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Volatile safe-haven asset: Evidence from Bitcoin
16 references·0 citing·45 second hop
Volatile safe-haven asset: Evidence from Bitcoin (2024)Volatile safe-haven asset: Evidence from …Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Trading and Arbitrage in Cryptocurrency Markets (2018)Trading and Arbitrage in Cryp…Risks and Returns of Cryptocurrency (2018)Risks and Returns of Cryptocu…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…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 …Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Predictive regressions (1999)Predictive regressionsAutomatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Generalized autoregressive conditional heteroskedasticity (1986)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Capital Asset Pricing Model with Time-Varying Covariances (1988)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Gold as a hedge against the dollar (2005)A power GARCH examination of the gold market (2006)Metal volatility in presence of oil and interest rate shocks (2007)The Inefficiency of Bitcoin (2016)MONEY, INCOME, AND CAUSALITY (1972)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Testing for Error Correction in Panel Data* (2007)Common risk factors in the returns on stocks and bonds (1993)Comparing Predictive Accuracy (1994)A five-factor asset pricing model (2014)Characteristics are covariances: A unified model of risk and return (2019)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Forecasting: theory and practice (2022)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods23,139 cited
  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2020Empirical Asset Pricing via Machine Learning2,832 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,695 cited
  • 1999Predictive regressions1,614 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,569 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,425 cited
  • 2018Risks and Returns of Cryptocurrency1,135 cited
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?1,058 cited

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Trading and Arbitrage in Cryptocurrency Markets
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