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Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic
16 references·3 citing·40 second hop
Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic (2022)Time–frequency co-movement and risk conne…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)Volatility connectedness in t…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Dynamic connectedness and integration in cryptocurrency markets (2018)Dynamic connectedness and int…Conditional Tail-Risk in Cryptocurrency Markets (2018)Conditional Tail-Risk in Cryp…RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)RETRACTED: Datestamping the B…Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Good Volatility, Bad Volatili…Does realized skewness predict the cross-section of equity returns? (2015)Does realized skewness predic…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Bitcoins as an investment or speculative vehicle? A first look (2014)Bitcoins as an investment or …Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (2011)Co-movement of energy commodi…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Using wavelets to decompose the time–frequency effects of monetary policy (2008)Using wavelets to decompose t…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The Fundamental Theorem of Parameter-Preference Security Valuation (1973)The Fundamental Theorem of Pa…Volatility contagion between cryptocurrencies, gold and stock markets pre-and-during COVID-19: evidence using DCC-GARCH and cascade-correlation network (2024)Volatility contagion between …Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes (2024)Pattern and determinants of t…Realized higher-order moments spillovers across cryptocurrencies (2023)Realized higher-order moments…Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Comparing Predictive Accuracy (1994)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Economic policy uncertainty and stock market volatility (2015)Good and bad uncertainty: Macroeconomic and financial market implications (2015)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)… and the Cross-Section of Expected Returns (2015)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Efficient Tests for an Autoregressive Unit Root (1996)Return connectedness across asset classes around the COVID-19 outbreak (2020)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Stock Prices and Social Dynamics (1984)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)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)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Negative bubbles and shocks in cryptocurrency markets (2016)Informational efficiency of Bitcoin—An extension (2017)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited
  • 2017RETRACTED: Datestamping the Bitcoin and Ethereum bubbles655 cited
  • 2014Bitcoins as an investment or speculative vehicle? A first look635 cited
  • 2018Dynamic connectedness and integration in cryptocurrency markets627 cited
  • 2008Using wavelets to decompose the time–frequency effects of monetary policy590 cited
  • 2015Does realized skewness predict the cross-section of equity returns?507 cited
  • 2011Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis498 cited
  • 1973The Fundamental Theorem of Parameter-Preference Security Valuation447 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

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

    • 2024Volatility contagion between cryptocurrencies, gold and stock markets pre-and-during COVID-19: evidence using DCC-GARCH and cascade-correlation network38 cited
    • 2024Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes36 cited
    • 2023Realized higher-order moments spillovers across cryptocurrencies35 cited