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Spillovers and multiscale relationships among cryptocurrencies: A portfolio implication using high frequency data
16 references·0 citing·42 second hop
Spillovers and multiscale relationships among cryptocurrencies: A portfolio implication using high frequency data (2024)Spillovers and multiscale relationships a…Quantile connectedness in the cryptocurrency market (2021)Quantile connectedness in the…Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)Volatility connectedness in t…Trading and Arbitrage in Cryptocurrency Markets (2018)Trading and Arbitrage in Cryp…Return and volatility spillovers among cryptocurrencies (2018)Return and volatility spillov…Dynamic connectedness and integration in cryptocurrency markets (2018)Dynamic connectedness and int…Co-explosivity in the cryptocurrency market (2018)Co-explosivity in the cryptoc…RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)RETRACTED: Datestamping the B…Negative bubbles and shocks in cryptocurrency markets (2016)Negative bubbles and shocks i…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)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)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)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)Stock Prices and Social Dynamics (1984)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)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)Generalized autoregressive conditional heteroskedasticity (1986)Econometric Analysis of Cross Section and Panel Data (2001)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2018Trading and Arbitrage in Cryptocurrency Markets903 cited
  • 2017RETRACTED: Datestamping the Bitcoin and Ethereum bubbles655 cited
  • 2018Dynamic connectedness and integration in cryptocurrency markets627 cited
  • 2016Negative bubbles and shocks in cryptocurrency markets508 cited
  • 2018Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?436 cited
  • 2018Co-explosivity in the cryptocurrency market369 cited

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2021
Quantile connectedness in the cryptocurrency market
344 cited
  • 2018Return and volatility spillovers among cryptocurrencies330 cited
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