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An intra-cryptocurrency analysis of volatility connectedness and its determinants: Evidence from mining coins, non-mining coins and tokens
16 references·4 citing·29 second hop
An intra-cryptocurrency analysis of volatility connectedness and its determinants: Evidence from mining coins, non-mining coins and tokens (2022)An intra-cryptocurrency analysis of volat…Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)Volatility connectedness in t…Portfolio diversification with virtual currency: Evidence from bitcoin (2018)Portfolio diversification wit…Dynamic connectedness and integration in cryptocurrency markets (2018)Dynamic connectedness and int…Conditional Tail-Risk in Cryptocurrency Markets (2018)Conditional Tail-Risk in Cryp…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…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…The economic value of volatility timing using “realized” volatility (2003)The economic value of volatil…The Economic Value of Volatility Timing (2001)The Economic Value of Volatil…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Spillover dynamics of digital assets during economic and political crises (2025)Spillover dynamics of digital…Cross-market volatility dynamics in crypto and traditional financial instruments: quantifying the spillover effect (2024)Cross-market volatility dynam…The impact of COVID-19 on the volatility connectedness of the Chinese tourism sector (2023)The impact of COVID-19 on the…Investigating risk assessment in post-pandemic household cryptocurrency investments: an explainable machine learning approach (2023)Investigating risk assessment…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)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)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)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Volatility forecast comparison using imperfect volatility proxies (2010)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Correlations in Price Changes and Volatility across International Stock Markets (1990)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)The Inefficiency of Bitcoin (2016)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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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
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 2001The Economic Value of Volatility Timing848 cited
  • 2003The economic value of volatility timing using “realized” volatility668 cited
  • 2018Portfolio diversification with virtual currency: Evidence from bitcoin633 cited
  • 2018Dynamic connectedness and integration in cryptocurrency markets627 cited

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2018
Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
436 cited
  • 2018Conditional Tail-Risk in Cryptocurrency Markets384 cited
  • Cited by

    • 2023The impact of COVID-19 on the volatility connectedness of the Chinese tourism sector24 cited
    • 2025Spillover dynamics of digital assets during economic and political crises22 cited
    • 2024Cross-market volatility dynamics in crypto and traditional financial instruments: quantifying the spillover effect20 cited
    • 2023Investigating risk assessment in post-pandemic household cryptocurrency investments: an explainable machine learning approach13 cited