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Price discovery in bitcoin spot or futures during the Covid-19 pandemic? Evidence from the time-varying parameter vector autoregressive model with stochastic volatility
16 references·1 citing·37 second hop
Price discovery in bitcoin spot or futures during the Covid-19 pandemic? Evidence from the time-varying parameter vector autoregressive model with stochastic volatility (2022)Price discovery in bitcoin spot or future…Diversifying equity with cryptocurrencies during COVID-19 (2021)Diversifying equity with cryp…The determinants of price discovery on bitcoin markets (2020)The determinants of price dis…Price discovery in Bitcoin: The impact of unregulated markets (2020)Price discovery in Bitcoin: T…The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives (2019)The development of Bitcoin fu…Price discovery in bitcoin spot or futures? (2019)Price discovery in bitcoin sp…BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness (2019)BitMEX bitcoin derivatives: P…Bitcoin Futures—What use are they? (2018)Bitcoin Futures—What use are …An analysis of price discovery between Bitcoin futures and spot markets (2018)An analysis of price discover…Price discovery on Bitcoin exchanges (2015)Price discovery on Bitcoin ex…What do price discovery metrics really measure? (2013)What do price discovery metri…Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications (2011)Time-Varying Parameter VAR Mo…A new information share measure (2009)A new information share measu…Do futures lead price discovery in electronic foreign exchange markets? (2008)Do futures lead price discove…Price discovery in the German equity index derivatives markets (1999)Price discovery in the German…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Navigating through pandemics: a bibliometric analysis of research trends in Islamic finance and Islamic banking (2024)Navigating through pandemics:…Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A PANIC Attack on Unit Roots and Cointegration (2004)Realized Variance and Market Microstructure Noise (2006)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets (2011)The Pricing of Options and Corporate Liabilities (1973)Measures of contributions to price discovery: a comparison (2002)A structural analysis of price discovery measures (2009)Price, trade size, and information in securities markets (1987)Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Bitcoin as a Safe Haven: Is It Even Worth Considering? (2018)Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Does Algorithmic Trading Improve Liquidity? (2011)The impact of blockchain related name changes on corporate performance (2020)The investment behavior and performance of various investor types: a study of Finland's unique data set (2000)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is gold a safe haven? International evidence (2010)Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties (2021)A tale of two tails among carbon prices, green and non-green cryptocurrencies (2022)Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis (2022)Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy (2011)Impact of the COVID-19 Pandemic on the Crude Oil and Stock Markets in the US: A Time-Varying Analysis (2020)Geopolitical risk and dynamic connectedness between commodity markets (2022)
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References

  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,393 cited
  • 2011Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications402 cited
  • 2015Price discovery on Bitcoin exchanges332 cited
  • 1999Price discovery in the German equity index derivatives markets298 cited
  • 2018Bitcoin Futures—What use are they?258 cited
  • 2021Diversifying equity with cryptocurrencies during COVID-19240 cited
  • 2013What do price discovery metrics really measure?185 cited
  • 2009A new information share measure156 cited
  • 2019Price discovery in bitcoin spot or futures?130 cited
  • 2018An analysis of price discovery between Bitcoin futures and spot markets125 cited
  • 2019BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness116 cited
  • 2019The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives113 cited
  • 2020Price discovery in Bitcoin: The impact of unregulated markets104 cited
  • 2008Do futures lead price discovery in electronic foreign exchange markets?

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97 cited
  • 2020The determinants of price discovery on bitcoin markets89 cited
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    • 2024Navigating through pandemics: a bibliometric analysis of research trends in Islamic finance and Islamic banking11 cited