Aalborg, H.A. ; Molnár, P. ; Vries, J.E. What can explain the price, volatility and trading volume of Bitcoin?. 2019 Financ. Res. Lett.. 29 255-265
Abakah, E.J. ; Gil-Alana, L.A. ; Madigu, G. ; Romero-Rojo, F. Volatility persistence in cryptocurrency markets under structural breaks. 2020 Int. Rev. Econ. Financ.. 69 680-691
Ahelegbey, D.F. ; Giudici, P. ; Mojtahedi, F. Tail risk measurement in crypto-asset markets. 2021 Int. Rev. Financ. Anal.. 73 -
Ahmed, M.S. ; Alhadab, M. Momentum, asymmetric volatility and idiosyncratic risk-momentum relation: Does technology-sector matter?. 2020 Q. Rev. Econ. Financ.. 78 355-371
- Aït-Sahalia, Y. ; Kimmel, R. Maximum likelihood estimation of stochastic volatility models. 2007 J. Financ. Econ.. 83 413-452
Paper not yet in RePEc: Add citation now
- Akyildirim, E. ; Corbet, S. ; Katsiampa, P. ; Kellard, N. ; Sensoy, A. The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives. 2020 Financ. Res. Lett.. 34 -
Paper not yet in RePEc: Add citation now
Akyildirim, E. ; Corbet, S. ; Lucey, B. ; Sensoy, A. ; Yarovaya, L. The relationship between implied volatility and cryptocurrency returns. 2020 Financ. Res. Lett.. 33 -
Al Guindy, M. Cryptocurrency price volatility and investor attention. 2021 Int. Rev. Econ. Financ.. 76 556-570
Al-Yahyaeea, K.H. ; Mensi, W. ; Ko, H.-U. ; Yoon, S.-M. Why cryptocurrency markets are inefficient: The impact of liquidity and volatility. 2020 N. Am. J. Econ. Financ.. 52 -
Alexander, C., Heck, D.F., & Kaeck, A. (2021, July 8). The role of binance in bitcoin volatility transmission. Retrieved from SSRN: 〈https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3877949〉.
Alizadeh, S. ; Brandt, M.W. ; Diebold, F.X. Range-Based estimation of stochastic volatility models. 2002 J. Financ.. 57 1047-1091
Apergis, N. COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling. 2022 Financ. Res. Lett.. 47 -
Ardia, D. ; Bluteau, K. ; Rüede, M. Regime changes in Bitcoin GARCH volatility dynamics. 2019 Financ. Res. Lett.. 29 266-271
Arfaoui, N. ; Naeem, M.A. ; Boubaker, S. ; Mirza, N. ; Karim, S. Interdependence of clean energy and green markets with cryptocurrencies. 2023 Energy Econ.. 120 -
Aslan, A. ; Sensoy, A. Intraday efficiency-frequency nexus in the cryptocurrency markets. 2020 Financ. Res. Lett.. 35 -
- Attarzadeh, A. ; Balcilar, M. On the dynamic return and volatility connectedness of cryptocurrency, crude oil, clean energy, and stock markets: a time-varying analysis. 2022 Environ. Sci. Pollut. Res.. 29 65185-65196
Paper not yet in RePEc: Add citation now
Aysan, A.F. ; Demir, E. ; Gozgor, G. ; Lau, C.K. Effects of the geopolitical risks on Bitcoin returns and volatility. 2019 Res. Int. Bus. Financ.. 47 511-518
- Baker, H. ; Kumar, S. ; Pandey, N. A bibliometric analysis of European Financial Managementʼs first 25 years. 2020 Eur. Financ. Manag.. 26 1224-1260
Paper not yet in RePEc: Add citation now
- Bariviera, A.F. The inefficiency of Bitcoin revisited: A dynamic approach. 2017 Econ. Lett.. 161 1-4
Paper not yet in RePEc: Add citation now
- Bariviera, A.F. ; Merediz-Solà, I. Where do we stand In cryptocurrencies economic research? A survey based on hybrid analysis. 2021 J. Econ. Surv.. 35 377-407
Paper not yet in RePEc: Add citation now
Baur, D.G. ; Dimpf, T. The volatility of Bitcoin and its role as a medium of exchange and a store of value. 2021 Empir. Econ.. 61 2663-2683
Baur, D.G. ; Dimpfl, T. Asymmetric volatility in cryptocurrencies. 2018 Econ. Lett.. 17 148-151
Baur, D.G. ; Hoang, L.T. A crypto safe haven against Bitcoin. 2021 Financ. Res. Lett.. 38 -
Baur, D.G. ; Lucey, B.M. Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. 2010 Financ. Rev.. 45 217-229
Beneki, C. ; Koulis, A. ; Kyriazis, N.A. ; Papadamou, S. Investigating volatility transmission and hedging properties between Bitcoin and Ethereum. 2019 Res. Int. Bus. Financ.. 48 219-227
- Black, F. Studies of stock price volatility changes. 1976 American Statistical Association: Washington DC
Paper not yet in RePEc: Add citation now
Bollerslev, T. ; Jubinski, D. Equity trading volume and volatility: Latent information arrivals and common long-run dependencies. 1999 J. Bus. Econ. Stat.. 17 9-21
Bollerslev, T. ; Mikkelsen, H.O. Modeling and pricing long memory in stock market volatility. 1996 J. Econ.. 73 151-184
Bordignon, S. ; Caporin, M. ; Lisi, F. Generalised long-memory GARCH models for intra-daily volatility. 2007 Comput. Stat. Data Anal.. 51 5900-5912
Borgards, O. ; Czudaj, R.L. Features of overreactions in the cryptocurrency market. 2021 Q. Rev. Econ. Financ.. 80 31-48
Borri, N. Conditional tail-risk in cryptocurrency markets. 2019 J. Empir. Financ.. 50 1-19
Bouoiyour, J. ; Selmi, R. Bitcoin: A beginning of a new phase?. 2016 Econ. Bull.. 36 1430-1440
Bouri, E. ; Gil-Alana, L.A. ; Gupta, R. ; Roubaud, D. Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks. 2019 Int. J. Financ. Econ.. 24 412-426
- Bouri, E. ; Gupta, R. ; Roubaud, D. Herding behaviour in cryptocurrencies. 2019 Financ. Res. Lett.. 29 216-221
Paper not yet in RePEc: Add citation now
- Bouri, E. ; Gupta, R. ; Tiwari, A.K. ; Roubaud, D. Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions. 2017 Financ. Res. Lett.. 23 87-95
Paper not yet in RePEc: Add citation now
- Bouri, E. ; Kristoufek, L. ; Ahmad, T. ; Shahzad, S.J. Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies. 2022 Advance online publication:
Paper not yet in RePEc: Add citation now
Bouri, E. ; Molnár, P. ; Azzi, G. ; Roubaud, D. ; Hagfors, L.I. On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. 2017 Financ. Res. Lett.. 20 192-198
Bouri, E. ; Saeed, T. ; Vo, X.V. ; Roubaud, D. Quantile connectedness in the cryptocurrency market. 2021 J. Int. Financ. Mark., Inst. Money. 71 -
Bouri, E. ; Vo, X.V. ; Saeed, T. Return equicorrelation in the cryptocurrency market: Analysis and determinants. 2021 Financ. Res. Lett.. 38 -
- Brauer, M. What have we acquired and what should we acquire in divestiture research? A review and research agenda. 2006 J. Manag.. 32 751-785
Paper not yet in RePEc: Add citation now
Brauneis, A. ; Mestel, R. Cryptocurrency-portfolios in a mean-variance framework. 2019 Financ. Res. Lett.. 28 259-264
Brooks, C. ; Hoepner, A.G. ; McMillan, D. ; Vivian, A. ; Simen, C.W. Financial data science: the birth of a new financial research paradigm complementing econometrics?. 2019 Eur. J. Financ.. 25 1627-1636
Bukovina, J. ; Marticek, M. Sentiment and Bitcoin volatility. 2016 Retrieved MENDELU Work. Pap. Bus. Econ.. -
Bystrom, H., Krygier, D., 2018. What drives bitcoin volatility? Retrieved from Working Papers 2018:24, Lund University, Department of Economics.: https://project.nek.lu.se/publications/workpap/papers/wp18_24.pdf.
- Canh, N.P. ; Wongchoti, U. ; Thanh, S.D. ; Thong, N.T. Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model. 2019 Financ. Res. Lett.. 29 90-100
Paper not yet in RePEc: Add citation now
Cao, G. ; Xie, W. Asymmetric dynamic spillover effect between cryptocurrency and China's financial market: evidence from TVP-VAR based connectedness approach. 2022 Financ. Res. Lett.. 49 -
Cao, G. ; Xie, W. The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market. 2021 N. Am. J. Econ. Financ.. 58 -
Caporale, G.M. ; Gil-Alana, L. ; Plastun, A. Persistence in the cryptocurrency market. 2018 Res. Int. Bus. Financ.. 46 141-148
Caporale, G.M. ; Zekokh, T. Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. 2019 Res. Int. Bus. Financ.. 48 143-155
- Catania, L. ; Grassi, S. Forecasting cryptocurrency volatility. 2022 Int. J. Forecast.. 38 878-894
Paper not yet in RePEc: Add citation now
Celeste, V. ; Corbet, S. ; Gurdgiev, C. Fractal dynamics and wavelet analysis: Deep volatility and return properties of Bitcoin, Ethereum and Ripple. 2020 Q. Rev. Econ. Financ.. 76 310-324
Chaim, P. ; Laurini, M.P. Nonlinear dependence in cryptocurrency markets. 2019 North Am. J. Econ. Financ.. 48 32-47
Chaim, P. ; Laurini, M.P. Volatility and return jumps in bitcoin. 2018 Econ. Lett.. 173 158-163
Chan, S. ; Chu, J. ; Zhang, Y. ; Nadarajah, S. An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies. 2022 Res. Int. Bus. Financ.. 59 -
Charfeddine, L. ; Maouchi, Y. Are shocks on the returns and volatility of cryptocurrencies really persistent?. 2019 Financ. Res. Lett.. 28 423-430
Charles, A. ; Darné, O. Volatility estimation for Bitcoin: Replication and robustness. 2019 Int. Econ.. 157 23-32
Cheikh, N.B. ; Zaied, Y.B. ; Chevallier, J. Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models. 2020 Financ. Res. Lett.. 35 -
Chemkha, R. ; BenSaïda, A. ; Ghorbel, A. Connectedness between cryptocurrencies and foreign exchange markets: Implication for risk management. 2021 J. Multinatl. Financ. Manag.. 59 -
- Chen, A.-S. ; Leung, M.T. ; Daouk, H. Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock Index. 2003 Comput. Oper. Res.. 30 901-923
Paper not yet in RePEc: Add citation now
Chen, X. ; Fan, Y. Estimation of copula-based semiparametric time series models. 2006 J. Econ.. 130 307-335
- Chi, Y. ; Hao, W. Volatility models for cryptocurrencies and applications in the options market. 2021 J. Int. Financ. Mark. Inst. Money. 75 -
Paper not yet in RePEc: Add citation now
Christensen, K. ; Oomen, R.C. ; Podolskij, M. Fact or friction: Jumps at ultra high frequency. 2014 J. Financ. Econ.. 114 576-599
Christie, A.A. The stochastic behavior of common stock variances: Value, leverage and interest rate effects.. 1982 J. Financ. Econ.. 10 407-432
Cont, R. Volatility clustering in financial markets: Empirical facts and agent-based models. 2007 En : Teyssière, G. ; Kirman, A.P. Long Memory in Economics. Springer: Berlin
Corbet, S. ; Katsiampa, P. Asymmetric mean reversion of Bitcoin price returns. 2020 Int. Rev. Financ. Anal.. 71 -
Corbet, S. ; Larkin, C. ; Lucey, B. ; Meegan, A. ; Yarovaya, L. Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position. 2020 J. Financ. Stab.. 46 -
Corbet, S. ; Larkin, C. ; Lucey, B.M. ; Meegan, A. ; Yarovaya, L. The impact of macroeconomic news on Bitcoin returns. 2020 Eur. J. Financ.. 26 1396-1416
Corbet, S. ; Meegan, A. ; Larkin, C. ; Lucey, B. ; Yarovaya, L. Exploring the dynamic relationships between cryptocurrencies and other financial assets. 2018 Econ. Lett.. 165 28-34
Corsi, F. ; Zumbach, G. ; Ulrich, M.A. ; Dacorogna, M.M. Consistent high-precision volatility from high-frequency data. 2001 Econ. Notes. 30 183-204
Cross, J.L. ; Hou, C. ; Trinh, K. Returns, volatility and the cryptocurrency bubble of 2017–18.. 2021 Econ. Model.. 104 -
Daal, E. ; Naka, A. ; Yu, J.-S. Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets. 2007 J. Bank. Financ.. 31 2751-2769
Das, D. ; Roux, C.L. ; Jana, R. ; Dutta, A. Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar. 2020 Financ. Res. Lett.. 36 -
Dau, L.A. ; Santangelo, G.D. ; Witteloostuijn, A. v Replication studies in international business. 2022 J. Int. Bus. Stud.. 53 215-230
Davidson, W.N. ; Kim, J.K. ; Ors, E. ; Szakmary, A. Using implied volatility on options to measure the relation between asset returns and variability. 2001 J. Bank. Financ.. 25 1245-1269
De Bondt, W.F. ; Thaler, R. Does the stock market overreact?. 1985 J. Financ.. 40 793-805
Demir, E. ; Gozgor, G. ; Lau, C.K. ; Vigne, S.A. Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. 2018 Financ. Res. Lett.. 26 145-149
Diebold, F.X. ; Mariano, R.S. Comparing predictive accuracy. 1995 J. Bus. Econ. Stat.. 13 253-265
Dimpfl, T. ; Elshiaty, D. Volatility discovery in cryptocurrency markets. 2021 J. Risk Financ.. 22 313-331
Duan, Y. ; Chen, W. ; Zeng, Q. ; Liu, Z. Leverage effect, economic policy uncertainty and realized volatility with regime switching. 2018 Phys. A. 493 148-154
- Duncan, G. ; Engel, M. ; Claessens, A. ; Dowsett, C. Replication and robustness in developmental research. 2014 Dev. Psychol.. 50 2417-2425
Paper not yet in RePEc: Add citation now
- Dyhrberg, A.H. Bitcoin, gold and the dollar –a GARCH volatility analysis. 2016 Financ. Res. Lett.. 16 85-92
Paper not yet in RePEc: Add citation now
Engel, C. ; Hakkio, C. Exchange rate regimes and volatility. 1993 Econ. Rev. - Fed. Reserve Bank Kans. City. 78 43-58
- Estrada, J.C. (2017, May 5). Analyzing bitcoin price volatility. Retrieved from University of California, Berkeley: 〈https://www.econ.berkeley.edu/sites/default/files/Thesis_Julio_Soldevilla.pdf〉.
Paper not yet in RePEc: Add citation now
Fakhfekh, M. ; Jeribi, A. Volatility dynamics of crypto-currencies’ returns: Evidence from asymmetric and long memory GARCH models.. 2020 Res. Int. Bus. Financ.. 51 -
Fang, L. ; Bouri, E. ; Gupta, R. ; Roubaud, D. Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?. 2019 Int. Rev. Financ. Anal.. 61 29-36
Fang, T. ; Su, Z. ; Yin, L. Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility. 2020 Int. Rev. Financ. Anal.. 71 -
- Fasanya, I.O. ; Oyewole, O. ; Odudu, T. Returns and volatility spillovers among cryptocurrency portfolios. 2021 Int. J. Manag. Financ.. 17 327-341
Paper not yet in RePEc: Add citation now
Fry, J. ; Cheah, E.-T. Negative bubbles and shocks in cryptocurrency markets. 2016 Int. Rev. Financ. Anal.. 47 343-352
Fung, K. ; Jeong, J. ; Pereira, J. More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies. 2022 Financ. Res. Lett.. 47 -
Gabaix, X. ; Gopikrishnan, P. ; Plerou, V. ; Stanley, H.E. Institutional investors and stock market volatility. 2006 Q. J. Econ.. 121 461-504
Gemici, E. ; Polat, M. Causality-in-mean and causality in-variance among Bitcoin, Litecoin, and Ethereum. 2021 Stud. Econ. Financ.. 38 861-872
Gil-Alana, L.A. ; Abakah, E.J. ; Rojo, M.F. Cryptocurrencies and stock market indices. Are they related?. 2020 Res. Int. Bus. Financ.. 51 -
Gkillas, K. ; Katsiampa, P. An application of extreme value theory to cryptocurrencies. 2018 Econ. Lett.. 164 109-111
- Gkillas, K. ; Tantoula, M. ; Tzagarakis, M. Transaction activity and bitcoin realized volatility. 2021 Oper. Res. Lett.. 49 715-719
Paper not yet in RePEc: Add citation now
Gradojevic, N. ; Tsiakas, I. Volatility cascades in cryptocurrency trading. 2021 J. Empir. Financ.. 62 252-265
- Güler, D. The Impact of investor sentiment on Bitcoin returns and conditional volatilities during the era of Covid-19. 2021 En : Journal of Behavioral Finance. Advanced online publication:
Paper not yet in RePEc: Add citation now
Hafner, C.M. Testing for bubbles in cryptocurrencies with time-varying volatility. 2020 J. Financ. Econ.. 18 233-249
Hairudin, A. ; Sifat, I.M. ; Mohamad, A. ; Yusof, Y. Cryptocurrencies: A survey on acceptance, governance and market dynamics. 2022 Int. J. Financ. Econ.. 27 4633-4659
- Haleblian, J. ; Devers, C.E. ; McNamar, G. ; Carpenter, M.A. ; Davison, R.B. Taking stock of what we know about mergers and acquisitions: A review and research agenda. 2009 J. Manag.. 35 469-502
Paper not yet in RePEc: Add citation now
Hampl, F. ; Gyönyörová, L. Can fiat-backed stablecoins be considered cash or cash equivalents under international financial reporting standards rules?. 2021 Aust. Account. Rev.. 98 233-255
Han, Y. Asset allocation with a high dimensional latent factor stochastic volatility model. 2006 Rev. Financ. Stud.. 19 237-271
- Hansen, P.R. ; Lunde, A. Forecasting volatility using high-frequency data. 2011 En : Clements, M.P. ; Hendry, D.F. The Oxford Handbook of Economic Forecasting. Blackwell: Oxford
Paper not yet in RePEc: Add citation now
- Hansena, P.R., Kim, C., & Kimbrough, W. (2021, September 24). Periodicity in cryptocurrency volatility and liquidity. Retrieved from Cornell University: 〈https://arxiv.org/abs/2109.12142〉.
Paper not yet in RePEc: Add citation now
- Harb, E. ; Bassil, C. ; Kassamany, T. ; Baz, R. Volatility interdependence between cryptocurrencies, equity, and bond markets. 2022 En : Computational Economics. Advance online publication:
Paper not yet in RePEc: Add citation now
- Harvey, C.R. (2017, NOV 20). Bitcoin Myths and Facts. Retrieved from SSRN: 〈https://papers.ssrn.com/sol3/papers.cfm?Abstract_id=2479670〉.
Paper not yet in RePEc: Add citation now
Hasan, M. ; Naeem, M.A. ; Arif, M. ; Yarovaya, L. Higher moment connectedness in cryptocurrency market. 2021 J. Behav. Exp. Financ.. 32 -
- Helfat, C.E. Stylized facts, empirical research and theory development in management. 2007 Strateg. Organ.. 5 185-192
Paper not yet in RePEc: Add citation now
- Hirschman, D. Stylized facts in the social sciences. 2016 Sociol. Sci.. 3 604-626
Paper not yet in RePEc: Add citation now
Hossain, M.S. What do we know about cryptocurrency? Past, present, future. 2021 China Financ. Rev. Int.. 11 552-572
Hu, Y. ; Valera, H.G. ; Oxley, L. Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework. 2019 Financ. Res. Lett.. 31 138-145
- Huang, J.-Z. ; Ni, J. ; Xu, L. Leverage effect in cryptocurrency markets. 2022 Pac. -Basin Financ. J.. 73 -
Paper not yet in RePEc: Add citation now
- Inclan, C. ; Tiao, G.C. Use of cumulative sums of squares for retrospective detection of changes of variance. 1994 J. Am. Stat. Assoc.. 89 913-923
Paper not yet in RePEc: Add citation now
- Jalal, R.N.-U.-D. ; Alon, I. ; Paltrinieri, A. A bibliometric review of cryptocurrencies as a financial asset. 2021 En : Technology Analysis & Strategic Management. Advance Online Publication:
Paper not yet in RePEc: Add citation now
James, N. ; Menzies, M. ; Chan, J. Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19. 2021 Phys. A. 565 -
Janssen, G. Public information arrival and volatility persistence in financial markets. 2004 Eur. J. Financ.. 10 177-197
Jeribi, A. ; Fakhfekh, M. Portfolio management and dependence structure between cryptocurrencies and traditional assets: Evidence from FIEGARCH-EVT-Copula. 2021 J. Asset Manag.. 22 224-239
Ji, Q. ; Bouri, E. ; Kristoufek, L. ; Lucey, B. Realised volatility connectedness among Bitcoin exchange markets. 2021 Financ. Res. Lett.. 38 -
Ji, Q. ; Bouri, E. ; Lau, C.K. ; Roubaud, D. Dynamic connectedness and integration in cryptocurrency markets. 2019 Int. Rev. Financ. Anal.. 63 257-272
Jones, C.P. ; Walker, M.D. ; Wilson, J.W. Analyzing stock market volatility using extreme-day measures. 2004 J. Financ. Res.. 27 585-601
Kakinaka, S. ; Umeno, K. Cryptocurrency market efficiency in short- and long-term horizons during COVID-19: an asymmetric multifractal analysis approach. 2022 Financ. Res. Lett.. 46 -
- Karaömer, Y. The time-varying correlation between cryptocurrency policy uncertainty and cryptocurrency returns. 2022 Stud. Econ. Financ.. 39 297-310
Paper not yet in RePEc: Add citation now
Katsiampa, P. An empirical investigation of volatility dynamics in the cryptocurrency market. 2019 Res. Int. Bus. Financ.. 50 322-335
Katsiampa, P. Volatility co-movement between Bitcoin and Ether. 2019 Financ. Res. Lett.. 30 221-227
Katsiampa, P. ; Corbet, S. ; Lucey, B. High frequency volatility co-movements in cryptocurrency markets. 2019 J. Int. Financ. Mark. Inst. Money. 35 52-
Katsiampa, P. ; Moutsianas, K. ; Urquhart, A. Information demand and cryptocurrency market activity. 2019 Econ. Lett.. 185 -
- Kim, A. ; Trimborn, S. ; Härdle, W.K. VCRIX — a volatility index for crypto-currencies. 2021 Int. Rev. Financ. Anal.. 78 -
Paper not yet in RePEc: Add citation now
Kim, W. ; Lee, J. ; Kang, K. The effects of the introduction of Bitcoin futures on the volatility of Bitcoin returns. 2020 Financ. Res. Lett.. 33 -
- Klein, T. ; Thu, H.P. ; Walther, T. Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance. 2018 Int. Rev. Financ. Anal.. 59 105-116
Paper not yet in RePEc: Add citation now
Kliber, A. ; Marszałek, P. ; Musiałkowska, I. ; Świerczyńska, K. Bitcoin: Safe haven, hedge or diversifier? Perception of bitcoin in the context of a country’s economic situation—a stochastic volatility approach.. 2019 Phys. A. 524 246-257
Koutmos, D. Return and volatility spillovers among cryptocurrencies. 2018 Econ. Lett.. 173 122-127
Kumar, A. ; Iqbal, N. ; Mitra, S.K. ; Kristoufek, L. ; Bouri, E. Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak. 2022 J. Int. Financ. Mark. Inst. Money. 77 -
Kumar, A.S. ; Anandarao, S. Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis. 2019 Phys. A. 524 448-458
Kyriazis, N. ; Papadamou, S. ; Corbet, S. A systematic review of the bubble dynamics of cryptocurrency prices. 2020 Res. Int. Bus. Financ.. 54 -
- Kyriazis, N. ; Papadamou, S. ; Tzeremes, P. ; Corbet, S. The Differential Influence of Social Media Sentiment on Cryptocurrency Returns and Volatility During COVID-19. The Quarterly Review of Economics and Finance, Advance online publication. 2022 Advance Online Publication:
Paper not yet in RePEc: Add citation now
- L´opez-Cabarcos, M. ; P´erez-Pico, A.M. ; Pi˜neiro-Chousa, J. ; ˇSevi´, A. Bitcoin volatility, stock market and investor sentiment. Are they connected?. 2021 Financ. Res. Lett.. 38 -
Paper not yet in RePEc: Add citation now
Lahiani, A. ; Jeribi, A. ; Jlassi, N.B. Nonlinear tail dependence in cryptocurrency-stock market returns: the role of Bitcoin futures. 2021 Res. Int. Bus. Financ.. 56 -
Lahmiri, S. ; Bekiros, S. ; Salvi, A. Long-range memory, distributional variation and randomness of bitcoin volatility. 2018 Chaos, Solitons Fractals. 107 43-48
Leung, T. ; Nguyen, H. Constructing cointegrated cryptocurrency portfolios for statistical arbitrage. 2019 Stud. Econ. Financ.. 36 581-599
Li, W. ; Cheng, Y. ; Fang, Q. Forecast on silver futures linked with structural breaks and day-of-the-week effect. 2020 N. Am. J. Econ. Financ.. -
Liang, C. ; Zhang, Y. ; Li, X. ; Ma, F. Which predictor is more predictive for Bitcoin volatility? And why?. 2022 Int. J. Financ. Econ.. 27 1947-1961
Liu, J. ; Serletis, A. Volatility in the cryptocurrency market. 2019 Open Econ. Rev.. 30 779-811
Liu, W. ; Semeyutin, A. ; Lau, C.K. ; Gozgor, G. Forecasting value-at-risk of cryptocurrencies with riskmetrics type models. 2020 Res. Int. Bus. Financ.. 54 -
Lucey, B.M. ; Vigne, S.A. ; Yarovaya, L. ; Wang, Y. The cryptocurrency uncertainty index. 2022 Financ. Res. Lett.. 45 -
Ma, D. ; Tanizaki, H. The day-of-the-week effect on Bitcoin return and volatility. 2019 Res. Int. Bus. Financ.. 49 127-136
Maghyereh, A. ; Abdoh, H. Tail dependence between Bitcoin and financial assets: Evidence from a quantile cross-spectral approach. 2020 Int. Rev. Financ. Anal.. 71 -
Mandaci, P.E. ; Cagli, E.C. Herding intensity and volatility in cryptocurrency markets during the COVID-19. 2022 Financ. Res. Lett.. 46 -
Mandelbrot, B. The variation of certain speculative prices. 1963 J. Bus.. 36 394-419
Mandelbrot, B.B. When can price be arbitraged efficiently? A limit to the validity of the random walk and martingale models. 1971 Rev. Econ. Stat.. 53 225-236
Mariana, C.D. ; Ekaputra, I.A. ; Husodo, Z.A. Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?. 2021 Financ. Res. Lett.. 38 -
- Matkovskyy, R. ; Jalan, A. From financial markets to Bitcoin markets: A fresh look at the contagion effect. 2017 Financ. Res. Lett.. 31 93-97
Paper not yet in RePEc: Add citation now
Mba, J.C. ; Mwambi, S. A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization. 2020 Financ. Mark. Portf. Manag.. 34 199-214
Mba, J.C. ; Pindza, E. ; Koumba, U. A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization. 2018 Financ. Mark. Portf. Manag.. 32 399-418
McMillan, D.G. ; Ruiz, I. Volatility persistence, long memory and time-varying unconditional mean: Evidence from 10 equity indices. 2009 Q. Rev. Econ. Financ.. 49 578-595
Mensi, W. ; Al-Yahyaee, K.H. ; Al-Jarrah, I.M. ; Vo, X.V. ; Kang, S.H. Dynamic volatility transmission and portfolio management across major cryptocurrencies: Evidence from hourly data. 2020 N. Am. J. Econ. Financ.. 54 -
Mensi, W. ; Al-Yahyaee, K.H. ; Kang, S.H. Structural breaks and double long memory of cryptocurrency prices: a comparative analysis from Bitcoin and Ethereum. 2019 Financ. Res. Lett.. 29 222-230
Mensi, W. ; Lee, Y.-J. ; Al-Yahyaee, K.H. ; Sensoy, A. ; Yoon, S.-M. Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis. 2019 Financ. Res. Lett.. 31 19-25
Meshcheryakov, A. ; Ivanov, S. Ethereum as a hedge: the intraday analysis. 2020 Econ. Bull.. 40 101-108
- Miglietti, C. ; Kubosova, Z. ; Skulanova, N. Bitcoin, Litecoin, and the Euro: an annualized volatility analysis. 2020 Stud. Econ. Financ.. 37 229-242
Paper not yet in RePEc: Add citation now
Mincer, J.A. ; Zarnowitz, V. The evaluation of economic forecasts. 1969 En : Mincer, J.A. Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance (pp. 3-46). NBER chapters. National Bureau of Economic Research, Inc:
- Mnif, E. ; Jarboui, A. ; Mouakhar, K. How the cryptocurrency market has performed during COVID 19? A multifractal analysis. 2020 Financ. Res. Lett.. 36 -
Paper not yet in RePEc: Add citation now
Naeem, M. ; Bouri, E. ; Boako, G. ; Roubaud, D. Tail dependence in the return-volume of leading cryptocurrencies. 2020 Financ. Res. Lett.. 36 -
Naeem, M.A. ; Karim, S. Tail dependence between bitcoin and green financial assets. 2021 Econ. Lett.. 208 -
Naeem, M.A. ; Lucey, B.M. ; Karim, S. ; Ghafoor, A. Do financial volatilities mitigate the risk of cryptocurrency indexes?. 2022 Financ. Res. Lett.. 50 -
- Naimy, V. ; Hayek, M.R. Modelling and predicting the Bitcoin volatility using GARCH models. 2018 Int. J. Math. Model. Numer. Optim.. 8 197-215
Paper not yet in RePEc: Add citation now
- Nakamoto, S., 2008. Bitcoin: A peer-to-peer electronic cash system〈https://bitcoin.org/bitcoin.pdf〉.
Paper not yet in RePEc: Add citation now
Narayan, S. ; Smyth, R. The financial econometrics of price discovery and predictability. 2015 Int. Rev. Financ. Anal.. 42 380-393
Nguyen, L.H. ; Chevapatrakul, T. ; Yao, K. Investigating tail-risk dependence in the cryptocurrency markets: a LASSO quantile regression approach. 2020 J. Empir. Financ.. 58 333-355
Nguyen, T.V. ; Nguyen, T.V. ; Nguyen, T.C. ; Pham, T.T. ; Nguyen, Q.M. Stablecoins versus traditional cryptocurrencies in response to interbank rates. 2022 Financ. Res. Lett.. 47 -
Ning, C. ; Xu, D. ; Wirjanto, T.S. Is volatility clustering of asset returns asymmetric?. 2015 J. Bank. Financ.. 52 62-76
Ning, C. ; Xu, D. ; Wirjanto, T.S. Modeling the leverage effect with copulas and realized volatility. 2008 Financ. Res. Lett.. 5 221-227
Okorie, D.I. ; Lin, B. Crude oil price and cryptocurrencies: Evidence of volatility connectedness and hedging strategy. 2020 Energy Econ.. 87 -
Olsen, R.A. Behavioral finance and its implications for stock-price volatility. 1998 Financ. Anal. J.. 54 10-18
Omane-Adjepong, M. ; Alagidede, I.P. Multiresolution analysis and spillovers of major cryptocurrency markets. 2019 Res. Int. Bus. Financ.. 49 191-206
Omane-Adjepong, M. ; Alagidede, P. ; Akosah, N.K. Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility. 2019 Phys. A. 514 105-120
Oordt, M.R. ; Zhou, C. The simple econometrics of tail dependence. 2012 Econ. Lett.. 116 371-373
- Ozdemir, O. Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. 2022 Financ. Innov.. 8 38-
Paper not yet in RePEc: Add citation now
- Palamalai, S. ; Kumar, K.K. ; Maity, B. Testing the random walk hypothesis for leading cryptocurrencies. 2021 Borsa Istanb. Rev.. 21-3 256-268
Paper not yet in RePEc: Add citation now
Pan, J. The jump-risk premia implicit in options: evidence from an integrated time-series study. 2002 J. Financ. Econ.. 63 3-50
Panagiotidis, T. ; Papapanagiotou, G. ; Stengos, T. On the volatility of cryptocurrencies. 2022 Res. Int. Bus. Financ.. 62 -
Pham, L. ; Karim, S. ; Naeem, M.A. ; Long, C. A tale of two tails among carbon prices, green and non-green cryptocurrencies. 2022 Int. Rev. Financ. Anal.. 82 -
Pham, S.D. ; Nguyen, T.T. ; Do, H.X. Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: evidence from China. 2022 Energy Econ.. 112 -
- Phillip, A. ; Chan, J. ; Peiris, S. On long memory effects in the volatility measure of cryptocurrencies. 2019 Financ. Res. Lett.. 28 95-100
Paper not yet in RePEc: Add citation now
Phillip, A. ; Chan, J.S. ; Peiris, S. A new look at cryptocurrencies. 2018 Econ. Lett.. 163 6-9
- Pichl, L. ; Kaizoji, T. Volatility analysis of bitcoin price time series. 2017 Quant. Financ. Econ.. 1 474-485
Paper not yet in RePEc: Add citation now
Poon, S.-H. Persistence and mean reversion in UK stock returns. 1996 Eur. Financ. Manag.. 2 169-196
Poon, S.-H. ; Granger, C.W. Forecasting volatility in financial markets: a review. 2003 J. Econ. Lit.. 41 478-539
- Poston, R.S. ; Grabski, S.V. Accounting information systems research: is it another QWERTY?. 2000 Int. J. Account. Inf. Syst.. 1 9-53
Paper not yet in RePEc: Add citation now
- Privault, N. Chapter 7: Stochastic Volatility. 2021 En : N., Privault Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing. World Scientific: Singapore
Paper not yet in RePEc: Add citation now
Qiao, X. ; Zhu, H. ; Hau, L. Time-frequency co-movement of cryptocurrency return and volatility: evidence from wavelet coherence analysis. 2020 Int. Rev. Financ. Anal.. 71 -
Rambaccussing, D. ; Mazibas, M. True versus spurious long memory in Cryptocurrencies. 2020 J. Risk Financ. Manag.. 13 1-11
- Rejeb, A. ; Rejeb, K. ; Keogh, J.G. Cryptocurrencies in modern finance: a literature review. 2021 Etikonomi. 20 93-118
Paper not yet in RePEc: Add citation now
Ren, B. ; Lucey, B. A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies.. 2022 Energy Econ.. 109 -
Rubbaniy, G. ; Khalid, A.A. ; Samitas, A. Are cryptos safe-haven assets during Covid-19? Evidence from wavelet coherence analysis. 2021 Emerg. Mark. Financ. Trade. 57 1741-1756
Rubbaniy, G. ; Polyzos, S. ; Rizvi, S.K. ; Tessema, A. COVID-19, lockdowns and herding towards a cryptocurrency market-specific implied volatility index. 2021 Econ. Lett.. 207 -
Sabah, N. Cryptocurrency accepting venues, investor attention, and volatility. 2020 Financ. Res. Lett.. 36 -
Salisu, A.A. ; Ogbonna, A.E. The return volatility of cryptocurrencies during the COVID-19 pandemic: assessing the news effect. 2022 Glob. Financ. J.. 54 -
Schmitt, N. ; Westerhoff, F. Herding behaviour and volatility clustering in financial markets. 2017 Quant. Financ.. 17 1187-1203
Schweizer, L. ; Nienhaus, A. Corporate distress and turnaround: integrating the literature and directing future research. 2017 Bus. Res.. 10 3-47
- Segnon, M. ; Bekiros, S. Forecasting volatility in cryptocurrency markets. Retrieved from CQE Working Papers 7919. 2019 University of Muenster:
Paper not yet in RePEc: Add citation now
Shahzad, S.J. ; Bouri, E. ; Ahmad, T. Extreme tail network analysis of cryptocurrencies and trading strategies. 2022 Financ. Res. Lett.. 44 -
- Shefrin, H. Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing. 2002 Oxford University Press: New York
Paper not yet in RePEc: Add citation now
Shen, D. ; Urquhart, A. ; Wang, P. Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks. 2020 Eur. Financ. Manag.. 26 1294-1323
- Shephard, N. ; Andersen, T.G. Stochastic volatility: Origins and overview. 2009 En : Mikosch, T. ; Kreiß, J.-P. ; Davis, R.A. ; Andersen, T.G. Handbook of Financial Time Series. Springer: Berlin, Heidelberg
Paper not yet in RePEc: Add citation now
Shi, Y. ; Tiwari, A.K. ; Gozgorc, G. ; Lu, Z. Correlations among cryptocurrencies: Evidence from multivariate factor stochastic volatility model. 2020 Res. Int. Bus. Financ.. 53 -
Silahli, B. ; Dingec, K.D. ; Cifter, A. ; Aydin, N. Portfolio value-at-risk with two-sided Weibull distribution: evidence from cryptocurrency markets. 2021 Financ. Res. Lett.. 38 -
- Smales, L. Investor attention in cryptocurrency markets. 2022 Int. Rev. Financ. Anal.. 79 -
Paper not yet in RePEc: Add citation now
Smales, L.A. Asymmetric volatility response to news sentiment in gold futures. 2015 J. Int. Financ. Mark. Inst. Money. 34 161-172
Symitsi, E. ; Chalvatzis, K.J. Return, volatility and shock spillovers of Bitcoin with energy and technology companies. 2018 Econ. Lett.. 170 127-130
Takaishi, T. Rough volatility of Bitcoin. 2020 Financ. Res. Lett.. 32 -
Tan, S.-K. ; Chan, J.S.-K. ; Ng, K.-H. On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure. 2020 Financ. Res. Lett.. 32 -
- Thies, S. ; Molnár, P. Bayesian change point analysis of Bitcoin returns. 2018 Financ. Res. Lett.. 27 223-227
Paper not yet in RePEc: Add citation now
- Tiniç, M., Sensoy, A., Akyildirim, E., & Corbet, S. (2020, September 27). Adverse selection in cryptocurrency markets. Retrieved from Researchgate: 〈https://www.researchgate.net/profile/Ahmet-Sensoy-2/publication/341178092_Adverse_Selection_in_Cryptocurrency_Markets/links/5f704a00458515b7cf50f833/Adverse-Selection-in-Cryptocurrency-Markets.pdf〉.
Paper not yet in RePEc: Add citation now
Tiwari, A.K. ; Adewuyi, A.O. ; Albulescu, C.T. ; Wohar, M.E. Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies. 2020 N. Am. J. Econ. Financ.. 51 -
Turatti, D.E. ; Mendes, F.H. ; Caldeira, J.F. Testing for mean reversion in Bitcoin returns with Gibbs-sampling augmented randomization. 2020 Financ. Res. Lett.. 34 -
Ul Haq, I. ; Maneengam, A. ; Chupradit, S. ; Suksatan, W. ; Huo, C. Economic policy uncertainty and cryptocurrency market as a risk management avenue: a systematic review. 2021 Risks. 9 1-24
Urquhart, A. Price clustering in Bitcoin. 2017 Econ. Lett.. 159 145-148
Urquhart, A. The inefficiency of bitcoin. 2016 Econ. Lett.. 148 80-82
Vo, M.T. Regime-switching stochastic volatility: evidence from the crude oil market. 2009 Energy Econ.. 31 779-788
Walther, T. ; Klein, T. ; Bouri, E. Exogenous drivers of Bitcoin and cryptocurrency volatility – a mixed data sampling approach to forecasting. 2019 J. Int. Financ. Mark. Inst. Money. 63 -
Wang, G.-J. ; Ma, X.-y ; Wu, H.-y Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?. 2020 Res. Int. Bus. Financ.. 54 -
- Wang, H. ; Wang, X. ; Yin, S. ; Ji, H. The asymmetric contagion effect between stock market and cryptocurrency market. 2021 Financ. Res. Lett.. -
Paper not yet in RePEc: Add citation now
- Wang, J. ; Ma, F. ; Bouri, E. ; Guo, Y. Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?. 2022 J. Forecasting. -
Paper not yet in RePEc: Add citation now
Wang, Y.-H. ; Yen, K.-C. The information content of the implied volatility term structure on future returns. 2019 Eur. Financ. Manag.. 25 380-406
Wu, G. The determinants of asymmetric volatility. 2001 Rev. Financ. Stud.. 14 837-885
Xu, Q. ; Zhang, Y. ; Zhang, Z. Tail-risk spillovers in cryptocurrency markets. 2021 Financ. Res. Lett.. 38 -
Yang, L. ; Hamori, S. The role of the carbon market in relation to the cryptocurrency market: Only diversification or more?. 2021 Int. Rev. Financ. Anal.. 77 -
Yarovaya, L. ; Matkovskyy, R. ; Jalan, A. The COVID-19 black swan crisis: Reaction and recovery of various financial markets. 2022 Res. Int. Bus. Financ.. 59 -
- Yaya, O.S. ; Ogbonna, A.E. ; Mudida, R. ; Abu, N. Market efficiency and volatility persistence of cryptocurrency during pre- and post-crash periods of Bitcoin: Evidence based on fractional integration. 2021 Int. J. Financ. Econ.. 26 1318-1335
Paper not yet in RePEc: Add citation now
Yen, K.-C. ; Cheng, H.-P. Economic policy uncertainty and cryptocurrency volatility. 2021 Financ. Res. Lett.. 38 -
Yi, S. ; Xu, Z. ; Wang, G.-J. Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?. 2018 Int. Rev. Financ. Anal.. 60 98-114
Yin, L. ; Nie, J. ; Han, L. Understanding cryptocurrency volatility: the role of oil market shocks. 2021 Int. Rev. Econ. Financ.. 72 233-253
Yu, M. Forecasting Bitcoin volatility: the role of leverage effect and uncertainty. 2019 Phys. A. 533 -
Zhang, W. ; Li, Y. Is idiosyncratic volatility priced in cryptocurrency markets?. 2020 Res. Int. Bus. Financ.. 54 -
Zhang, Y. ; Chan, S. ; Chu, J. ; Nadarajah, S. Stylised facts for high frequency cryptocurrency data. 2019 Phys. A. 513 598-612