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Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies
16 references·0 citing·37 second hop
Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies (2022)Conditional dependence structure and risk…Portfolio diversification with virtual currency: Evidence from bitcoin (2018)Portfolio diversification wit…Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Is Bitcoin a Hedge or Safe-Ha…Bitcoin as a Safe Haven: Is It Even Worth Considering? (2018)Bitcoin as a Safe Haven: Is I…Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Volatility estimation for Bit…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinBitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era (2013)BitCoin meets Google Trends a…Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…Safe Haven Currencies (2010)Safe Haven CurrenciesHandbook of Financial Time Series (2009)Handbook of Financial Time Se…Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Dependence patterns across financial markets: a mixed copula approach (2006)Dependence patterns across fi…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Generalized autoregressive conditional heteroskedasticity (1986)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)SRISK: A conditional capital shortfall measure of systemic risk (2017)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)On the inefficiency of Bitcoin (2016)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)Correlations in Price Changes and Volatility across International Stock Markets (1990)Dynamic Conditional Correlation (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)Where the Risks Lie: A Survey on Systemic Risk (2015)Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold (2018)
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References

  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2013BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era859 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2018Portfolio diversification with virtual currency: Evidence from bitcoin633 cited
  • 2018Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis551 cited
  • 2010Safe Haven Currencies488 cited
  • 2018Bitcoin as a Safe Haven: Is It Even Worth Considering?410 cited
  • 2009Handbook of Financial Time Series406 cited

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  • 2006Dependence patterns across financial markets: a mixed copula approach393 cited
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