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Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs
16 references·5 citing·44 second hop
Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs (2023)Return and volatility properties: Stylize…Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies (2022)Examining the interrelatednes…NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic (2021)NFTs and asset class spillove…Is non-fungible token pricing driven by cryptocurrencies? (2021)Is non-fungible token pricing…Asymmetric Volatility in Cryptocurrencies (2018)Asymmetric Volatility in Cryp…Some stylized facts of the Bitcoin market (2017)Some stylized facts of the Bi…On the return-volatility relationship in the Bitcoin market around the price crash of 2013 (2017)On the return-volatility rela…On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Introduction to Multifractal …Fractal and Multifractal Time Series (2009)Fractal and Multifractal Time…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Using a Bootstrap Method to C…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management (1998)Pitfalls and Opportunities in…Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (1994)Fractal Market Analysis: Appl…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Interconnections and contagion among cryptocurrencies, DeFi, NFT and traditional financial assets: Some new evidence from tail risk driven network (2024)Interconnections and contagio…How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages? (2024)How would the war and the pan…The dynamics of market efficiency of major cryptocurrencies (2023)The dynamics of market effici…FinTech and fan tokens: Understanding the risks spillover of digital asset investment (2023)FinTech and fan tokens: Under…Co-jump dynamicity in the cryptocurrency market: A network modelling perspective (2023)Co-jump dynamicity in the cry…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)On Some Simple Estimates of an Exponent of Regular Variation (1982)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)ARCH modeling in finance (1992)Value-at-Risk and Extreme Returns (2000)Value-at-risk versus expected shortfall: A practical perspective (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Detecting long-range correlations with detrended fluctuation analysis (2001)A Tutorial on Multifractality, Cascades, and Interactivity for Empirical Time Series in Ecological Science (2013)Multifractal Detrended Fluctuation Analysis of Streamflow in the Yellow River Basin, China (2015)MFDFA: Efficient multifractal detrended fluctuation analysis in python (2021)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Is Gold a Hedge or a Safe Haven? 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this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics983 cited
  • 2012Introduction to Multifractal Detrended Fluctuation Analysis in Matlab912 cited
  • 2021Is non-fungible token pricing driven by cryptocurrencies?550 cited
  • 2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation452 cited
  • 2017Some stylized facts of the Bitcoin market449 cited
  • 2018Asymmetric Volatility in Cryptocurrencies372 cited
  • 2022Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies291 cited
  • 1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management277 cited
  • 2021NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic274 cited

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  • 2017On the return-volatility relationship in the Bitcoin market around the price crash of 2013264 cited
  • 2009Fractal and Multifractal Time Series242 cited
  • Cited by

    • 2023The dynamics of market efficiency of major cryptocurrencies54 cited
    • 2024Interconnections and contagion among cryptocurrencies, DeFi, NFT and traditional financial assets: Some new evidence from tail risk driven network36 cited
    • 2023Co-jump dynamicity in the cryptocurrency market: A network modelling perspective34 cited
    • 2024How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?31 cited
    • 2023FinTech and fan tokens: Understanding the risks spillover of digital asset investment29 cited