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Financial disruptions and heightened uncertainty : a case for timely policy action

Nalban, Valeriu; Smadu, Andra - 2020

Persistent link: https://www.econbiz.de/10012231025

Modelling volatility dynamics of cryptocurrencies using GARCH models

Ngunyi, Anthony; Mundia, Simon; Omari, Cyprian Ondieki - In: Journal of mathematical finance 9 (2019) 4, pp. 591-615

Persistent link: https://www.econbiz.de/10012433128

Blockchain analytics for intraday financial risk modeling

Dixon, Matthew F.; Akcora, Cuneyt Gurcan; Gel, Yulia R.; … - In: Digital finance : smart data analytics, investment … 1 (2019) 1/4, pp. 67-89

Persistent link: https://www.econbiz.de/10012223863

FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies

Bouri, Elie; Kamal, Elham; Kinateder, Harald - In: Finance research letters 56 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014473652

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

The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights

Siu, Tak Kuen - In: Applied economics 53 (2021) 17, pp. 1991-2014

Persistent link: https://www.econbiz.de/10012500918

The impact of the COVID-19 pandemic on the volatility of cryptocurrencies

Karagiannopoulou, Sofia; Ragazou, Konstantina; Passas, … - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-17

great volatility regarding the response of Bitcoin to a shock of STOXX50. The Granger causality test was constructed to …

Persistent link: https://www.econbiz.de/10014284682

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

Stylized facts, volatility dynamics and risk measures of cryptocurrencies

Bruzgė, Rasa; Černevičienė, Jurgita; … - In: Journal of business economics and management 24 (2023) 3, pp. 527-550

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of … cryptocurrencies' returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among … analysed cryptocurrencies. This paper provides new insights about cryptocurrency behaviour and the main measures of risk and …

Persistent link: https://www.econbiz.de/10014420375

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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