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Value at risk and returns of cryptocurrencies before and after the crash : long-run relations and fractional cointegration

Tan, Zhengxun; Huang, Yilong; Xiao, Binuo - In: Research in international business and finance 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013266119

Equity market information and credit risk signaling : a quantile cointegrating regression approach

Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59

Persistent link: https://www.econbiz.de/10011756467

Market risks that change domestic diversification benefits

Sarwar, Ghulam - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10014225809

Market risks that change US-European equity correlations

Sarwar, Ghulam - In: Journal of international financial markets, … 83 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014306348

Momentum effects in the cryptocurrency market after one-day abnormal returns

Caporale, Guglielmo Maria; Plastun, Alex - 2019

This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose a number of hypotheses of interest are tested for the BitCoin, Ethereum and LiteCoin exchange rates vis-à-vis the US dollar over the period...

Persistent link: https://www.econbiz.de/10012118561

Cryptocurrencies and momentum

Grobys, Klaus; Sapkota, Niranjan - In: Economics letters 180 (2019), pp. 6-10

Persistent link: https://www.econbiz.de/10012121731

Cryptocurrencies from the perspective of euro investors : a reexamination of diversification benefits and a new day-of-the-week effect

Dorfleitner, Gregor; Lung, Carina - In: The journal of asset management 19 (2018) 7, pp. 472-494

Persistent link: https://www.econbiz.de/10011958136

What do responses of financial markets to the collapse of FTX say about investor interest in cryptocurrencies? : event-study evidence

Yousaf, Imran; Riaz, Yasir; Goodell, John W. - In: Finance research letters 53 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014472493

Cryptocurrencies against stock market risk : new insights into hedging effectiveness

Just, Małgorzata; Echaust, Krzysztof - In: Research in international business and finance 67 (2024) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014451518

The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets : evidence from the pre- and post-COVID-19 periods

Tarchella, Salma; Khalfaoui, Rabeh; Hammoudeh, Shawkat - In: Research in international business and finance 67 (2024) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10014451553

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