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An investigation of financial contagion between cryptocurrency and equity markets: Evidence from developed and emerging markets
16 references·0 citing·51 second hopsampled
An investigation of financial contagion between cryptocurrency and equity markets: Evidence from developed and emerging markets (2023)An investigation of financial contagion b…Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis (2022)Cue the volatility spillover …Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak (2022)Connectedness among major cry…The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect (2021)The return volatility of cryp…The hedge asset for BRICS stock markets: Bitcoin, gold or VIX (2021)The hedge asset for BRICS sto…The cryptocurrency uncertainty index (2021)The cryptocurrency uncertaint…Re-examining Bitcoin Volatility: A CAViaR-based Approach (2021)Re-examining Bitcoin Volatili…Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak (2021)Information transmission and …COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin (2020)COVID-19 and oil market crash…Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis (2019)Volatility spillover in crypt…Volatility dynamics of crypto-currencies’ returns: Evidence from asymmetric and long memory GARCH models (2019)Volatility dynamics of crypto…Scaling properties of extreme price fluctuations in Bitcoin markets (2018)Scaling properties of extreme…Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis (2015)Testing the Conventional and …An Introduction to Wavelet Theory in Finance: A Wavelet Multiscale Approach (2012)An Introduction to Wavelet Th…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Systematic risk and timescales (2003)Systematic risk and timescalesDynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Wavelet-based prediction of oil prices (2005)Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis (2013)Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods (2017)Empirical properties of asset returns: stylized facts and statistical issues (2001)Power-Law Distributions in Empirical Data (2009)Power-law distributions in empirical data (2018)Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis (2019)Dissection of Bitcoin’s multiscale bubble history from January 2012 to February 2018 (2019)Real-time prediction of Bitcoin bubble crashes (2020)Modelling the persistence of conditional variances (1986)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks (2020)Investigating the relationship between volatilities of cryptocurrencies and other financial assets (2021)On the stability of stablecoins (2021)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave (2021)Cryptocurrency price forecasting – A comparative analysis of ensemble learning and deep learning methods (2023)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is gold a safe haven? International evidence (2010)Global Financial Crisis, Smart Lockdown Strategies, and the COVID-19 Spillover Impacts: A Global Perspective Implications From Southeast Asia (2021)Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold (2021)Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic? (2022)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)COVID-19 and finance scholarship: A systematic and bibliometric analysis (2022)Oil shocks and BRIC markets: Evidence from extreme quantile approach (2022)Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network (2023)Measuring Economic Policy Uncertainty* (2016)News implied volatility and disaster concerns (2016)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)A tale of two tails among carbon prices, green and non-green cryptocurrencies (2022)The Effects of Central Bank Digital Currencies News on Financial Markets (2022)The spillover effects and connectedness among green commodities, Bitcoins, and US stock markets: Evidence from the quantile VAR network (2022)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)The resilience of cryptocurrency market efficiency to COVID-19 shock (2022)Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets (2023)Spillovers between green and dirty cryptocurrencies and socially responsible investments around the war in Ukraine (2023)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2021The cryptocurrency uncertainty index310 cited
  • 2020COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin303 cited
  • 2003Systematic risk and timescales194 cited
  • 2019Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis180 cited
  • 2022Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak176 cited
  • 2018Scaling properties of extreme price fluctuations in Bitcoin markets123 cited
  • 2019Volatility dynamics of crypto-currencies’ returns: Evidence from asymmetric and long memory GARCH models121 cited
  • 2021The hedge asset for BRICS stock markets: Bitcoin, gold or VIX119 cited
  • 2015Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis113 cited
  • 2022Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis102 cited
  • 2012An Introduction to Wavelet Theory in Finance: A Wavelet Multiscale Approach98 cited
  • 2021The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect

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88 cited
  • 2021Re-examining Bitcoin Volatility: A CAViaR-based Approach78 cited
  • 2021Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak67 cited
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