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Bitcoin's innovative aspects, return volatility and uncertainty shocks
Frascaroli, Bruno Ferreira - In: International Journal of Financial Markets and … 7 (2020) 3, pp. 224-245
Persistent link: https://www.econbiz.de/10012510290
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Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies
Zsolt, Nagy Bálint; Botond, Benedek - In: International Journal of Financial Markets and … 8 (2021) 1, pp. 65-78
Persistent link: https://www.econbiz.de/10012510334
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Sequential learning of cryptocurrency volatility dynamics : evidence based on a stochastic volatility model with jumps in returns and volatility
Huang, Jing-Zhi; Huang, Zhijian; Xu, Li - In: The quarterly journal of finance 11 (2021) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012649885
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Bitcoin cash: statistical analysis of prices and returns dynamics
Sheraz, Muhammad; Preda, Vasile; Dedu, Silivia - 2021
Persistent link: https://www.econbiz.de/10013185377
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Bitcoin fluctuations and the frequency of price overreactions
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of … information to predict price dynamics in the cryptocurrency market and for designing trading strategies (H1 cannot be rejected …
Persistent link: https://www.econbiz.de/10011922057
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The influence of central bank monetary policy announcements on cryptocurrency return volatility
Corbet, Shaen; McHugh, Grace; Meegan, Andrew - In: Investment management and financial innovations 14 (2017) 4, pp. 60-72
Persistent link: https://www.econbiz.de/10011876256
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Bitcoin fluctuations and the frequency of price overreactions
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018
Persistent link: https://www.econbiz.de/10011995725
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When economic Jitter, Bitcoin flutters : evidence form the impact of macroeconomic factors on Bitcoin returns
Thukral, Sonal; Arora, Ashima; Bhandari, Varun - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 3-25
Persistent link: https://www.econbiz.de/10012390973
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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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Liquidity risk and expected cryptocurrency returns
Zhang, Wei; Li, Yi - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 472-492
Persistent link: https://www.econbiz.de/10014253217