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Bitcoin as an investment and hedge alternative : a DCC MGARCH model analysis
Rudolf, Karl Oton; El Zein, Samer Ajour; Jackman … - In: Risks : open access journal 9 (2021) 9, pp. 1-22
Volatility and investor sentiment have been factors for the slow adoption rate of Bitcoin (BTC) that was first … purpose of this applied mathematics study will use a multivariate DCC GARCH model. Bitcoin holds its ground in volatility …. This study examines Bitcoin as an investment and hedge alternative to gold as well as the major stock index. To perform the …
Persistent link: https://www.econbiz.de/10012612471
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Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach
Hakim, Arief; Syuhada, Khreshna - In: Risks : open access journal 11 (2023) 2, pp. 1-45
Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmission mechanism across crypto markets and other...
Persistent link: https://www.econbiz.de/10014234393
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Performance of the realized-GARCH model against other GARCH types in predicting cryptocurrency volatility
Queiroz, Rhenan G. S.; David, Sergio A. - In: Risks : open access journal 11 (2023) 12, pp. 1-13
Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility. The Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) model is a well-known...
Persistent link: https://www.econbiz.de/10014446600
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Bitcoin and altcoins price dependency : resilience and portfolio allocation in COVID-19 outbreak
Aysan, Ahmet Faruk; Khan, Asad ul Islam; Topuz, Humeyra - In: Risks : open access journal 9 (2021) 4, pp. 1-13
market in the presence and absence of the COVID-19 pandemic. The nine chosen cryptocurrencies are Bitcoin, Ethereum, Ripple …). There is strong evidence of a long-run relationship between Bitcoin and altcoins irrespective of whether it is pre … consider Bitcoin and altcoins jointly as they give sustainability and resilience in the long run against the geopolitical risks …
Persistent link: https://www.econbiz.de/10012508728
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A critical analysis of volatility surprise in bitcoin cryptocurrency and other financial assets
Doumenis, Yianni; Izadi, Javad Z. D.; Dhamdhere, Pradeep; … - In: Risks : open access journal 9 (2021) 11, pp. 1-15
cryptocurrencies, especially Bitcoin. Since the whole concept of cryptocurrencies is quite novel, an attempt has been made to briefly …, i.e., the price history of Bitcoin from September 2014 to September 2021 for the last seven years, captured from trading … exchanges. We predicted monthly returns of Bitcoin with that of Standard & Poor's 500 Index (S&P 500), gold, and Treasury Bonds …
Persistent link: https://www.econbiz.de/10012704673
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Cryptocurrency risks, fraud cases, and financial performance
Kerr, David S.; Loveland, Karen Ann; Smith, Katherine Taken - In: Risks : open access journal 11 (2023) 3, pp. 1-15
In this study, we examine major cryptocurrencies, present notable fraud cases, describe fraud risks, and analyze cryptocurrency financial performance. People debate whether cryptocurrency is an investment opportunity, the new Dutch Tulip Bubble, or a giant Ponzi scheme. There have been a number...
Persistent link: https://www.econbiz.de/10014246302
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Reactions of Bitcoin and gold to categorical financial stress : new evidence from quantile estimation
Mohammad Enamul Hoque; Low, Soo Wah - In: Risks : open access journal 10 (2022) 7, pp. 1-10
This study examines the responses of Bitcoin and gold to categorical financial stress and compares the responses before … and during the COVID-19 pandemic. The OLS and Quantile regression estimations revealed that gold and Bitcoin exhibit … similar reactions in full and pre COVID-19 samples. Gold and Bitcoin respond positively to equity valuation and safe assets …
Persistent link: https://www.econbiz.de/10013364883
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Financial bubbles : a study of co-explosivity in the cryptocurrency market
Agosto, Arianna; Cafferata, Alessia - In: Risks : open access journal 8 (2020) 2/34, pp. 1-14
Cryptocurrencies have recently captured the interest of the econometric literature, with several works trying to address the existence of bubbles in the price dynamics of Bitcoins and other cryptoassets. Extremely rapid price accelerations, often referred to as explosive behaviors, followed by...
Persistent link: https://www.econbiz.de/10012204473
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Lead behaviour in Bitcoin markets
Chen, Ying; Giudici, Paolo; Hadji Misheva, Branka; … - In: Risks : open access journal 8 (2020) 1/4, pp. 1-14
We aim to understand the dynamics of Bitcoin blockchain trading volumes and, specifically, how different trading groups …
Persistent link: https://www.econbiz.de/10012204335
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The Effects of index futures trading volume on spot market volatility in a frontier market : evidence from Ho Chi Minh stock exchange
Loc Dong Truong; Friday, H. S.; Nguyen Thi Kim Anh - In: Risks : open access journal 10 (2022) 12, pp. 1-13
This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for the Ho Chi Minh Stock Exchange (HOSE). The data utilized in this study are the daily VN30-Index futures contract trading volume starting at the inception date for the VN30-Index...
Persistent link: https://www.econbiz.de/10014230946