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Connectedness between cryptocurrencies using high-frequency data: A novel insight from the Silicon Valley Banks collapse
16 references·8 citing·46 second hopsampled
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(1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)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)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Safe haven or risky hazard? 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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 2020Financial contagion during COVID–19 crisis937 cited
  • 2019RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities?696 cited
  • 2018Dynamic connectedness and integration in cryptocurrency markets627 cited
  • 2020Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis524 cited
  • 2022Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine522 cited
  • 2018Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?436 cited
  • 2022The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach377 cited
  • 2017Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets365 cited
  • 2020Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?351 cited
  • 2021Quantile connectedness in the cryptocurrency market344 cited
  • 2017Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?

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324 cited
  • 2019Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis305 cited
  • 2021NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic274 cited
  • Cited by

    • 2023The resilience of Shariah-compliant investments: Probing the static and dynamic connectedness between gold-backed cryptocurrencies and GCC equity markets66 cited
    • 2024Assessing the impact of renewable energy tokens on BRICS stock markets: A new diversification approach60 cited
    • 2024Extreme connectedness between NFTs and US equity market: A sectoral analysis41 cited
    • 2025Sailing towards sustainability: Connectedness between ESG stocks and green cryptocurrencies34 cited
    • 2024Impact of tokenization on financial investments: Exploring connectedness through the case of transport and travel/tourism sectors24 cited
    • 2023A high-frequency data dive into SVB collapse22 cited
    • 2024Spillovers and multiscale relationships among cryptocurrencies: A portfolio implication using high frequency data22 cited
    • 2024Reputational contagion from the Silicon Valley Bank debacle19 cited