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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 … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the … presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility …
Persistent link: https://www.econbiz.de/10012175787
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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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Disentangling the relationship between Bitcoin and market attention measures
Figà-Talamanca, Gianna; Patacca, Marco - In: Journal of industrial and business economics 47 (2020) 1, pp. 71-91
Persistent link: https://www.econbiz.de/10012237349
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Time-varying long-term memory in Bitcoin market
Jiang, Yonghong; Nie, He; Ruan, Weihua - In: Finance research letters 25 (2018), pp. 280-284
Persistent link: https://www.econbiz.de/10012003601
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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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Lead-Lag relationship between Bitcoin and Ethereum : evidence from hourly and daily data
Imtiaz Mohammad Sifat; Azhar Mohamad; Mohamed Shariff, … - In: Research in international business and finance 50 (2019), pp. 306-321
Persistent link: https://www.econbiz.de/10012177672
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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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Volatility spillovers among leading cryptocurrencies and US energy and technology companies
Alamaren, Amro Saleem; Gökmenoglu, Korhan K.; … - In: Financial innovation : FIN 10 (2024), pp. 1-37
This study investigates volatility spillovers and network connectedness among four cryptocurrencies (Bitcoin, Ethereum … across markets. Moreover, we show that Bitcoin, Ethereum, Chevron, ConocoPhilips, Apple, and Microsoft are net volatility …(2):271-296 2018). Our analysis shows the COVID-19 pandemic amplifed volatility spillovers, thereby intensifying the impact of fnancial …
Persistent link: https://www.econbiz.de/10014535512
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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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An analysis of the US individual investor sentiment influence on cryptocurrency returns and volatility
Sayim, Mustafa; Nguyen Quang My - In: Annals of financial economics 18 (2023) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10014442604