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Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures
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Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures (2023)Cryptocurrency hacking incidents and the …When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market (2021)When the blockchain does not …Fractional cointegration in bitcoin spot and futures markets (2021)Fractional cointegration in b…What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective? (2020)What role do futures markets …Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin (2020)Impact of macroeconomic news,…The destabilising effects of cryptocurrency cybercriminality (2019)The destabilising effects of …Price discovery in bitcoin spot or futures? (2019)Price discovery in bitcoin sp…Trading and Arbitrage in Cryptocurrency Markets (2018)Trading and Arbitrage in Cryp…An analysis of price discovery between Bitcoin futures and spot markets (2018)An analysis of price discover…Informed trading in the Bitcoin market (2017)Informed trading in the Bitco…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Price discovery in spot and futures markets: a reconsideration (2011)Price discovery in spot and f…Informed Trading in Stock and Option Markets (2004)Informed Trading in Stock and…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)Multivariate Simultaneous Generalized ARCH (1995)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A PANIC Attack on Unit Roots and Cointegration (2004)Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (2004)Realized Variance and Market Microstructure Noise (2006)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Risk, Return, and Equilibrium: Empirical Tests (1973)O/S: The relative trading activity in options and stock (2009)Deviations from Put-Call Parity and Stock Return Predictability (2010)What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010)Liquidity, Information, and Infrequently Traded Stocks (1996)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)An Empirical Investigation of Volatility Dynamics in the Cryptocurrency Market (2018)Bitcoin price forecasting with neuro-fuzzy techniques (2019)The Characteristics and Portfolio Behavior of Bitcoin Investors: Evidence from Indirect Cryptocurrency Investments (2021)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)The Limits of Arbitrage (1995)Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach (2018)Common Risk Factors in Cryptocurrency (2022)Cryptocurrency trading: a comprehensive survey (2022)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness (2019)Price discovery in Bitcoin: The impact of unregulated markets (2020)Expected stock returns and volatility (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Modeling and Forecasting Realized Volatility (2003)Does non-fundamental news related to COVID-19 matter for stock returns? Evidence from Shanghai stock market (2021)Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies (2021)Who raised from the abyss? A comparison between cryptocurrency and stock market dynamics during the COVID-19 pandemic (2021)The Inefficiency of Bitcoin (2016)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
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  • 2004Informed Trading in Stock and Option Markets750 cited
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  • 2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin136 cited
  • 2019Price discovery in bitcoin spot or futures?130 cited
  • 2018An analysis of price discovery between Bitcoin futures and spot markets125 cited
  • 2019The destabilising effects of cryptocurrency cybercriminality120 cited
  • 2011Price discovery in spot and futures markets: a reconsideration89 cited
  • 2021When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market56 cited
  • 2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?

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  • 2021Fractional cointegration in bitcoin spot and futures markets39 cited
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