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Directional predictability and volatility spillover effect from stock market indexes to Bitcoin : evidence from developed and emerging markets
Omri, Imen - In: The journal of risk finance : JRF 24 (2023) 2, pp. 226-243
Persistent link: https://www.econbiz.de/10014232428
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Are bitcoin prices isolated or co-integrated?
Vyas, Vishal; Mehta, Kiran; Sharma, Renuka - In: International journal of business and globalisation : IJBG 35 (2023) 1/2, pp. 5-19
Persistent link: https://www.econbiz.de/10014388694
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Bitcoin as a sustainable polycentric digital infrastructure
De Rossi, Leonardo Maria - 2024 - First edition
Persistent link: https://www.econbiz.de/10015056980
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Investigating volatility transmission and hedging properties between Bitcoin and Ethereum
Beneki, Christina; Koulis, Alexandros; Kyriazis, Nikolaos A. - In: Research in international business and finance 48 (2019), pp. 219-227
Persistent link: https://www.econbiz.de/10012135874
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Blockchain market and eco-friendly financial assets : dynamic price correlation, connectedness and spillovers with portfolio implications
Abakah, Emmanuel Joel Aikins; Ullah, G. M. Wali; … - In: International review of economics & finance : IREF 87 (2023), pp. 218-243
Persistent link: https://www.econbiz.de/10014472075
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Forecasting cryptocurrencies under model and parameter instability
Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - In: International journal of forecasting 35 (2019) 2, pp. 485-501
Persistent link: https://www.econbiz.de/10012300691
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Long memory interdependency and inefficiency in Bitcoin markets
Cheah, Eng-Tuck; Mishra, Tapas; Parhi, Mamata; Zhang, Zhuang - In: Economics letters 167 (2018), pp. 18-25
Persistent link: https://www.econbiz.de/10012015761
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Cointegration and dynamic spillovers between cryptocurrencies and other financial assets
Watcharaporn Kantaphayao; Sorasart Sukcharoensin - In: Southeast Asian journal of economics 9 (2021) 3, pp. 43-73
Persistent link: https://www.econbiz.de/10012813491
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Testing for granger (non-) causality in a time varying coefficient VAR model
Christopulos, Dēmētrēs K. (contributor);  … - 2008
In this paper we propose Granger (non-)causality tests based on a VAR model allowing for time-varying coefficients. The functional form of the time-varying coefficients is a Logistic Smooth Transition Autoregressive (LSTAR) model using time as the transition variable. The model allows for...
Persistent link: https://www.econbiz.de/10003644229
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Testing for Granger (non-)causality in a time-varying coefficient VAR model
Christopulos, Dēmētrēs K.; León-Ledesma, Miguel A. - In: Journal of forecasting 27 (2008) 4, pp. 293-303
Persistent link: https://www.econbiz.de/10003826731