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Interdependence, contagion and speculative bubbles in cryptocurrency markets
16 references·0 citing·42 second hop
Interdependence, contagion and speculative bubbles in cryptocurrency markets (2022)Interdependence, contagion and speculativ…Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)Volatility connectedness in t…Return and volatility spillovers among cryptocurrencies (2018)Return and volatility spillov…Dynamic connectedness and integration in cryptocurrency markets (2018)Dynamic connectedness and int…Co-explosivity in the cryptocurrency market (2018)Co-explosivity in the cryptoc…Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets (2017)Virtual relationships: Short-…RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)RETRACTED: Datestamping the B…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…Negative bubbles and shocks in cryptocurrency markets (2016)Negative bubbles and shocks i…TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)TESTING FOR MULTIPLE BUBBLES:…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices (2015)Crypto-currency bubbles: an a…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Analysis of Financial Time Series (2010)Analysis of Financial Time Se…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)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 (2014)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)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)Impulse response analysis in nonlinear multivariate models (1996)Stock markets and the COVID-19 fractal contagion effects (2020)Quantile connectedness in the cryptocurrency market (2021)Cryptocurrency trading: a comprehensive survey (2022)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)An empirical analysis of herd behavior in global stock markets (2010)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)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)Testing for a Unit Root in Time Series Regression (1988)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles (2015)Corn Cash Price Forecasting (2020)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)A model of carbon price interactions with macroeconomic and energy dynamics (2011)STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK (2016)Reducing demand uncertainty in the platelet supply chain through artificial neural networks and ARIMA models (2019)
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References

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  • 2015Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices368 cited
  • 2017

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Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets
365 cited
  • 2018Return and volatility spillovers among cryptocurrencies330 cited
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