023Dynamic volatility spillover among cryptocurrencies and energy markets: An empirical analysis based on a multilevel complex network27 cited
    • 2024Volatility and returns connectedness between cryptocurrency and China’s financial markets: A TVP-VAR extended joint connectedness approach26 cited