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Modeling the Linkages between Bitcoin, Gold, Dollar, Crude Oil, and Stock Markets: A GARCH‐EVT‐Copula Approach
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Modeling the Linkages between Bitcoin, Gold, Dollar, Crude Oil, and Stock Markets: A GARCH‐EVT‐Copula Approach (2022)Modeling the Linkages between Bitcoin, Go…Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Safe haven or risky hazard? B…Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)Safe haven, hedge and diversi…Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold (2018)Is Bitcoin a hedge, a safe ha…Bitcoin as a Safe Haven: Is It Even Worth Considering? (2018)Bitcoin as a Safe Haven: Is I…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…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Backtesting Value-at-Risk: A Duration-Based Approach (2004)Backtesting Value-at-Risk: A …On the coherence of expected shortfall (2002)On the coherence of expected …Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…A test for independence based on the correlation dimension (1996)A test for independence based…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Residual Life Time at Great Age (1974)Residual Life Time at Great A…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)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)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)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)PORTFOLIO SELECTION* (1952)Making and Evaluating Point Forecasts (2011)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Extreme Correlation of International Equity Markets (2001)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)
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References

  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 1974Residual Life Time at Great Age1,484 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 2020Safe haven or risky hazard? Bitcoin during the Covid-19 bear market832 cited
  • 2018Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold526 cited
  • 2019Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin516 cited

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2018
Bitcoin as a Safe Haven: Is It Even Worth Considering?
410 cited
  • 2004Backtesting Value-at-Risk: A Duration-Based Approach403 cited
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