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Long- and short-term cryptocurrency volatility components : a GARCH-MIDAS analysis

Conrad, Christian; Custovic, Anessa; Ghysels, Eric - In: Journal of risk and financial management : JRFM 11 (2018) 2

potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure … long-term Bitcoin volatility. The finding is atypical for volatility co-movements across financial markets. Moreover, we … find that the S&P 500 volatility risk premium has a significantly positive effect on long-term Bitcoin volatility. Finally …

Persistent link: https://www.econbiz.de/10011856965

Volatility estimation for Bitcoin : a comparison of GARCH models

Katsiampa, Paraskevi - In: Economics letters 158 (2017), pp. 3-6

Persistent link: https://www.econbiz.de/10011849728

KODAKCoin : a blockchain revolution or exploiting a potential cryptocurrency bubble?

Corbet, Shaen; Larkin, Charles; Lucey, Brian M.; … - In: Applied economics letters 27 (2020) 7, pp. 518-524

Persistent link: https://www.econbiz.de/10012205716

Is Bitcoin a commodity? : on price jumps, demand shocks, and certainty of supply

Gronwald, Marc - In: Journal of international money and finance 97 (2019), pp. 86-92

Persistent link: https://www.econbiz.de/10012140050

Nonlinear dependence in cryptocurrency markets

Chaim, Pedro; Laurini, Márcio Poletti - In: The North American journal of economics and finance : a … 48 (2019), pp. 32-47

Persistent link: https://www.econbiz.de/10012120206

Modelling the dynamics of Bitcoin and Litecoin : GARCH versus stochastic volatility models

Tiwari, Aviral Kumar; Kumar, Satish; Pathak, Rajesh - In: Applied economics 51 (2019) 37, pp. 4073-4082

Persistent link: https://www.econbiz.de/10012196960

On the predictive power of ARJI volatility forecasts for Bitcoin

Wang, Jying-Nan; Liu, Hung-Chun; Chiang, Shu-Mei; Hsu, … - In: Applied economics 51 (2019) 44, pp. 4849-4855

Persistent link: https://www.econbiz.de/10012197120

The destabilising effects of cryptocurrency cybercriminality

Corbet, Shaen; Cumming, Douglas J.; Lucey, Brian M.; … - In: Economics letters 191 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012507992

Volatility estimation for Bitcoin : replication and robustness

Charles, Amélie; Darné, Olivier - In: International economics : a journal published by CEPII … 157 (2019), pp. 23-32

Persistent link: https://www.econbiz.de/10012318682

Spillovers between Bitcoin and Meme stocks

Li, Shi - In: Finance research letters 50 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10014239953