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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 … period and the COVID-19 period. We also estimate the optimal weights, hedge ratios, and hedging effectiveness during both … sample periods. We find that the return spillovers vary across the two periods for the Bitcoin-Ethereum, Bitcoin …
Persistent link: https://www.econbiz.de/10012317582
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Regime-dependent good and bad volatility of Bitcoin
Jha, Kislay Kumar; Baur, Dirk G. - In: Journal of risk and financial management : JRFM 13 (2020) 12/312, pp. 1-16
This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility …
Persistent link: https://www.econbiz.de/10012392557
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Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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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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Volatility models for cryptocurrencies and applications in the options market
Chi, Yeguang; Hao, Wenyan - In: Journal of international financial markets, … 75 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012820318
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On the stationarity of futures hedge ratios
Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - In: Operational research : an international journal 22 (2022) 3, pp. 2281-2303
Persistent link: https://www.econbiz.de/10013443633
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Crude oil price and cryptocurrencies : evidence of volatility connectedness and hedging strategy
Okorie, David Iheke; Lin, Boqiang - In: Energy economics 87 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012512456
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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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Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
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Volatility spillovers among the cryptocurrency time series
Mighri, Zouheir Ahmed; Al Saggaf, Majid Ibrahim - In: International journal of economics and financial issues … 9 (2019) 3, pp. 81-90
Persistent link: https://www.econbiz.de/10012149515