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Return and volatility properties : stylized facts from the universe of cryptocurrencies and NFTs

Ghosh, Bikramaditya; Bouri, Elie; Wee, Jung Bum; … - In: Research in international business and finance 65 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014432708

Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process

Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415

Persistent link: https://www.econbiz.de/10014339985

Do bitcoins follow a random walk model?

Aggarwal, Divya - In: Research in economics : an international review of economics 73 (2019) 1, pp. 15-22

Persistent link: https://www.econbiz.de/10012305863

Adaptive long memory in volatility of intra-day bitcoin returns and the impact of trading volume

Khuntia, Sashikanta; Pattanayak, Jamini Kanta - In: Finance research letters 32 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012430661

Unveiling the linkages between emerging stock market indices and cryptocurrencies

Ahmed, Wajid Shakeel; Mehmood, Ahsan; Sheikh, Talha; … - In: Asian Academy of Management journal 27 (2022) 2, pp. 189-209

between cryptocurrencies prices and stock indices. Surprisingly, a different picture emerges on using conditional volatility … instead of prices. Like, conditional volatility-based estimation uncovers evidence of mean reversion in univariate analysis as … expected. There is some evidence of cointegration on volatility grounds between cryptocurrencies and emerging stock market …

Persistent link: https://www.econbiz.de/10014285279

Are the top six cryptocurrencies efficient? : evidence from time-varying long memory

Jena, Sangram Keshari; Tiwari, Aviral Kumar; Doğan, Buhari - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 3730-3740

Persistent link: https://www.econbiz.de/10013330753

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

Predicting intraday cryptocurrency returns - A sparse signals approach

Lalwani, Vaibhav; Meshram, Vedprakash - In: The journal of prediction markets 15 (2021) 1, pp. 3-9

Persistent link: https://www.econbiz.de/10012803496

Is idiosyncratic volatility priced in cryptocurrency markets?

Zhang, Wei; Li, Yi - In: Research in international business and finance 54 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012550051

The Pricing of Jump and Diffusive Risks in the Cross-Section of Cryptocurrency Returns

Leong, Minhao; Kwok, Simon - 2022

In this study, we investigate the pricing of risks in the cross-section of cryptocurrency returns. In doing so, we decompose total variations into systematic and idiosyncratic components, as well as differentiate jumps from diffusive variations. We show that a hedged portfolio sorted on...

Persistent link: https://www.econbiz.de/10013293621