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Inter-markets volatility spillover in U.S. bitcoin and financial markets
Qarni, Muhammad Owais; Gulzar, Saqib; Fatima, Syeda Tamkeen - In: Journal of business economics and management 20 (2019) 4, pp. 694-714
This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover Asymmetry Measure, and Barunik and Krehlik (2018)...
Persistent link: https://www.econbiz.de/10012175787
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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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Do cryptocurrencies hedge against EPU and the equity market volatility during COVID-19? : New evidence from quantile coherency analysis
Jiang, Yonghong; Wu, Lanxin; Tian, Gengyu; Nie, He - In: Journal of international financial markets, … 72 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012801456
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Market stress and herding : a new approach to the cryptocurrency market
Raimundo Júnior, Gerson de Souza; Palazzi, Rafael Baptista - In: The journal of behavioral finance : a publication of … 23 (2022) 1, pp. 43-57
Persistent link: https://www.econbiz.de/10012802010
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Intraday Return Predictability in the Cryptocurrency Markets : Momentum, Reversal, or Both
Wen, Zhuzhu; Bouri, Elie; Xu, Yahua; Zhao, Yang - 2022
This paper reports evidence of intraday return predictability, consisting of both intraday momentum and reversal, in the cryptocurrency market. Using high-frequency price data on Bitcoin from March 3, 2013, to May 31, 2020, it shows that the patterns of intraday return predictability change in...
Persistent link: https://www.econbiz.de/10013289927
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Volatility and return spillovers between stock markets and cryptocurrencies
Uzonwanne, Godfrey Chidozie - In: The quarterly review of economics and finance : journal … 82 (2021), pp. 30-36
Persistent link: https://www.econbiz.de/10013258227
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Investigating the relationship between volatilities of cryptocurrencies and other financial assets
Ghorbel, Achraf; Jeribi, Ahmed - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 817-843
Persistent link: https://www.econbiz.de/10012795001
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Intraday efficiency-frequency nexus in the cryptocurrency markets
Aslan, Aylin; Sensoy, Ahmet - In: Finance research letters 35 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012438404
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Fractal dynamics and wavelet analysis : deep volatility and return properties of Bitcoin, Ethereum and Ripple
Celeste, Valerio; Corbet, Shaen; Gurdgiev, Constantin - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 310-324
Persistent link: https://www.econbiz.de/10012417711
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Volatility spillovers and correlation between cryptocurrencies and Asian equity market
Malhotra, Nidhi; Gupta, Saumya - In: International journal of economics and financial issues … 9 (2019) 6, pp. 208-215
Persistent link: https://www.econbiz.de/10012151119