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Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets
16 references·1 citing·43 second hopsampled
Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets (2022)Testing for asymmetric non-linear short- …Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns (2020)Death and contagious infectio…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Modelling Asymmetric Cointegr…An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)An Autoregressive Distributed…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2009)Is Gold a Hedge or a Safe Hav…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Error‐correction Mechanism Te…Expected stock returns and volatility (1987)Expected stock returns and vo…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Volatility Dynamics of Non-Linear Volatile Time Series and Analysis of Information Flow: Evidence from Cryptocurrency Data (2022)Volatility Dynamics of Non-Li…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Estimating long-run relationships from dynamic heterogeneous panels (1995)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Public debt and growth: Heterogeneity and non-linearity (2015)Quantile cointegration in the autoregressive distributed-lag modeling framework (2015)Environmental degradation in France: The effects of FDI, financial development, and energy innovations (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Book Review: Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The saving and investment nexus for China: evidence from cointegration tests (2005)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Introduction to Econophysics (1999)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Feverish Stock Price Reactions to COVID-19* (2020)Financial contagion during COVID–19 crisis (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)The Coronavirus and the Great Influenza Pandemic: Lessons from the “Spanish Flu” for the Coronavirus’s Potential Effects on Mortality and Economic Activity (2020)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Aggregate Confusion: The Divergence of ESG Ratings (2019)On the Estimation of Security Price Volatilities from Historical Data (1980)Judgment under Uncertainty: Heuristics and Biases (1975)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)
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References

  • 2001Bounds testing approaches to the analysis of level relationships21,232 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2012An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis3,965 cited
  • 2014Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework3,836 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,380 cited
  • 2009Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,707 cited
  • 2020Financial markets under the global pandemic of COVID-192,567 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1998Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework2,330 cited
  • 2010Is gold a safe haven? International evidence2,082 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,569 cited
  • 2020Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns

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1,557 cited
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,473 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,425 cited
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    • 2022Volatility Dynamics of Non-Linear Volatile Time Series and Analysis of Information Flow: Evidence from Cryptocurrency Data15 cited