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Time varying dependence in the cryptocurrency market and COVID 19 panic index : an empirical investigation
Kalai, Lamia - In: International journal of economics and financial issues … 12 (2022) 2, pp. 37-51
Persistent link: https://www.econbiz.de/10013257285
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Stock market reactions to upside and downside volatility of Bitcoin : a quantile analysis
Ahmed, Walid M. A. - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-23
Persistent link: https://www.econbiz.de/10012822118
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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 asymmetry depends on the volatility regime and the forecast horizon. For one-day ahead forecasts, good volatility commands a stronger impact on future volatility than bad...
Persistent link: https://www.econbiz.de/10012392557
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The impact of cryptocurrencies on the gold, WTI, VIX index, G7 and BRICS index before and during COVID-19 : a quantile regression and NARDL analysis
Aloui, Mouna; Hamdi, Besma; Tiwari, Aviral Kumar; … - In: International journal of law and management 65 (2023) 6, pp. 485-510
Persistent link: https://www.econbiz.de/10014432902
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How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? : the case of Bitcoin
Ahmed, Walid M. A. - In: Pacific-Basin finance journal 70 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10013392319
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Cointegration and dynamic spillovers between cryptocurrencies and other financial assets
Watcharaporn Kantaphayao; Sorasart Sukcharoensin - In: Southeast Asian journal of economics 9 (2021) 3, pp. 43-73
Persistent link: https://www.econbiz.de/10012813491
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Causal relationship between bitcoin price volatility and trading volume : rolling window approach
Yamak, Nebiye; Yamak, Rahmi; Samut, Serkan - In: Financial studies 23 (2019) 3, pp. 6-20
first cryptocurrency. Data are daily and cover the period starting from December 27, 2013 to March 3, 2019. Price volatility …
Persistent link: https://www.econbiz.de/10012146170
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High frequency multiscale relationships among major cryptocurrencies : portfolio management implications
Mensi, Walid; Ur Rehman, Mobeen; Muhammad Shafiullah; … - In: Financial innovation : FIN 7 (2021), pp. 1-21
most of the cryptocurrency pairs. We advance evidence to improve portfolio risk assessment, and hedging strategies. …
Persistent link: https://www.econbiz.de/10012705417
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Does economic policy uncertainty affect cryptocurrency markets? : evidence from Twitter-based uncertainty measures
Wu, Wanshan; Tiwari, Aviral Kumar; Gozgor, Giray; … - In: Research in international business and finance 58 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013286535
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Cryptocurrency accepting venues, investor attention, and volatility
Sabah, Nasim - In: Finance research letters 36 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012483328