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The isotropy of cryptocurrency volatility
Aiman Hairudin; Azhar Mohamad - In: International journal of finance & economics : IJFE 29 (2024) 3, pp. 3779-3810
Persistent link: https://www.econbiz.de/10014635445
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Long memory in Bitcoin and ether returns and volatility and Covid-19 pandemic
Sosa, Miriam; Ortiz, Edgar; Cabello-Rosales, Alejandra - In: Studies in economics and finance 40 (2023) 3, pp. 411-424
Persistent link: https://www.econbiz.de/10014252615
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The economics of bitcoins : market characteristics and price jumps
Gronwald, Marc - 2014
as well as the comparison of Bitcoins and gold. Second, the paper empirically analyses Bitcoin prices using an … autoregressive jump-intensity GARCH model; a model tested and proven by the empirical finance community. Results suggest that Bitcoin …
Persistent link: https://www.econbiz.de/10010464707
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What drives bitcoin volatility?
Byström, Hans N. E.; Krygier, Dominika - 2018
Persistent link: https://www.econbiz.de/10011915484
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The economic value of Bitcoin : a portfolio analysis of currencies, gold, oil and stocks
Symitsi, Efthymia; Chalvatzis, Konstantinos J. - In: Research in international business and finance 48 (2019), pp. 97-110
Persistent link: https://www.econbiz.de/10012135851
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Safe-haven or speculation? : Research on price and risk dynamics of Bitcoin
Liu, Xin; Li, Bowen - In: Applied economics letters 31 (2024) 4, pp. 281-287
Persistent link: https://www.econbiz.de/10014468773
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Pricing cryptocurrency options
Hou, Ai Jun; Wang, Weining; Chen, Cathy Y. H.; Härdle, … - In: Journal of financial econometrics 18 (2020) 2, pp. 250-279
Persistent link: https://www.econbiz.de/10012232938
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On the risk spillover from Bitcoin to Altcoins : the fear of missing out and pump-and-dump scheme effects
Balcilar, Mehmet; Ozdemir, Huseyin - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-15
This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the … "pump-and-dump schemes" in the crypto markets. To do that, we estimate the volatility spillovers from Bitcoin to altcoin and … the cryptos' own risk spillovers during bull and bear markets. The spillover results from Bitcoin to altcoin provide mixed …
Persistent link: https://www.econbiz.de/10014289747
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Universalities in the dynamics of cryptocurrencies : stability, scaling and size
Pogudin, Andrey; Chakrabati, Anindya S.; Di Matteo, Tiziana - In: The journal of network theory in finance 5 (2019) 4, pp. 63-95
Persistent link: https://www.econbiz.de/10012489291
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Digital currency : role of cryptocurrency in the new financial era
Narula, Isha; Dhingra, Kriti - In: International journal of electronic finance : IJEF 12 (2023) 4, pp. 364-373
Persistent link: https://www.econbiz.de/10014440745