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What drives Bitcoin's price crash risk?
Kalyvas, Antonios; Papakyriakou, Panayiotis; Sakkas, … - In: Economics letters 191 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012508027
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Higher moments, extreme returns, and cross-section of cryptocurrency returns
Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012804999
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Cryptocurrencies, Stocks, and Economic Policy Uncertainty : A FAVAR Analysis
Civelli, Andrea; Jackson, Laura E. - 2023
We study the interactions between cryptocurrencies, stock markets, and economic policy uncertainty (EPU) by means of a Factor-Augmented Vector Autoregressive (FAVAR) framework. We rely on two market factors to model the comovements of returns within cryptocurrencies and stock markets. We...
Persistent link: https://www.econbiz.de/10014254302
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Global economic policy uncertainty and the stability of cryptocurrency returns : the role of liquidity volatility
Zhang, Pengcheng; Kong, Deli; Xu, Kunpeng; Qi, Jiayin - In: Research in international business and finance 67 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10014451561
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One crash, too many : global uncertainty, sentiment factors and cryptocurrency market
Sakariyahu, Rilwan; Lawal, Rodiat; Adigun, Rasheed; … - In: Journal of international financial markets, … 94 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015063197
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On the return-volatility relationship in the Bitcoin market around the price crash of 2013
Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - 2016
The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily … relation in the Bitcoin market. They test if there is a difference in the return-volatility relation before and after the price … volatility more than negative shocks. This inverted asymmetric reaction of Bitcoin to positive and negative shocks is contrary to …
Persistent link: https://www.econbiz.de/10011539994
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On the return-volatility relationship in the Bitcoin market around the price crash of 2013
Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - 2017
The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily … relation in the Bitcoin market. The authors test if there is a difference in the return-volatility relation before and after … conditional volatility more than negative shocks. This inverted asymmetric reaction of Bitcoin to positive and negative shocks is …
Persistent link: https://www.econbiz.de/10011600035
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Cryptocurrency spectrum and 2020 pandemic : contagion analysis
Okorie, David Iheke; Lin, Boqiang - In: International review of economics & finance : IREF 84 (2023), pp. 29-38
Persistent link: https://www.econbiz.de/10014342986
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The relationship between cash flow uncertainty and extreme risk : international evidence
Wang, Chih-Wei; Lee, Chien-chiang; Wu, Lin-Tan - In: Pacific-Basin finance journal 77 (2023), pp. 1-28
Persistent link: https://www.econbiz.de/10014463679
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COVID-19 pandemic : revisiting the safe haven assets
Dasauki, Musa C.; Oluwalaiye, Olusola B.; Kwarbai, … - In: Global business & economics review 28 (2023) 2, pp. 175-194
Persistent link: https://www.econbiz.de/10014230983