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An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies
16 references·9 citing·49 second hop
An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies (2021)An extreme value analysis of the tail rel…Price manipulation in the Bitcoin ecosystem (2018)Price manipulation in the Bit…Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Volatility estimation for Bit…The inefficiency of Bitcoin revisited: A dynamic approach (2017)The inefficiency of Bitcoin r…Price clustering in Bitcoin (2017)Price clustering in BitcoinCan 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 BitcoinPrice discovery on Bitcoin exchanges (2015)Price discovery on Bitcoin ex…Hedging capabilities of bitcoin. Is it the virtual gold? (2015)Hedging capabilities of bitco…Dynamic Volume-Return Relation of Individual Stocks (2002)Dynamic Volume-Return Relatio…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Stock Prices and Volume (1992)Stock Prices and VolumeMarket Liquidity, Hedging, and Crashes (1990)Market Liquidity, Hedging, an…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis (2024)The use of high-frequency dat…Cryptocurrency volatility: A review, synthesis, and research agenda (2024)Cryptocurrency volatility: A …Central bank digital currency, financial technology level and regional financial stability (2024)Central bank digital currency…Rolling the Crypto Dice: The Interplay of Legal Environments, Market Uncertainty, and Gambling Attitudes on Users’ Behavioral Intentions (2023)Rolling the Crypto Dice: The …Does the big boss of coins—Bitcoin—protect a portfolio of new-generation cryptos? 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Evidence from wavelet-based quantile-in-quantile regressions (2017)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)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)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)A test for independence based on the correlation dimension (1996)RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)Dynamic connectedness and integration in cryptocurrency markets (2018)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Trading Volume, Information Asymmetry, and Timing Information (2005)Does Public Financial News Resolve Asymmetric Information? (2010)All the News That's Fit to Reprint: Do Investors React to Stale Information? (2011)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)The predictive power of public Twitter sentiment for forecasting cryptocurrency prices (2020)
this work references cited by second hop

References

  • 1985Does the Stock Market Overreact?7,569 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1992Stock Prices and Volume1,295 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?982 cited
  • 2018Price manipulation in the Bitcoin ecosystem746 cited
  • 2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach718 cited
  • 2002Dynamic Volume-Return Relation of Individual Stocks689 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2017The inefficiency of Bitcoin revisited: A dynamic approach615 cited
  • 1990Market Liquidity, Hedging, and Crashes550 cited
  • 2017Price clustering in Bitcoin355 cited
  • 2015Price discovery on Bitcoin exchanges332 cited

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Cited by

  • 2023Cryptocurrency market microstructure: a systematic literature review42 cited
  • 2024Cryptocurrency volatility: A review, synthesis, and research agenda38 cited
  • 2021Herding behaviour in Korea’s cryptocurrency market32 cited
  • 2022A K-means clustering model for analyzing the Bitcoin extreme value returns32 cited
  • 2023An analysis of the return–volume relationship in decentralised finance (DeFi)29 cited
  • 2024The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis26 cited
  • 2023Does the big boss of coins—Bitcoin—protect a portfolio of new-generation cryptos? Evidence from memecoins, stablecoins, NFTs and DeFi23 cited
  • 2024Central bank digital currency, financial technology level and regional financial stability16 cited
  • 2023Rolling the Crypto Dice: The Interplay of Legal Environments, Market Uncertainty, and Gambling Attitudes on Users’ Behavioral Intentions10 cited