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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
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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 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/10014332816
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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
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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
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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
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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
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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
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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
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Forecasting Aggregate Retail Sales: The Case of South Africa
Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2013
Forecasting aggregate retail sales may improve portfolio investors’ ability to predict movements in the stock prices of the retailing chains. Therefore, this paper uses 26 (23 single and 3 combination) forecasting models to forecast South Africa’s aggregate seasonal retail sales. We use data...
Persistent link: https://www.econbiz.de/10010891728
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IS THE RELATIONSHIP BETWEEN MONETARY POLICY AND HOUSE PRICES ASYMMETRIC IN SOUTH AFRICA? EVIDENCE FROM A MARKOV-SWITCHING VECTOR AUTOREGRESSIVE MODEL
Simo-Kengne, Beatrice D.; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2012
according to the phase of the housing cycle. The results suggest that monetary policy is not neutral as house price growth … agents. As expected, monetary policy reaction to a positive house price shock is found to be stronger in the bull regime …
Persistent link: https://www.econbiz.de/10010603882