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Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers
16 references·1 citing·45 second hop
Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers (2024)Bitcoin halving and the integration of cr…Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network (2023)Spillovers and connectedness …Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis (2023)Extreme spillover effect of C…Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis (2022)Impact of Russia-Ukraine war …High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis (2022)High-frequency connectedness …Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic (2021)Cryptocurrency liquidity and …Higher moments, extreme returns, and cross–section of cryptocurrency returns (2020)Higher moments, extreme retur…Signatures of the Crypto-Currency Market Decoupling from the Forex (2019)Signatures of the Crypto-Curr…Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position (2019)Cryptocurrency reaction to FO…Spillovers between Bitcoin and other assets during bear and bull markets (2018)Spillovers between Bitcoin an…Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Volatility estimation for Bit…GARCH Modelling of Cryptocurrencies (2017)GARCH Modelling of Cryptocurr…Bitcoin, gold and the US dollar – A replication and extension (2017)Bitcoin, gold and the US doll…Multivariate moments expansion density: Application of the dynamic equicorrelation model (2016)Multivariate moments expansio…Hedging capabilities of bitcoin. Is it the virtual gold? (2015)Hedging capabilities of bitco…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Testing for volatility interactions in the Constant Conditional Correlation GARCH model (2009)Testing for volatility intera…Consumer Behavior in the World of Cryptocurrencies (2024)Consumer Behavior in the Worl…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL (2009)Volatility linkages between energy and agricultural commodity prices (2015)Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed- t density approach (2017)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)The Inefficiency of Bitcoin (2016)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin? (2018)Regime changes in Bitcoin GARCH volatility dynamics (2018)High frequency volatility co-movements in cryptocurrency markets (2019)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Bitcoin and gold price returns: A quantile regression and NARDL analysis (2020)How does economic policy uncertainty affect the bitcoin market? (2020)The Effects of Central Bank Digital Currencies News on Financial Markets (2022)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Information interdependence among energy, cryptocurrency and major commodity markets (2019)How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies (2022)Liquidity and Market Efficiency (2007)COVID-19 and finance: Agendas for future research (2020)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Deep Learning-Based Cryptocurrency Price Prediction Scheme With Inter-Dependent Relations (2021)The differential influence of social media sentiment on cryptocurrency returns and volatility during COVID-19 (2022)Cryptocurrency price forecasting – A comparative analysis of ensemble learning and deep learning methods (2023)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Measuring Geopolitical Risk (2022)The connectedness between meme tokens, meme stocks, and other asset classes: Evidence from a quantile connectedness approach (2022)Asymmetric impacts of geopolitical risk on stock markets: A comparative analysis of the E7 and G7 equities during the Russian-Ukrainian conflict (2023)Forecasting Bitcoin prices using artificial intelligence: Combination of ML, SARIMA, and Facebook Prophet models (2023)Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution (2020)
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References

  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?982 cited
  • 2017Bitcoin, gold and the US dollar – A replication and extension518 cited
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  • 2019Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position217 cited
  • 2022Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis212 cited
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  • 2023Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis105 cited
  • 2023Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network97 cited
  • 2016

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Multivariate moments expansion density: Application of the dynamic equicorrelation model
79 cited
  • 2019Signatures of the Crypto-Currency Market Decoupling from the Forex69 cited
  • 2020Higher moments, extreme returns, and cross–section of cryptocurrency returns50 cited
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    • 2024Consumer Behavior in the World of Cryptocurrencies6 cited