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Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness
16 references·0 citing·36 second hopsampled
Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness (2024)Good vs. bad volatility in major cryptocu…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…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…What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis (2015)What Are the Main Drivers of …Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Good Volatility, Bad Volatili…BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era (2013)BitCoin meets Google Trends a…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…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…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, …Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Book Review: Time Series Analysis: Forecasting and Control (1977)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)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)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)What is an Oil Shock? (2000)The Economic Effects of Energy Price Shocks (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)On the Estimation of Security Price Volatilities from Historical Data (1980)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,774 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,943 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,704 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,380 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,891 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,690 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,425 cited
  • 2015What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis989 cited

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2018
Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance
886 cited
  • 2013BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era859 cited
  • 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited
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