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What drives the Bitcoin price? : a factor augmented error correction mechanism investigation
Goczek, Łukasz; Skliarov, Ivan - In: Applied economics 51 (2019) 59, pp. 6393-6410
Persistent link: https://www.econbiz.de/10012197348
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The drivers of Bitcoin trading volume in selected emerging countries
Bouraoui, Taoufik - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 218-229
Persistent link: https://www.econbiz.de/10012417586
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Exogenous drivers of Bitcoin and Cryptocurrency volatility : a mixed data sampling approach to forecasting
Walther, Thomas; Klein, Tony; Bouri, Elie - In: Journal of international financial markets, … 63 (2019), pp. 1-13
Persistent link: https://www.econbiz.de/10012263290
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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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Asymmetric correlations and hedging effectiveness of cryptocurrencies for the European stock market
Gambarelli, Luca; Marchi, Gianluca; Muzzioli, Silvia - 2022
Persistent link: https://www.econbiz.de/10013258708
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Discovering interlinkages between major cryptocurrencies using high‑frequency data : new evidence from COVID‑19 pandemic
Yousaf, Imran; Ali, Shoaib - In: Financial innovation : FIN 6 (2020) 45, pp. 1-18
Through the application of the VAR-AGARCH model to intra-day data for three cryp-tocurrencies (Bitcoin, Ethereum, and … Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 … cryptocurrencies are observed to be higher during the COVID-19 period compared to the pre-COVID-19 period. Based on optimal weights …
Persistent link: https://www.econbiz.de/10012317582
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Time-frequency co-movement and risk connectedness among cryptocurrencies : new evidence from the higher-order moments before and during the COVID-19 pandemic
Cui, Jinxin; Maghyereh, Aktham I. - In: Financial innovation : FIN 8 (2022), pp. 1-56
cryptocurrencies before and during the COVID-19 pandemic in both the time and frequency domains. We combine the realized moment … other cryptocurrencies is stronger than that of the realized skewness, realized kurtosis, and signed jump variation. The … comovements among cryptocurrencies are both time-dependent and frequency-dependent. Besides the volatility spillovers, the risk …
Persistent link: https://www.econbiz.de/10013413114
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How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? : evidence from non-parametric causality-in-quantiles techniques
Raza, Syed Ali; Shah, Nida; Guesmi, Khaled; Msolli, … - In: Finance research letters 47 (2022) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10013457434
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Hedging effectiveness of cryptocurrencies in the European stock market
Gambarelli, Luca; Marchi, Gianluca; Muzzioli, Silvia - In: Journal of international financial markets, … 84 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014333731
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Asymmetric monetary policy effects on cryptocurrency markets
Thai Vu Hong Nguyen; Nguyen, Binh T.; Nguyen Son Kien; … - In: Research in international business and finance 48 (2019), pp. 335-339
Persistent link: https://www.econbiz.de/10012135926