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Intraday spillovers in high-order moments among main cryptocurrency markets: the role of uncertainty indexes
16 references·0 citing·33 second hopsampled
Intraday spillovers in high-order moments among main cryptocurrency markets: the role of uncertainty indexes (2024)Intraday spillovers in high-order moments…The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)The contagion effects of the …Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Safe haven or risky hazard? B…COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)COVID-19 pandemic, oil prices…RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)RETRACTED: Is Bitcoin a bette…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…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 (2011)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…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Stochastic Simulation (1987)How Big Is the Random Walk in GNP? (1988)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)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)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)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2009)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Correlations in Price Changes and Volatility across International Stock Markets (1990)Measuring Economic Policy Uncertainty* (2016)COVID-19 and finance: Agendas for future research (2020)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Financial contagion during COVID–19 crisis (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,943 cited
  • 2003Modeling and Forecasting Realized Volatility3,920 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,569 cited
  • 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach1,548 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,425 cited
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?1,058 cited
  • 2020The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies934 cited
  • 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance886 cited
  • 2020Safe haven or risky hazard? Bitcoin during the Covid-19 bear market

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832 cited
  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin726 cited
  • 2019RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities?696 cited
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