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Eross, Andrea; McGroarty, Frank; Urquhart, Andrew; … - In: Research in international business and finance 49 (2019), pp. 71-81

Persistent link: https://www.econbiz.de/10012135993

Spillover risks on cryptocurrency markets : a look from VAR-SVAR granger causality and Student’s-t Copulas

Toan Luu Duc Huynh - In: Journal of risk and financial management : JRFM 12 (2019) 2/52, pp. 1-19

This paper contributes a shred of quantitative evidence to the embryonic literature as well as existing empirical evidence regarding spillover risks among cryptocurrency markets. By using VAR (Vector Autoregressive Model)-SVAR (Structural Vector Autoregressive Model) Granger causality and...

Persistent link: https://www.econbiz.de/10012022237

Does twitter predict Bitcoin?

Shen, Dehua; Urquhart, Andrew; Wang, Pengfei - In: Economics letters 174 (2019), pp. 118-122

Persistent link: https://www.econbiz.de/10012121051

Information transmission between cryptocurrencies : does Bitcoin rule the cryptocurrency world?

Bação, Pedro; Duarte, António Portugal; Sebastião, … - In: Scientific Annals of Economics and Business 65 (2018) 2, pp. 97-117

Persistent link: https://www.econbiz.de/10012127684

Network causality structures among Bitcoin and other financial assets : A directed acyclic graph approach

Ji, Qiang; Bouri, Elie; Gupta, Rangan; Roubaud, David - In: The quarterly review of economics and finance : journal … 70 (2018), pp. 203-213

Persistent link: https://www.econbiz.de/10012035043

Investor attention and cryptocurrency returns : evidence from quantile causality approach

Subramaniam, Sowmya; Chakraborty, Madhumita - In: The journal of behavioral finance : a publication of … 21 (2020) 1, pp. 103-115

Persistent link: https://www.econbiz.de/10012180531

Cryptocurrencies, mainstream asset classes and risk factors : a study of connectedness

Milunovich, George - In: The Australian economic review 51 (2018) 4, pp. 551-563

Persistent link: https://www.econbiz.de/10012159184

Causal relationship between bitcoin price volatility and trading volume : rolling window approach

Yamak, Nebiye; Yamak, Rahmi; Samut, Serkan - In: Financial studies 23 (2019) 3, pp. 6-20

This study investigates the causal relationship between price volatility and trading volume for bitcoin which is the first cryptocurrency. Data are daily and cover the period starting from December 27, 2013 to March 3, 2019. Price volatility series was produced by using EGARCH model. The...

Persistent link: https://www.econbiz.de/10012146170

How connected is the crypto market risk to investor sentiment?

Lin, Xudong; Meng, Yiqun; Zhu, Hao - In: Finance research letters 56 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014473726

Frequency domain causality and quantile connectedness between investor sentiment and cryptocurrency returns

Zhu, Huiming; Xing, Zhanming; Ren, Ying-hua; Chen, Yiwen; … - In: International review of economics & finance : IREF 88 (2023), pp. 1035-1051

Persistent link: https://www.econbiz.de/10014475089

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