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Time-varying spillovers in high-order moments among cryptocurrencies
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Time-varying spillovers in high-order moments among cryptocurrencies (2024)Time-varying spillovers in high-order mom…Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Quantile Connectedness: Model…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)Does economic policy uncertai…Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Bitcoin is not the New Gold –…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Virtual currency, tangible re…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Hedging capabilities of bitcoin. Is it the virtual gold? (2015)Hedging capabilities of bitco…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…A new index of financial conditions (2014)A new index of financial cond…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)The Inefficiency of Bitcoin (2016)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)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)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)Correlations in Price Changes and Volatility across International Stock Markets (1990)Efficient Tests for an Autoregressive Unit Root (1996)Return connectedness across asset classes around the COVID-19 outbreak (2020)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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  • 2014A new index of financial conditions

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710 cited
  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin704 cited
  • 2018Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation694 cited
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