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On the risk spillover from Bitcoin to Altcoins : the fear of missing out and pump-and-dump scheme effects

Balcilar, Mehmet; Ozdemir, Huseyin - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-15

This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the … "pump-and-dump schemes" in the crypto markets. To do that, we estimate the volatility spillovers from Bitcoin to altcoin and … the cryptos' own risk spillovers during bull and bear markets. The spillover results from Bitcoin to altcoin provide mixed …

Persistent link: https://www.econbiz.de/10014289747

Can Volume Predict Bitcoin Returns and Volatility? A Quantiles-Based Approach

Balcilar, Mehmet - 2017

Prior studies on the price formation in the Bitcoin market consider the role of Bitcoin transactions at the conditional … the causal relation between trading volume and Bitcoin returns and volatility, over the whole of their respective … reveals that volume can predict returns over the quantile range of o.25 to 0.75, i.e. except in Bitcoin bear and bull market …

Persistent link: https://www.econbiz.de/10012960531

On the risk spillover from Bitcoin to Altcoins: The fear of missing out and pump-and-dump scheme effects

Balcilar, Mehmet; Ozdemir, Huseyin - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10014332816

Can volume predict Bitcoin returns and volatility? : a quantiles-based approach

Balcilar, Mehmet; Bouri, Elie; Gupta, Rangan; Roubaud, David - In: Economic modelling 64 (2017), pp. 74-81

Persistent link: https://www.econbiz.de/10011756479

Effects of COVID-19 on Cryptocurrency and Emerging Market Connectedness : Empirical Evidence from Quantile, Frequency, and Lasso Networks

Balcilar, Mehmet; Ozdemir, Huseyin; Agan, Busra - 2022

We use time and frequency connectedness approaches based on network analysis to investigate the volatility connectedness among 27 emerging equity markets and seven high-capitalized cryptocurrencies. We estimate the network connectedness using the standard, quantile, frequency, and lasso VAR...

Persistent link: https://www.econbiz.de/10013307578

Predicting BRICS Stock Returns Using ARFIMA Models

Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2012

This paper examines the existence of long memory in daily stock market returns from Brazil, Russia, India, China, and South Africa (BRICS) countries and also attempts to shed light on the efficacy of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models in predicting stock...

Persistent link: https://www.econbiz.de/10010765632

An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa

Balcilar, Mehmet; Gupta, Rangan; Shah, Zahra - Department of Economics, Faculty of Economic and … - 2010

This paper first tests if housing prices in the five segments of the South African housing market, namely, large-middle, medium-middle, small-middle, luxury and affordable, exhibits non-linearity based on smooth transition autoregressive (STAR) models estimated using quarterly data covering the...

Persistent link: https://www.econbiz.de/10008486900

The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand

Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adel; Gupta, … - Department of Economics, Faculty of Economic and … - 2013

This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African Rand against the United States dollar and the British Pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band- TAR...

Persistent link: https://www.econbiz.de/10010636769

The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand

Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adél; … - In: European Journal of Comparative Economics 10 (2013) 1, pp. 121-148

This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African rand against the United States dollar and the British pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band-TAR...

Persistent link: https://www.econbiz.de/10010643614

The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method

Balcilar, Mehmet; Bekiros, Stelios; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

price fluctuations. In that, we utilizea new hybrid nonparametric quantile causality methodology in order to investigate …

Persistent link: https://www.econbiz.de/10011267815