IDEAS home Printed from https://ideas.repec.org/f/c/pfe210.html
   My authors  Follow this author

Aurelio F. Bariviera

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Aslanidis, Nektarios & Fernández Bariviera, Aurelio & López, Óscar G., 2021. "The link between cryptocurrencies and Google Trends attention," Working Papers 2072/534919, Universitat Rovira i Virgili, Department of Economics.

    Cited by:

    1. Aman Saggu & Lennart Ante, 2023. "The Influence of ChatGPT on Artificial Intelligence Related Crypto Assets: Evidence from a Synthetic Control Analysis," Papers 2305.12739, arXiv.org.
    2. Moser, Stefanie & Brauneis, Alexander, 2023. "Should you listen to crypto YouTubers?," Finance Research Letters, Elsevier, vol. 54(C).
    3. Tong, Zezheng & Goodell, John W. & Shen, Dehua, 2022. "Assessing causal relationships between cryptocurrencies and investor attention: New results from transfer entropy methodology," Finance Research Letters, Elsevier, vol. 50(C).
    4. Lyócsa, Štefan & Plíhal, Tomáš, 2022. "Russia’s ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention," Finance Research Letters, Elsevier, vol. 48(C).
    5. Federico D'Amario & Milos Ciganovic, 2022. "Forecasting Cryptocurrencies Log-Returns: a LASSO-VAR and Sentiment Approach," Papers 2210.00883, arXiv.org.
    6. Lee, Seungju & Lee, Jaewook & Lee, Yunyoung, 2023. "Dissecting the Terra-LUNA crash: Evidence from the spillover effect and information flow," Finance Research Letters, Elsevier, vol. 53(C).
    7. Khalfaoui, Rabeh & Gozgor, Giray & Goodell, John W., 2023. "Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis," Finance Research Letters, Elsevier, vol. 52(C).
    8. Birindelli, Giuliana & Chiappini, Helen & Jalal, Raja Nabeel-Ud-Din, 2023. "SFDR, investor attention, and European financial markets," Finance Research Letters, Elsevier, vol. 56(C).
    9. Ştefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2023. "Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.
    10. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).

  2. Nektarios Aslanidis & Aurelio F. Bariviera & 'Oscar G. L'opez, 2021. "The link between Bitcoin and Google Trends attention," Papers 2106.07104, arXiv.org.

    Cited by:

    1. Moser, Stefanie & Brauneis, Alexander, 2023. "Should you listen to crypto YouTubers?," Finance Research Letters, Elsevier, vol. 54(C).

  3. Aurelio F. Bariviera, 2020. "One model is not enough: heterogeneity in cryptocurrencies' multifractal profiles," Papers 2003.09720, arXiv.org, revised Jun 2020.

    Cited by:

    1. Arouxet, M. Belén & Bariviera, Aurelio F. & Pastor, Verónica E. & Vampa, Victoria, 2022. "Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    2. Cristiana Vaz & Rui Pascoal & Helder Sebastião, 2021. "Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis," Mathematics, MDPI, vol. 9(17), pages 1-18, August.
    3. Onur Özdemir, 2022. "Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.

  4. Aurelio F. Bariviera & Ignasi Merediz-Sol`a, 2020. "Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis," Papers 2003.09723, arXiv.org.

    Cited by:

    1. Vidal-Tomás, David, 2021. "The entry and exit dynamics of the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 58(C).
    2. Nektarios Aslanidis & Aurelio F. Bariviera & 'Oscar G. L'opez, 2021. "The link between Bitcoin and Google Trends attention," Papers 2106.07104, arXiv.org.
    3. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
    4. Yi, Eojin & Ahn, Kwangwon & Choi, M.Y., 2022. "Cryptocurrency: Not far from equilibrium," Technological Forecasting and Social Change, Elsevier, vol. 177(C).
    5. Naeem, Muhammad Abubakr & Karim, Sitara, 2021. "Tail dependence between bitcoin and green financial assets," Economics Letters, Elsevier, vol. 208(C).
    6. Galvani, Valentina & Faychuk, Vita, 2022. "The Mean-Variance Core of Cryptocurrencies: When More is Not Better," Working Papers 2022-4, University of Alberta, Department of Economics.
    7. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
    8. Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2021. "Bitcoin versus high-performance technology stocks in diversifying against global stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
    9. Jaros{l}aw Kwapie'n & Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z, 2021. "Cryptocurrency Market Consolidation in 2020--2021," Papers 2112.06552, arXiv.org.

  5. Nektarios Aslanidis & Aurelio F. Bariviera & Alejandro Perez-Laborda, 2020. "Are cryptocurrencies becoming more interconnected?," Papers 2009.14561, arXiv.org.

    Cited by:

    1. Elie Bouri & Christina Christou & Rangan Gupta, 2022. "Forecasting Returns of Major Cryptocurrencies: Evidence from Regime-Switching Factor Models," Working Papers 202213, University of Pretoria, Department of Economics.
    2. Chuffart, Thomas, 2022. "Interest in cryptocurrencies predicts conditional correlation dynamics," Finance Research Letters, Elsevier, vol. 46(PA).
    3. Briola, Antonio & Vidal-Tomás, David & Wang, Yuanrong & Aste, Tomaso, 2023. "Anatomy of a Stablecoin’s failure: The Terra-Luna case," Finance Research Letters, Elsevier, vol. 51(C).
    4. Wu, Gabriel Shui Tang & Leung, Pak Ho, 2023. "Do asset-backed stablecoins spread crypto volatility to traditional financial assets? Evidence from Tether," Economics Letters, Elsevier, vol. 229(C).
    5. Akyildirim, Erdinc & Aysan, Ahmet Faruk & Cepni, Oguzhan & Darendeli, S. Pinar Ceyhan, 2021. "Do investor sentiments drive cryptocurrency prices?," Economics Letters, Elsevier, vol. 206(C).
    6. Rudkin, Simon & Rudkin, Wanling & Dłotko, Paweł, 2023. "On the topology of cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
    7. Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
    8. Mangal Goswami & Victor Pontines & Yassier Mohammed, 2022. "Portfolio capital flows and the US dollar exchange rate: Viewed from the lens of time and frequency dynamics of connectedness," Working Papers wp48, South East Asian Central Banks (SEACEN) Research and Training Centre.
    9. Smales, L.A., 2022. "Investor attention in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 79(C).
    10. Stefano Martinazzi & Daniele Regoli & Andrea Flori, 2020. "A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network," Risks, MDPI, vol. 8(4), pages 1-18, December.
    11. Nektarios Aslanidis & Aurelio F. Bariviera & 'Oscar G. L'opez, 2021. "The link between Bitcoin and Google Trends attention," Papers 2106.07104, arXiv.org.
    12. Łęt, Blanka & Sobański, Konrad & Świder, Wojciech & Włosik, Katarzyna, 2023. "What drives the popularity of stablecoins? Measuring the frequency dynamics of connectedness between volatile and stable cryptocurrencies," Technological Forecasting and Social Change, Elsevier, vol. 189(C).
    13. Assaf, Ata & Charif, Husni & Demir, Ender, 2022. "Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19," Finance Research Letters, Elsevier, vol. 47(PA).
    14. Lei Wang & Provash Kumer Sarker & Elie Bouri, 2023. "Short- and Long-Term Interactions Between Bitcoin and Economic Variables: Evidence from the US," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1305-1330, April.
    15. Li, Xingyi & Gan, Kai & Zhou, Qi, 2023. "Dynamic volatility connectedness among cryptocurrencies and China's financial assets in standard times and during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 51(C).
    16. Lee, Seungju & Lee, Jaewook & Lee, Yunyoung, 2023. "Dissecting the Terra-LUNA crash: Evidence from the spillover effect and information flow," Finance Research Letters, Elsevier, vol. 53(C).
    17. Jaros{l}aw Kwapie'n & Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z, 2021. "Cryptocurrency Market Consolidation in 2020--2021," Papers 2112.06552, arXiv.org.
    18. Marcin Wątorek & Jarosław Kwapień & Stanisław Drożdż, 2022. "Multifractal Cross-Correlations of Bitcoin and Ether Trading Characteristics in the Post-COVID-19 Time," Future Internet, MDPI, vol. 14(7), pages 1-15, July.
    19. Aslanidis, Nektarios & Bariviera, Aurelio F. & López, Óscar G., 2022. "The link between cryptocurrencies and Google Trends attention," Finance Research Letters, Elsevier, vol. 47(PA).
    20. Antonio Briola & David Vidal-Tom'as & Yuanrong Wang & Tomaso Aste, 2022. "Anatomy of a Stablecoin's failure: the Terra-Luna case," Papers 2207.13914, arXiv.org, revised Sep 2022.
    21. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    22. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2023. "Cryptocurrencies Are Becoming Part of the World Global Financial Market," Papers 2303.00495, arXiv.org.
    23. BRIK, Hatem & El OUAKDI, Jihene & FTITI, Zied, 2022. "Roles of stable versus nonstable cryptocurrencies in Bitcoin market dynamics," Research in International Business and Finance, Elsevier, vol. 62(C).
    24. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2022. "Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time," Papers 2208.01445, arXiv.org.
    25. Al-Shboul, Mohammad & Assaf, Ata & Mokni, Khaled, 2022. "When bitcoin lost its position: Cryptocurrency uncertainty and the dynamic spillover among cryptocurrencies before and during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 83(C).

  6. Aslanidis, Nektarios & Fernández Bariviera, Aurelio & Savva, Christos S., 2020. "Weekly dynamic conditional correlations among cryptocurrencies and traditional assets," Working Papers 2072/417680, Universitat Rovira i Virgili, Department of Economics.

    Cited by:

    1. Christoph J. Börner & Ingo Hoffmann & Jonas Krettek & Tim Schmitz, 2022. "Bitcoin: like a satellite or always hardcore? A core–satellite identification in the cryptocurrency market," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 310-321, July.
    2. Christoph J. Borner & Ingo Hoffmann & Jonas Krettek & Lars M. Kurzinger & Tim Schmitz, 2021. "Bitcoin: Like a Satellite or Always Hardcore? A Core-Satellite Identification in the Cryptocurrency Market," Papers 2105.12336, arXiv.org.
    3. Plastun, Alex & Bouri, Elie & Havrylina, Ahniia & Ji, Qiang, 2022. "Calendar anomalies in passion investments: Price patterns and profit opportunities," Research in International Business and Finance, Elsevier, vol. 61(C).

  7. M. Bel'en Arouxet & Aurelio F. Bariviera & Ver'onica E. Pastor & Victoria Vampa, 2020. "Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent," Papers 2009.05652, arXiv.org.

    Cited by:

    1. James, Nick & Menzies, Max, 2023. "Collective infectivity of the pandemic over time and association with vaccine coverage and economic development," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
    2. Bejaoui, Azza & Frikha, Wajdi & Jeribi, Ahmed & Bariviera, Aurelio F., 2023. "Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
    3. Balcilar, Mehmet & Ozdemir, Huseyin & Agan, Busra, 2022. "Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    4. Bariviera, Aurelio F. & Fabregat-Aibar, Laura & Sorrosal-Forradellas, Maria-Teresa, 2023. "Disentangling the impact of economic and health crises on financial markets," Research in International Business and Finance, Elsevier, vol. 65(C).
    5. Bejaoui, Azza & Mgadmi, Nidhal & Moussa, Wajdi, 2022. "On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis," Resources Policy, Elsevier, vol. 77(C).
    6. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2023. "Cryptocurrencies Are Becoming Part of the World Global Financial Market," Papers 2303.00495, arXiv.org.
    7. Espinosa-Paredes, G. & Rodriguez, E. & Alvarez-Ramirez, J., 2022. "A singular value decomposition entropy approach to assess the impact of Covid-19 on the informational efficiency of the WTI crude oil market," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).

  8. Ignasi Merediz-Sol`a & Aurelio F. Bariviera, 2019. "A bibliometric analysis of Bitcoin scientific production," Papers 1906.08933, arXiv.org.

    Cited by:

    1. Assaf, Ata & Bhandari, Avishek & Charif, Husni & Demir, Ender, 2022. "Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19," International Review of Financial Analysis, Elsevier, vol. 82(C).
    2. Omane-Adjepong, Maurice & Alagidede, Imhotep Paul, 2020. "High- and low-level chaos in the time and frequency market returns of leading cryptocurrencies and emerging assets," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).
    3. Ahmed Hassanein & Mohamed M. Mostafa, 2023. "Bibliometric network analysis of thirty years of islamic banking and finance scholarly research," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 1961-1989, June.
    4. Nektarios Aslanidis & Aurelio F. Bariviera & Alejandro Perez-Laborda, 2020. "Are cryptocurrencies becoming more interconnected?," Papers 2009.14561, arXiv.org.
    5. Nektarios Aslanidis & Aurelio F. Bariviera & 'Oscar G. L'opez, 2021. "The link between Bitcoin and Google Trends attention," Papers 2106.07104, arXiv.org.
    6. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    7. Pattnaik, Debidutta & Hassan, M. Kabir & Dsouza, Arun & Tiwari, Aviral & Devji, Shridev, 2023. "Ex-post facto analysis of cryptocurrency literature over a decade using bibliometric technique," Technological Forecasting and Social Change, Elsevier, vol. 189(C).
    8. Ahmet Faruk Aysan & Hüseyin Bedir Demirtaş & Mustafa Saraç, 2021. "The Ascent of Bitcoin: Bibliometric Analysis of Bitcoin Research," JRFM, MDPI, vol. 14(9), pages 1-15, September.
    9. Emilio Abad-Segura & Alfonso Infante-Moro & Mariana-Daniela González-Zamar & Eloy López-Meneses, 2021. "Blockchain Technology for Secure Accounting Management: Research Trends Analysis," Mathematics, MDPI, vol. 9(14), pages 1-26, July.
    10. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
    11. María Isabel Guerrero Molina & Juan Felipe Salazar Acevedo & Julián Taborda Giraldo, 2022. "Reflexiones sobre el Brexit y la migración: revisión de literatura," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, vol. 41(74), pages 111-139, July.
    12. Behl, Abhishek & Jayawardena, Nirma & Pereira, Vijay & Islam, Nazrul & Giudice, Manlio Del & Choudrie, Jyoti, 2022. "Gamification and e-learning for young learners: A systematic literature review, bibliometric analysis, and future research agenda," Technological Forecasting and Social Change, Elsevier, vol. 176(C).
    13. Khan, Ashraf & Goodell, John W. & Hassan, M. Kabir & Paltrinieri, Andrea, 2022. "A bibliometric review of finance bibliometric papers," Finance Research Letters, Elsevier, vol. 47(PA).
    14. Vidal-Tomás, David, 2022. "Which cryptocurrency data sources should scholars use?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    15. Ziyoda Asatullaeva & Reza Fathollah Zadeh Aghdam & Nisar Ahmad & Laylo Tashpulatova, 2021. "The impact of foreign aid on economic development: A systematic literature review and content analysis of the top 50 most influential papers," Journal of International Development, John Wiley & Sons, Ltd., vol. 33(4), pages 717-751, May.
    16. Martha Flores‐Sosa & Ezequiel Avilés‐Ochoa & José M. Merigó, 2022. "Exchange rate and volatility: A bibliometric review," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1419-1442, January.
    17. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
    18. Bariviera, Aurelio F., 2021. "One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles," Finance Research Letters, Elsevier, vol. 39(C).
    19. Klarin, Anton, 2020. "The decade-long cryptocurrencies and the blockchain rollercoaster: Mapping the intellectual structure and charting future directions," Research in International Business and Finance, Elsevier, vol. 51(C).
    20. Nikita Jain & Deepali Virmani & Ajith Abraham, 2021. "Tsunami in the last 15 years: a bibliometric analysis with a detailed overview and future directions," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 106(1), pages 139-172, March.
    21. ORĂȘTEAN Ramona & MĂRGINEAN Silvia Cristina & SAVA Raluca, 2019. "Bitcoin In The Scientific Literature – A Bibliometric Study," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 14(3), pages 160-174, December.
    22. Zeba, Gordana & Dabić, Marina & Čičak, Mirjana & Daim, Tugrul & Yalcin, Haydar, 2021. "Technology mining: Artificial intelligence in manufacturing," Technological Forecasting and Social Change, Elsevier, vol. 171(C).
    23. Jiang, Shangrong & Li, Xuerong & Wang, Shouyang, 2021. "Exploring evolution trends in cryptocurrency study: From underlying technology to economic applications," Finance Research Letters, Elsevier, vol. 38(C).
    24. Aslanidis, Nektarios & Bariviera, Aurelio F. & López, Óscar G., 2022. "The link between cryptocurrencies and Google Trends attention," Finance Research Letters, Elsevier, vol. 47(PA).
    25. Bo Li & Zeshui Xu, 2021. "Insights into financial technology (FinTech): a bibliometric and visual study," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-28, December.
    26. Francisco Javier García-Corral & José Antonio Cordero-García & Jaime de Pablo-Valenciano & Juan Uribe-Toril, 2022. "A bibliometric review of cryptocurrencies: how have they grown?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
    27. Aslanidis, Nektarios & Fernández Bariviera, Aurelio & Savva, Christos S., 2020. "Weekly dynamic conditional correlations among cryptocurrencies and traditional assets," Working Papers 2072/417680, Universitat Rovira i Virgili, Department of Economics.
    28. Lennart Ante, 2020. "A place next to Satoshi: foundations of blockchain and cryptocurrency research in business and economics," Scientometrics, Springer;Akadémiai Kiadó, vol. 124(2), pages 1305-1333, August.
    29. Mostafa, Mohamed M., 2022. "Five decades of catastrophe theory research: Geographical atlas, knowledge structure and historical roots," Chaos, Solitons & Fractals, Elsevier, vol. 159(C).
    30. María Dolores Alcaide-Ruiz & Francisco Bravo-Urquiza & Elena Moreno-Ureba, 2022. "Sustainability Committee Research: A Bibliometric Study," Sustainability, MDPI, vol. 14(23), pages 1-14, December.
    31. Dejian Yu & Libo Sheng, 2020. "Knowledge diffusion paths of blockchain domain: the main path analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 125(1), pages 471-497, October.

  9. Martin Iglesias Caride & Aurelio F. Bariviera & Laura Lanzarini, 2018. "Stock returns forecast: an examination by means of Artificial Neural Networks," Papers 1801.07960, arXiv.org.

    Cited by:

    1. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2018. "Bitcoin Technical Trading with Articial Neural Network," CIRJE F-Series CIRJE-F-1090, CIRJE, Faculty of Economics, University of Tokyo.
    2. Erdinc Akyildirim & Aurelio F. Bariviera & Duc Khuong Nguyen & Ahmet Sensoy, 2022. "Forecasting high-frequency stock returns: a comparison of alternative methods," Annals of Operations Research, Springer, vol. 313(2), pages 639-690, June.
    3. Nakano, Masafumi & Takahashi, Akihiko & Takahashi, Soichiro, 2018. "Bitcoin technical trading with artificial neural network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 587-609.

  10. Nektarios Aslanidis & Aurelio F. Bariviera & Oscar Martinez-Iba~nez, 2018. "An analysis of cryptocurrencies conditional cross correlations," Papers 1811.08365, arXiv.org, revised Feb 2019.

    Cited by:

    1. Jong-Min Kim & Seong-Tae Kim & Sangjin Kim, 2020. "On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models," Mathematics, MDPI, vol. 8(11), pages 1-15, October.
    2. Omane-Adjepong, Maurice & Alagidede, Imhotep Paul, 2020. "High- and low-level chaos in the time and frequency market returns of leading cryptocurrencies and emerging assets," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).
    3. Mensi, Walid & Sensoy, Ahmet & Aslan, Aylin & Kang, Sang Hoon, 2019. "High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    4. Susovon Jana & Tarak N. Sahu, 2023. "Is the cryptocurrency market a hedge against stock market risk? A Wavelet and GARCH approach," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 52(3), November.
    5. Bejaoui, Azza & Frikha, Wajdi & Jeribi, Ahmed & Bariviera, Aurelio F., 2023. "Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
    6. Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Forecasting, MDPI, vol. 3(2), pages 1-44, May.
    7. Vahidin Jeleskovic & Mirko Meloni & Zahid Irshad Younas, 2020. "Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations," MAGKS Papers on Economics 202034, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    8. Sebastião, Helder & Godinho, Pedro, 2020. "Bitcoin futures: An effective tool for hedging cryptocurrencies," Finance Research Letters, Elsevier, vol. 33(C).
    9. Handika, Rangga & Soepriyanto, Gatot & Havidz, Shinta Amalina Hazrati, 2019. "Are cryptocurrencies contagious to Asian financial markets?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 416-429.
    10. Ha, Le Thanh & Nham, Nguyen Thi Hong, 2022. "An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
    11. Khalid Khan & Jiluo Sun & Sinem Derindere Koseoglu & Ashfaq U. Rehman, 2021. "Revisiting Bitcoin Price Behavior Under Global Economic Uncertainty," SAGE Open, , vol. 11(3), pages 21582440211, August.
    12. Nektarios Aslanidis & Aurelio F. Bariviera & Alejandro Perez-Laborda, 2020. "Are cryptocurrencies becoming more interconnected?," Papers 2009.14561, arXiv.org.
    13. Achraf Ghorbel & Wajdi Frikha & Yasmine Snene Manzli, 2022. "Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 387-425, September.
    14. Nektarios Aslanidis & Aurelio F. Bariviera & 'Oscar G. L'opez, 2021. "The link between Bitcoin and Google Trends attention," Papers 2106.07104, arXiv.org.
    15. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
    16. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    17. ALIU Florin & NUHIU Artor & KNAPKOVA Adriana & LUBISHTANI Ermal & TRAN Khang, 2021. "Do Cryptocurrencies Offer Diversification Benefits For Equity Portfolios?," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 16(2), pages 5-18, August.
    18. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Market uncertainty and correlation between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 50(C).
    19. Kumar, Ashish & Iqbal, Najaf & Mitra, Subrata Kumar & Kristoufek, Ladislav & Bouri, Elie, 2022. "Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    20. Yue, Yao & Li, Xuerong & Zhang, Dingxuan & Wang, Shouyang, 2021. "How cryptocurrency affects economy? A network analysis using bibliometric methods," International Review of Financial Analysis, Elsevier, vol. 77(C).
    21. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
    22. Xu, Qiuhua & Zhang, Yixuan & Zhang, Ziyang, 2021. "Tail-risk spillovers in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
    23. Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2021. "Bitcoin versus high-performance technology stocks in diversifying against global stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
    24. Yang, Boyu & Sun, Yuying & Wang, Shouyang, 2020. "A novel two-stage approach for cryptocurrency analysis," International Review of Financial Analysis, Elsevier, vol. 72(C).
    25. Walid Mensi & Mobeen Ur Rehman & Muhammad Shafiullah & Khamis Hamed Al-Yahyaee & Ahmet Sensoy, 2021. "High frequency multiscale relationships among major cryptocurrencies: portfolio management implications," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-21, December.
    26. Pasquale De Rosa & Valerio Schiavoni, 2022. "Understanding Cryptocoins Trends Correlations," Papers 2212.01267, arXiv.org.
    27. Rasoul Amirzadeh & Asef Nazari & Dhananjay Thiruvady & Mong Shan Ee, 2023. "Modelling Determinants of Cryptocurrency Prices: A Bayesian Network Approach," Papers 2303.16148, arXiv.org.
    28. Cahill, Daniel & Liu, Zhangxin (Frank), 2021. "Limitations of imitation: Lessons from another Bitcoin copycat," Journal of Corporate Finance, Elsevier, vol. 69(C).
    29. Hafner, Christian M. & Herwartz, Helmut, 2023. "Correlation impulse response functions," Finance Research Letters, Elsevier, vol. 57(C).
    30. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
    31. Bariviera, Aurelio F., 2021. "One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles," Finance Research Letters, Elsevier, vol. 39(C).
    32. Wang, Qiyu & Chong, Terence Tai-Leung, 2021. "Factor pricing of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    33. Tomas Scagliarini & Giuseppe Pappalardo & Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda & Sebastiano Stramaglia, 2022. "Pairwise and high-order dependencies in the cryptocurrency trading network," Papers 2207.04004, arXiv.org.
    34. Νikolaos A. Kyriazis, 2021. "Investigating the nexus between European major and sectoral stock indices, gold and oil during the COVID-19 pandemic," SN Business & Economics, Springer, vol. 1(4), pages 1-12, April.
    35. José Antonio Núñez-Mora & Mario Iván Contreras-Valdez & Roberto Joaquín Santillán-Salgado, 2023. "Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach," Mathematics, MDPI, vol. 11(20), pages 1-20, October.
    36. Jie Cheng, 2023. "Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies," Empirical Economics, Springer, vol. 65(2), pages 899-924, August.
    37. Charfeddine, Lanouar & Benlagha, Noureddine & Khediri, Karim Ben, 2022. "An intra-cryptocurrency analysis of volatility connectedness and its determinants: Evidence from mining coins, non-mining coins and tokens," Research in International Business and Finance, Elsevier, vol. 62(C).
    38. Kavya Clanganthuruthil Sajeev & Mohd Afjal, 2022. "Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models," SN Business & Economics, Springer, vol. 2(6), pages 1-21, June.
    39. Aslanidis, Nektarios & Bariviera, Aurelio F. & López, Óscar G., 2022. "The link between cryptocurrencies and Google Trends attention," Finance Research Letters, Elsevier, vol. 47(PA).
    40. Merediz-Solà, Ignasi & Bariviera, Aurelio F., 2019. "A bibliometric analysis of bitcoin scientific production," Research in International Business and Finance, Elsevier, vol. 50(C), pages 294-305.
    41. Achraf Ghorbel & Ahmed Jeribi, 2021. "Investigating the relationship between volatilities of cryptocurrencies and other financial assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 817-843, December.
    42. Celeste, Valerio & Corbet, Shaen & Gurdgiev, Constantin, 2020. "Fractal dynamics and wavelet analysis: Deep volatility and return properties of Bitcoin, Ethereum and Ripple," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 310-324.
    43. Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-04250269, HAL.
    44. Ekrem Tufan & Bahattin Hamarat & Aykut Yalvaç, 2022. "Interrelation of Bitcoin and Some Traditional Assets," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 69(1), pages 145-162, March.
    45. Aslanidis, Nektarios & Fernández Bariviera, Aurelio & Savva, Christos S., 2020. "Weekly dynamic conditional correlations among cryptocurrencies and traditional assets," Working Papers 2072/417680, Universitat Rovira i Virgili, Department of Economics.
    46. Tak Kuen Siu, 2023. "Bayesian nonlinear expectation for time series modelling and its application to Bitcoin," Empirical Economics, Springer, vol. 64(1), pages 505-537, January.
    47. Huynh, Toan Luu Duc & Nasir, Muhammad Ali & Vo, Xuan Vinh & Nguyen, Thong Trung, 2020. "“Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    48. Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
    49. Maurice Omane-Adjepong & Imhotep Paul Alagidede, 2020. "Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 537-585, December.
    50. Inés Jiménez & Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote, 2020. "Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies," Mathematics, MDPI, vol. 8(12), pages 1-24, November.
    51. Urom, Christian & Abid, Ilyes & Guesmi, Khaled & Chevallier, Julien, 2020. "Quantile spillovers and dependence between Bitcoin, equities and strategic commodities," Economic Modelling, Elsevier, vol. 93(C), pages 230-258.
    52. Kim, Myeong Jun & Canh, Nguyen Phuc & Park, Sung Y., 2021. "Causal relationship among cryptocurrencies: A conditional quantile approach," Finance Research Letters, Elsevier, vol. 42(C).
    53. Borgards, Oliver, 2021. "Dynamic time series momentum of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    54. Ahmed JERIBI & Mohamed FAKHFEKH, 2020. "Determinants Of G7 And Chinese Stock Market Returns During Covid-19 Outbreak," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 10(5), pages 256-266, October.
    55. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2023. "Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model," Emerging Markets Review, Elsevier, vol. 56(C).
    56. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    57. Nikolaos A. Kyriazis, 2021. "Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 845-861, December.
    58. Ahmed Jeribi & Mohamed Fakhfekh, 2021. "Portfolio management and dependence structure between cryptocurrencies and traditional assets: evidence from FIEGARCH-EVT-Copula," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 224-239, May.
    59. Fasanya, Ismail O. & Oyewole, Oluwatomisin & Dauda, Mariam, 2023. "Uncertainty due to infectious diseases and bitcoin-gold nexus: Evidence from a non-parametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 82(C).

  11. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2018. "An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers," Papers 1808.01926, arXiv.org.

    Cited by:

    1. Stanisław Drożdż & Ludovico Minati & Paweł Oświȩcimka & Marek Stanuszek & Marcin Wa̧torek, 2019. "Signatures of the Crypto-Currency Market Decoupling from the Forex," Future Internet, MDPI, vol. 11(7), pages 1-18, July.
    2. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
    3. Mensi, Walid & Sensoy, Ahmet & Aslan, Aylin & Kang, Sang Hoon, 2019. "High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    4. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    5. Sebastião, Helder & Godinho, Pedro, 2020. "Bitcoin futures: An effective tool for hedging cryptocurrencies," Finance Research Letters, Elsevier, vol. 33(C).
    6. Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Pawe{l} O'swik{e}cimka & Tomasz Stanisz & Marcin Wk{a}torek, 2020. "Complexity in economic and social systems: cryptocurrency market at around COVID-19," Papers 2009.10030, arXiv.org.
    7. Fernandes, Leonardo H.S. & de Araujo, Fernando H.A. & Silva, José W.L. & Tabak, Benjamin Miranda, 2022. "Booms in commodities price: Assessing disorder and similarity over economic cycles," Resources Policy, Elsevier, vol. 79(C).
    8. Umar, Muhammad & Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2021. "Dance with the devil? The nexus of fourth industrial revolution, technological financial products and volatility spillovers in global financial system," Technological Forecasting and Social Change, Elsevier, vol. 163(C).
    9. Yi, Eojin & Ahn, Kwangwon & Choi, M.Y., 2022. "Cryptocurrency: Not far from equilibrium," Technological Forecasting and Social Change, Elsevier, vol. 177(C).
    10. Li, Yuxing & Geng, Bo & Jiao, Shangbin, 2022. "Dispersion entropy-based Lempel-Ziv complexity: A new metric for signal analysis," Chaos, Solitons & Fractals, Elsevier, vol. 161(C).
    11. Fernandes, Leonardo H.S. & Bouri, Elie & Silva, José W.L. & Bejan, Lucian & de Araujo, Fernando H.A., 2022. "The resilience of cryptocurrency market efficiency to COVID-19 shock," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    12. Mateos, Diego M. & Zozor, Steeve & Olivares, Felipe, 2020. "Contrasting stochasticity with chaos in a permutation Lempel–Ziv complexity — Shannon entropy plane," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    13. Luiz G. A. Alves & Higor Y. D. Sigaki & Matjaz Perc & Haroldo V. Ribeiro, 2020. "Collective dynamics of stock market efficiency," Papers 2011.14809, arXiv.org.
    14. Donglian Ma & Pengxiang Zhai, 2021. "The Accuracy of the Tick Rule in the Bitcoin Market," SAGE Open, , vol. 11(2), pages 21582440211, May.
    15. Arouxet, M. Belén & Bariviera, Aurelio F. & Pastor, Verónica E. & Vampa, Victoria, 2022. "Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    16. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
    17. Lahmiri, Salim & Bekiros, Stelios, 2019. "Decomposing the persistence structure of Islamic and green crypto-currencies with nonlinear stepwise filtering," Chaos, Solitons & Fractals, Elsevier, vol. 127(C), pages 334-341.
    18. Khuntia, Sashikanta & Pattanayak, J.K., 2020. "Adaptive long memory in volatility of intra-day bitcoin returns and the impact of trading volume," Finance Research Letters, Elsevier, vol. 32(C).
    19. Stanis{l}aw Dro.zd.z & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek & Marcin Wk{a}torek, 2019. "Signatures of crypto-currency market decoupling from the Forex," Papers 1906.07834, arXiv.org, revised Jul 2019.
    20. R. K. Jana & Aviral Kumar Tiwari & Shawkat Hammoudeh, 2019. "The Inefficiency of Litecoin: A Dynamic Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 447-457, June.
    21. Higor Y. D. Sigaki & Matjaz Perc & Haroldo V. Ribeiro, 2019. "Clustering patterns in efficiency and the coming-of-age of the cryptocurrency market," Papers 1901.04967, arXiv.org.
    22. Nektarios Aslanidis & Aurelio F. Bariviera & Oscar Martinez-Iba~nez, 2018. "An analysis of cryptocurrencies conditional cross correlations," Papers 1811.08365, arXiv.org, revised Feb 2019.
    23. Merediz-Solà, Ignasi & Bariviera, Aurelio F., 2019. "A bibliometric analysis of bitcoin scientific production," Research in International Business and Finance, Elsevier, vol. 50(C), pages 294-305.
    24. Olivares, Felipe & Zunino, Luciano, 2020. "Multiscale dynamics under the lens of permutation entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
    25. Omane-Adjepong, Maurice & Alagidede, Imhotep Paul, 2019. "Multiresolution analysis and spillovers of major cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 49(C), pages 191-206.
    26. Eduarda T. C. Chagas & Marcelo Queiroz‐Oliveira & Osvaldo A. Rosso & Heitor S. Ramos & Cristopher G. S. Freitas & Alejandro C. Frery, 2022. "White Noise Test from Ordinal Patterns in the Entropy–Complexity Plane," International Statistical Review, International Statistical Institute, vol. 90(2), pages 374-396, August.
    27. Shimeng Shi & Yukun Shi, 2021. "Bitcoin futures: trade it or ban it?," The European Journal of Finance, Taylor & Francis Journals, vol. 27(4-5), pages 381-396, March.
    28. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
    29. Troster, Victor & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Macedo, Demian Nicolás, 2019. "Bitcoin returns and risk: A general GARCH and GAS analysis," Finance Research Letters, Elsevier, vol. 30(C), pages 187-193.

  12. Aurelio F. Bariviera & Angelo Plastino & George Judge, 2018. "Spurious seasonality detection: a non-parametric test proposal," Papers 1801.07941, arXiv.org.

    Cited by:

    1. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    2. Yasmeen Idilbi-Bayaa & Mahmoud Qadan, 2022. "Tell Me Why I Do Not Like Mondays," Mathematics, MDPI, vol. 10(11), pages 1-22, May.

  13. Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.

    Cited by:

    1. Gideon Boako & Aviral Kumar Tiwari & David Roubaud, 2019. "Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market," International Economics, CEPII research center, issue 158, pages 77-90.
    2. Afees A. Salisu & Aviral Kumar Tiwari & Ibrahim D. Raheem, 2018. "Analysing the distribution properties of Bitcoin returns," Working Papers 058, Centre for Econometric and Allied Research, University of Ibadan.
    3. Masuhr Andreas & Trede Mark, 2020. "Bayesian estimation of generalized partition of unity copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 119-131, January.
    4. Jareño, Francisco & González, María de la O & Tolentino, Marta & Sierra, Karen, 2020. "Bitcoin and gold price returns: A quantile regression and NARDL analysis," Resources Policy, Elsevier, vol. 67(C).
    5. Christie Smith & Aaron Kumar, 2018. "Crypto‐Currencies – An Introduction To Not‐So‐Funny Moneys," Journal of Economic Surveys, Wiley Blackwell, vol. 32(5), pages 1531-1559, December.
    6. Guglielmo Maria Caporale & Woo-Young Kang, 2020. "Bitcoin Price Co-Movements and Culture," CESifo Working Paper Series 8076, CESifo.
    7. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    8. Vidal-Tomás, David, 2021. "The entry and exit dynamics of the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 58(C).
    9. Garcia-Jorcano, Laura & Benito, Sonia, 2020. "Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying," Research in International Business and Finance, Elsevier, vol. 54(C).
    10. Telli, Şahin & Chen, Hongzhuan, 2020. "Multifractal behavior in return and volatility series of Bitcoin and gold in comparison," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    11. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
    12. Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
    13. Zura Kakushadze & Willie Yu, 2019. "Altcoin-Bitcoin Arbitrage," Papers 1903.06033, arXiv.org, revised Apr 2019.
    14. Nick James & Max Menzies & Kevin Chin, 2022. "Economic state classification and portfolio optimisation with application to stagflationary environments," Papers 2203.15911, arXiv.org, revised Sep 2022.
    15. Parthajit Kayal & G. Balasubramanian, 2021. "Excess Volatility in Bitcoin: Extreme Value Volatility Estimation," IIM Kozhikode Society & Management Review, , vol. 10(2), pages 222-231, July.
    16. Telli, Şahin & Chen, Hongzhuan, 2020. "Structural breaks and trend awareness-based interaction in crypto markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
    17. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2018. "Bitcoin Technical Trading with Articial Neural Network," CIRJE F-Series CIRJE-F-1090, CIRJE, Faculty of Economics, University of Tokyo.
    18. Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen, 2018. "Some stylized facts of the cryptocurrency market," Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5950-5965, November.
    19. Jiang, Yonghong & Nie, He & Ruan, Weihua, 2018. "Time-varying long-term memory in Bitcoin market," Finance Research Letters, Elsevier, vol. 25(C), pages 280-284.
    20. Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Forecasting, MDPI, vol. 3(2), pages 1-44, May.
    21. Parthajit Kayal & Purnima Rohilla, 2021. "Bitcoin in the economics and finance literature: a survey," SN Business & Economics, Springer, vol. 1(7), pages 1-21, July.
    22. Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
    23. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Kang, Sang Hoon, 2019. "Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum," Finance Research Letters, Elsevier, vol. 29(C), pages 222-230.
    24. Alvarez-Ramirez, J. & Rodriguez, E., 2018. "AR(p)-based detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 49-57.
    25. Stavroyiannis, Stavros & Babalos, Vassilios & Bekiros, Stelios & Lahmiri, Salim & Uddin, Gazi Salah, 2019. "The high frequency multifractal properties of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 62-71.
    26. Vahidin Jeleskovic & Mirko Meloni & Zahid Irshad Younas, 2020. "Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations," MAGKS Papers on Economics 202034, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    27. José Antonio Núñez & Mario I Contreras-Valdez & Carlos A Franco-Ruiz, 2019. "Statistical analysis of bitcoin during explosive behavior periods," PLOS ONE, Public Library of Science, vol. 14(3), pages 1-22, March.
    28. Noshaba Zulfiqar & Saqib Gulzar, 2021. "Implied volatility estimation of bitcoin options and the stylized facts of option pricing," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-30, December.
    29. Zhang, Yuanyuan & Chan, Stephen & Chu, Jeffrey & Nadarajah, Saralees, 2019. "Stylised facts for high frequency cryptocurrency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 598-612.
    30. Fa-Bin Shi & Xiao-Qian Sun & Jin-Hua Gao & Li Xu & Hua-Wei Shen & Xue-Qi Cheng, 2019. "Anomaly detection in Bitcoin market via price return analysis," PLOS ONE, Public Library of Science, vol. 14(6), pages 1-11, June.
    31. Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Pawe{l} O'swik{e}cimka & Tomasz Stanisz & Marcin Wk{a}torek, 2020. "Complexity in economic and social systems: cryptocurrency market at around COVID-19," Papers 2009.10030, arXiv.org.
    32. Paolo Angelis & Roberto Marchis & Mario Marino & Antonio Luciano Martire & Immacolata Oliva, 2021. "Betting on bitcoin: a profitable trading between directional and shielding strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 883-903, December.
    33. Yaya, OlaOluwa S & Ogbonna, Ephraim A & Olubusoye, Olusanya E, 2018. "How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?," MPRA Paper 91253, University Library of Munich, Germany.
    34. Lahmiri, Salim & Bekiros, Stelios & Salvi, Antonio, 2018. "Long-range memory, distributional variation and randomness of bitcoin volatility," Chaos, Solitons & Fractals, Elsevier, vol. 107(C), pages 43-48.
    35. Pennoni, Fulvia & Bartolucci, Francesco & Forte, Gianfranco & Ametrano, Ferdinando, 2020. "Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model," MPRA Paper 106150, University Library of Munich, Germany.
    36. Tetsuya Takaishi, 2019. "Rough volatility of Bitcoin," Papers 1904.12346, arXiv.org.
    37. Liu, Keshi & Weng, Tongfeng & Gu, Changgui & Yang, Huijie, 2020. "Visibility graph analysis of Bitcoin price series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    38. C. R. da Cunha & R. da Silva, 2019. "Relevant Stylized Facts About Bitcoin: Fluctuations, First Return Probability, and Natural Phenomena," Papers 1905.03211, arXiv.org.
    39. Kazeem Isah & Ibrahim D. Raheem, 2018. "The Hidden Predictive Power of Cryptocurrencies: Evidence from US Stock Market," Working Papers 056, Centre for Econometric and Allied Research, University of Ibadan.
    40. Nedved, Martin & Kristoufek, Ladislav, 2023. "Safe havens for Bitcoin," Finance Research Letters, Elsevier, vol. 51(C).
    41. Roman Matkovskyy & Akanksha Jalan, 2019. "From financial markets to Bitcoin markets: A fresh look at the contagion effect," Post-Print hal-02131637, HAL.
    42. Thomas Walther & Tony Klein & Hien Pham Thu, 2018. "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," Working Papers on Finance 1812, University of St. Gallen, School of Finance.
    43. Aggarwal, Divya & Chandrasekaran, Shabana & Annamalai, Balamurugan, 2020. "A complete empirical ensemble mode decomposition and support vector machine-based approach to predict Bitcoin prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    44. Eom, Cheoljun & Kaizoji, Taisei & Kang, Sang Hoon & Pichl, Lukas, 2019. "Bitcoin and investor sentiment: Statistical characteristics and predictability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 511-521.
    45. George Milunovich, 2018. "Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(4), pages 551-563, December.
    46. Christian Masiak & Joern H. Block & Tobias Masiak & Matthias Neuenkirch & Katja N. Pielen, 2020. "Initial coin offerings (ICOs): market cycles and relationship with bitcoin and ether," Small Business Economics, Springer, vol. 55(4), pages 1113-1130, December.
    47. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1703, DIW Berlin, German Institute for Economic Research.
    48. Matthias Schnaubelt & Jonas Rende & Christopher Krauss, 2019. "Testing Stylized Facts of Bitcoin Limit Order Books," JRFM, MDPI, vol. 12(1), pages 1-30, February.
    49. Natália Costa & César Silva & Paulo Ferreira, 2019. "Long-Range Behaviour and Correlation in DFA and DCCA Analysis of Cryptocurrencies," IJFS, MDPI, vol. 7(3), pages 1-12, September.
    50. Stefano Martinazzi & Daniele Regoli & Andrea Flori, 2020. "A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network," Risks, MDPI, vol. 8(4), pages 1-18, December.
    51. Josselin Garnier & Knut Solna, 2018. "Chaos and Order in the Bitcoin Market," Papers 1809.08403, arXiv.org, revised Apr 2019.
    52. Isah, Kazeem O. & Raheem, Ibrahim D., 2019. "The hidden predictive power of cryptocurrencies and QE: Evidence from US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    53. Roy Cerqueti & Massimiliano Giacalone & Raffaele Mattera, 2020. "Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling," Papers 2004.11674, arXiv.org.
    54. Tim Leung & Theodore Zhao, 2022. "Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-23, March.
    55. Katsiampa, Paraskevi & Yarovaya, Larisa & Zięba, Damian, 2022. "High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    56. Yi, Eojin & Ahn, Kwangwon & Choi, M.Y., 2022. "Cryptocurrency: Not far from equilibrium," Technological Forecasting and Social Change, Elsevier, vol. 177(C).
    57. Alexander Brauneis & Roland Mestel & Ryan Riordan & Erik Theissen, 2018. "A High-Frequency Analysis of Bitcoin Markets," Working Paper Series, Social and Economic Sciences 2018-06, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    58. Pritpal Singh BHULLAR & Dyal BHATNAGAR, 2020. "Bitcoins as a determinant of stock market movements: A comparison of Indian and Chinese Stock Markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(624), A), pages 193-202, Autumn.
    59. Kosc, Krzysztof & Sakowski, Paweł & Ślepaczuk, Robert, 2019. "Momentum and contrarian effects on the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 691-701.
    60. Takuya Shintate & Lukáš Pichl, 2019. "Trend Prediction Classification for High Frequency Bitcoin Time Series with Deep Learning," JRFM, MDPI, vol. 12(1), pages 1-15, January.
    61. Restocchi, Valerio & McGroarty, Frank & Gerding, Enrico, 2019. "The stylized facts of prediction markets: Analysis of price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 159-170.
    62. Corbet, Shaen & Lucey, Brian & Yarovaya, Larisa, 2018. "Datestamping the Bitcoin and Ethereum bubbles," Finance Research Letters, Elsevier, vol. 26(C), pages 81-88.
    63. Köchling, Gerrit & Müller, Janis & Posch, Peter N., 2019. "Does the introduction of futures improve the efficiency of Bitcoin?," Finance Research Letters, Elsevier, vol. 30(C), pages 367-370.
    64. Mawuli Segnon & Stelios Bekiros, 2020. "Forecasting volatility in bitcoin market," Annals of Finance, Springer, vol. 16(3), pages 435-462, September.
    65. Imad A. Moosa, 2020. "The bitcoin: a sparkling bubble or price discovery?," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 93-113, March.
    66. Taurai Muvunza, 2020. "An $\alpha$-Stable Approach to Modelling Highly Speculative Assets and Cryptocurrencies," Papers 2002.09881, arXiv.org, revised Jul 2023.
    67. Toshiyuki Yam awake & Joseph Sheely & Roberto Serrano & Jiro Hodoshima, 2022. "Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness," Working Papers 2022-007, Brown University, Department of Economics.
    68. Zura Kakushadze & Willie Yu, 2019. "Altcoin-Bitcoin Arbitrage," Bulletin of Applied Economics, Risk Market Journals, vol. 6(1), pages 87-110.
    69. Kristoufek, Ladislav, 2019. "Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    70. Gianna Figá-Talamanca & Sergio Focardi & Marco Patacca, 2021. "Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 863-882, December.
    71. Zargar, Faisal Nazir & Kumar, Dilip, 2019. "Informational inefficiency of Bitcoin: A study based on high-frequency data," Research in International Business and Finance, Elsevier, vol. 47(C), pages 344-353.
    72. Paola Stolfi & Mauro Bernardi & Davide Vergni, 2022. "Robust estimation of time-dependent precision matrix with application to the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
    73. Luiz G. A. Alves & Higor Y. D. Sigaki & Matjaz Perc & Haroldo V. Ribeiro, 2020. "Collective dynamics of stock market efficiency," Papers 2011.14809, arXiv.org.
    74. Kumar, Anoop S. & Anandarao, S., 2019. "Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 448-458.
    75. Nassim Dehouche, 2021. "Scale matters: The daily, weekly and monthly volatility and predictability of Bitcoin, Gold, and the S&P 500," Papers 2103.00395, arXiv.org.
    76. Yin, Libo & Nie, Jing & Han, Liyan, 2021. "Understanding cryptocurrency volatility: The role of oil market shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 233-253.
    77. Bhuiyan, Rubaiyat Ahsan & Husain, Afzol & Zhang, Changyong, 2021. "A wavelet approach for causal relationship between bitcoin and conventional asset classes," Resources Policy, Elsevier, vol. 71(C).
    78. C. Y. Tan & Y. B. Koh & K. H. Ng & K. H. Ng, 2019. "Structural Change Analysis of Active Cryptocurrency Market," Papers 1909.10679, arXiv.org.
    79. Ouandlous, Arav & Barkoulas, John T. & Pantos, Themis D., 2022. "Extremity in bitcoin market activity," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    80. T. Takaishi, 2021. "Power-Law Return-Volatility Cross Correlations of Bitcoin," Papers 2102.08187, arXiv.org.
    81. Wang, Yiduan & Zheng, Shenzhou & Zhang, Wei & Wang, Guochao & Wang, Jun, 2018. "Fuzzy entropy complexity and multifractal behavior of statistical physics financial dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 486-498.
    82. Pedro Bação & António Portugal Duarte & Hélder Sebastião & Srdjan Redzepagic, 2018. "Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?," CeBER Working Papers 2018-06, Centre for Business and Economics Research (CeBER), University of Coimbra.
    83. Zura Kakushadze & Jim Kyung-Soo Liew, 2018. "CryptoRuble: From Russia with Love," Papers 1801.05760, arXiv.org.
    84. Carmen López-Martín & Sonia Benito Muela & Raquel Arguedas, 2021. "Efficiency in cryptocurrency markets: new evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 403-431, September.
    85. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, September.
    86. Serif Dilek, 2019. "Cryptocurrencies in the Digital Era: The Role of Technological Trust and Its International Effects," Contributions to Economics, in: Umit Hacioglu (ed.), Blockchain Economics and Financial Market Innovation, chapter 0, pages 453-474, Springer.
    87. Tetsuya Takaishi, 2017. "Statistical properties and multifractality of Bitcoin," Papers 1707.07618, arXiv.org, revised May 2018.
    88. Kristjanpoller, Werner & Bouri, Elie, 2019. "Asymmetric multifractal cross-correlations between the main world currencies and the main cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1057-1071.
    89. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Quantifying the cross-correlations between online searches and Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 657-672.
    90. Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Kang, Sang Hoon, 2019. "Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    91. Riccardo De Blasis, 2023. "Weighted-indexed semi-Markov model: calibration and application to financial modeling," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-16, December.
    92. Kristoufek, Ladislav, 2018. "On Bitcoin markets (in)efficiency and its evolution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 257-262.
    93. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa B. & Stosic, Tatijana, 2019. "Exploring disorder and complexity in the cryptocurrency space," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 548-556.
    94. Angerer, Martin & Hoffmann, Christian Hugo & Neitzert, Florian & Kraus, Sascha, 2021. "Objective and subjective risks of investing into cryptocurrencies," Finance Research Letters, Elsevier, vol. 40(C).
    95. Davide Provenzano & Rodolfo Baggio, 2021. "Complexity traits and synchrony of cryptocurrencies price dynamics," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 941-955, December.
    96. Baumöhl, Eduard, 2019. "Are cryptocurrencies connected to forex? A quantile cross-spectral approach," Finance Research Letters, Elsevier, vol. 29(C), pages 363-372.
    97. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2021. "Cyber-attacks, spillovers and contagion in the cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    98. Vincenzo Candila, 2021. "Multivariate Analysis of Cryptocurrencies," Econometrics, MDPI, vol. 9(3), pages 1-17, July.
    99. Telli, Şahin & Chen, Hongzhuan, 2021. "Multifractal behavior relationship between crypto markets and Wikipedia-Reddit online platforms," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
    100. Telli, Şahin & Chen, Hongzhuan & Zhao, Xufeng, 2022. "Detecting multifractality and exposing distributions of local fluctuations: Detrended fluctuation analysis with descriptive statistics pooling," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
    101. Takaishi, Tetsuya & Adachi, Takanori, 2018. "Taylor effect in Bitcoin time series," Economics Letters, Elsevier, vol. 172(C), pages 5-7.
    102. Serdar Neslihanoglu, 2021. "Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    103. Chaim, Pedro & Laurini, Márcio P., 2019. "Nonlinear dependence in cryptocurrency markets," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 32-47.
    104. Beatriz Vaz de Melo Mendes & André Fluminense Carneiro, 2020. "A Comprehensive Statistical Analysis of the Six Major Crypto-Currencies from August 2015 through June 2020," JRFM, MDPI, vol. 13(9), pages 1-21, August.
    105. Bernd Süssmuth, 2022. "The mutual predictability of Bitcoin and web search dynamics," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 435-454, April.
    106. Panagiotidis, Theodore & Stengos, Thanasis & Vravosinos, Orestis, 2019. "The effects of markets, uncertainty and search intensity on bitcoin returns," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 220-242.
    107. Kliber, Agata & Marszałek, Paweł & Musiałkowska, Ida & Świerczyńska, Katarzyna, 2019. "Bitcoin: Safe haven, hedge or diversifier? Perception of bitcoin in the context of a country’s economic situation — A stochastic volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 246-257.
    108. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
    109. Nakano, Masafumi & Takahashi, Akihiko & Takahashi, Soichiro, 2018. "Bitcoin technical trading with artificial neural network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 587-609.
    110. Bariviera, Aurelio F., 2021. "One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles," Finance Research Letters, Elsevier, vol. 39(C).
    111. Radwanski, Juliusz, 2021. "The Equilibrium Value of Bitcoin," MPRA Paper 110746, University Library of Munich, Germany.
    112. James, Nick & Menzies, Max & Chin, Kevin, 2022. "Economic state classification and portfolio optimisation with application to stagflationary environments," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
    113. Khuntia, Sashikanta & Pattanayak, J.K., 2020. "Adaptive long memory in volatility of intra-day bitcoin returns and the impact of trading volume," Finance Research Letters, Elsevier, vol. 32(C).
    114. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa B. & Stosic, Tatijana, 2018. "Nonextensive triplets in cryptocurrency exchanges," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 1069-1074.
    115. da Silva Filho, Antônio Carlos & Maganini, Natália Diniz & de Almeida, Eduardo Fonseca, 2018. "Multifractal analysis of Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 954-967.
    116. Arthur A. B. Pessa & Matjaz Perc & Haroldo V. Ribeiro, 2023. "Age and market capitalization drive large price variations of cryptocurrencies," Papers 2302.12319, arXiv.org.
    117. Corbet, Shaen & Larkin, Charles & Lucey, Brian & Meegan, Andrew & Yarovaya, Larisa, 2020. "Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position," Journal of Financial Stability, Elsevier, vol. 46(C).
    118. Nick James & Kevin Chin, 2021. "On the systemic nature of global inflation, its association with equity markets and financial portfolio implications," Papers 2111.11022, arXiv.org, revised Jan 2022.
    119. Cristiana Vaz & Rui Pascoal & Helder Sebastião, 2021. "Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis," Mathematics, MDPI, vol. 9(17), pages 1-18, August.
    120. Omane-Adjepong, Maurice & Alagidede, Paul & Akosah, Nana Kwame, 2019. "Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 105-120.
    121. Shrestha, Prabal & Arslan-Ayaydin, Özgür & Thewissen, James & Torsin, Wouter, 2021. "Institutions, regulations and initial coin offerings: An international perspective," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 102-120.
    122. Ramzi Nekhili & Jahangir Sultan, 2020. "Jump Driven Risk Model Performance in Cryptocurrency Market," IJFS, MDPI, vol. 8(2), pages 1-18, April.
    123. Leandro Maciel, 2021. "Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4840-4855, July.
    124. Katsiampa, Paraskevi, 2017. "Volatility estimation for Bitcoin: A comparison of GARCH models," Economics Letters, Elsevier, vol. 158(C), pages 3-6.
    125. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    126. José Antonio Núñez-Mora & Mario Iván Contreras-Valdez & Roberto Joaquín Santillán-Salgado, 2023. "Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach," Mathematics, MDPI, vol. 11(20), pages 1-20, October.
    127. ORĂȘTEAN Ramona & MĂRGINEAN Silvia Cristina & SAVA Raluca, 2019. "Bitcoin In The Scientific Literature – A Bibliometric Study," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 14(3), pages 160-174, December.
    128. Quiroga-Garcia, Raquel & Pariente-Martinez, Natalia & Arenas-Parra, Mar, 2022. "Evidence for round number effects in cryptocurrencies prices," Finance Research Letters, Elsevier, vol. 47(PB).
    129. Kakinaka, Shinji & Umeno, Ken, 2022. "Asymmetric volatility dynamics in cryptocurrency markets on multi-time scales," Research in International Business and Finance, Elsevier, vol. 62(C).
    130. Rodolfo Angelo Magtanggol Iii De Guzman & Mike K. P. So, 2018. "Empirical Analysis Of Bitcoin Prices Using Threshold Time Series Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 1-24, December.
    131. Yaya, OlaOluwa S. & Lukman, Adewale F. & Vo, Xuan Vinh, 2022. "Persistence and volatility spillovers of bitcoin price to gold and silver prices," Resources Policy, Elsevier, vol. 79(C).
    132. Paweł Sakowski & Anna Turovtseva, 2020. "Verification of Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework," Working Papers 2020-41, Faculty of Economic Sciences, University of Warsaw.
    133. da Cunha, C.R. & da Silva, R., 2020. "Relevant stylized facts about bitcoin: Fluctuations, first return probability, and natural phenomena," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
    134. James, Nick & Menzies, Max & Chan, Jennifer, 2021. "Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
    135. Chuxuan Jiang & Priya Dev & Ross A. Maller, 2020. "A Hypothesis Test Method for Detecting Multifractal Scaling, Applied to Bitcoin Prices," JRFM, MDPI, vol. 13(5), pages 1-21, May.
    136. Nie, Chun-Xiao, 2020. "Correlation dynamics in the cryptocurrency market based on dimensionality reduction analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    137. Higor Y. D. Sigaki & Matjaz Perc & Haroldo V. Ribeiro, 2019. "Clustering patterns in efficiency and the coming-of-age of the cryptocurrency market," Papers 1901.04967, arXiv.org.
    138. Colombo, Jefferson A. & Cruz, Fernando I. L. & Paese, Luis H. Z. & Cortes, Renan X., 2021. "The diversification benefits of cryptocurrencies in multi-asset portfolios: cross-country evidence," Textos para discussão 542, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    139. Riska Dwi, Astuti & Nadia, Fazira, 2018. "The Effect of Cryptocurrency on Exchange Rate of China: Case Study of Bitcoin," MPRA Paper 93052, University Library of Munich, Germany, revised 01 Apr 2019.
    140. F. N. M. de Sousa Filho & J. N. Silva & M. A. Bertella & E. Brigatti, 2020. "The leverage effect and other stylized facts displayed by Bitcoin returns," Papers 2004.05870, arXiv.org, revised Jan 2021.
    141. Nick James, 2021. "Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19," Papers 2101.00576, arXiv.org, revised Feb 2021.
    142. Li, Mu-Yao & Cai, Qing & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Exponentially decayed double power-law distribution of Bitcoin trade sizes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    143. James, Nick & Chin, Kevin, 2022. "On the systemic nature of global inflation, its association with equity markets and financial portfolio implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
    144. Lahmiri, Salim & Bekiros, Stelios, 2018. "Chaos, randomness and multi-fractality in Bitcoin market," Chaos, Solitons & Fractals, Elsevier, vol. 106(C), pages 28-34.
    145. Masuhr Andreas & Trede Mark, 2020. "Bayesian estimation of generalized partition of unity copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 119-131, January.
    146. López-Martín, Carmen & Arguedas-Sanz, Raquel & Muela, Sonia Benito, 2022. "A cryptocurrency empirical study focused on evaluating their distribution functions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 387-407.
    147. Zheng, Zhiyong & Lu, Yunfan & Zhang, Junhuan, 2022. "Multiscale complexity fluctuation behaviours of stochastic interacting cryptocurrency price model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
    148. Ghosh, Bikramaditya & Bouri, Elie & Wee, Jung Bum & Zulfiqar, Noshaba, 2023. "Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs," Research in International Business and Finance, Elsevier, vol. 65(C).
    149. Begušić, Stjepan & Kostanjčar, Zvonko & Eugene Stanley, H. & Podobnik, Boris, 2018. "Scaling properties of extreme price fluctuations in Bitcoin markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 400-406.
    150. Jiahua Xu & Benjamin Livshits, 2018. "The Anatomy of a Cryptocurrency Pump-and-Dump Scheme," Papers 1811.10109, arXiv.org, revised Aug 2019.
    151. Dias, Ishanka K. & Fernando, J.M. Ruwani & Fernando, P. Narada D., 2022. "Does investor sentiment predict bitcoin return and volatility? A quantile regression approach," International Review of Financial Analysis, Elsevier, vol. 84(C).
    152. Celeste, Valerio & Corbet, Shaen & Gurdgiev, Constantin, 2020. "Fractal dynamics and wavelet analysis: Deep volatility and return properties of Bitcoin, Ethereum and Ripple," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 310-324.
    153. Walther, Thomas & Klein, Tony & Bouri, Elie, 2019. "Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    154. V Dimitrova & M Fernández-Martínez & M A Sánchez-Granero & J E Trinidad Segovia, 2019. "Some comments on Bitcoin market (in)efficiency," PLOS ONE, Public Library of Science, vol. 14(7), pages 1-14, July.
    155. Francisco Javier García-Corral & José Antonio Cordero-García & Jaime de Pablo-Valenciano & Juan Uribe-Toril, 2022. "A bibliometric review of cryptocurrencies: how have they grown?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
    156. Tetsuya Takaishi, 2021. "Time-varying properties of asymmetric volatility and multifractality in Bitcoin," PLOS ONE, Public Library of Science, vol. 16(2), pages 1-21, February.
    157. Nick James & Max Menzies, 2021. "Efficiency of communities and financial markets during the 2020 pandemic," Papers 2104.02318, arXiv.org, revised Jul 2021.
    158. Venelina Nikolova & Juan E. Trinidad Segovia & Manuel Fernández-Martínez & Miguel Angel Sánchez-Granero, 2020. "A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets," Mathematics, MDPI, vol. 8(8), pages 1-15, July.
    159. Mathieu, Philippe & Morvan, Rémi, 2019. "A deterministic behaviour for realistic price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 33-49.
    160. Derick Quintino & Jessica Campoli & Heloisa Burnquist & Paulo Ferreira, 2020. "Efficiency of the Brazilian Bitcoin: A DFA Approach," IJFS, MDPI, vol. 8(2), pages 1-9, April.
    161. Aysan, Ahmet Faruk & Polat, Ali Yavuz & Tekin, Hasan & Tunali, Ahmet Semih, 2021. "Bitcoin-specific fear sentiment and bitcoin returns in the COVID-19 outbreak," MPRA Paper 110013, University Library of Munich, Germany.
    162. Nick James & Max Menzies, 2021. "Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time," Papers 2107.13926, arXiv.org, revised Dec 2021.
    163. Park, Sangjin & Jang, Kwahngsoo & Yang, Jae-Suk, 2021. "Information flow between bitcoin and other financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    164. Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
    165. Fang, Wen & Tian, Shaolin & Wang, Jun, 2018. "Multiscale fluctuations and complexity synchronization of Bitcoin in China and US markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 109-120.
    166. Omane-Adjepong, Maurice & Alagidede, Imhotep Paul, 2019. "Multiresolution analysis and spillovers of major cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 49(C), pages 191-206.
    167. Pho, Kim Hung & Ly, Sel & Lu, Richard & Hoang, Thi Hong Van & Wong, Wing-Keung, 2021. "Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China," International Review of Financial Analysis, Elsevier, vol. 74(C).
    168. Jiang, Kunliang & Zeng, Linhui & Song, Jiashan & Liu, Yimeng, 2022. "Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model," Research in International Business and Finance, Elsevier, vol. 61(C).
    169. Lennart Ante, 2020. "A place next to Satoshi: foundations of blockchain and cryptocurrency research in business and economics," Scientometrics, Springer;Akadémiai Kiadó, vol. 124(2), pages 1305-1333, August.
    170. James, Nick, 2021. "Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
    171. Nils Bundi & Marc Wildi, 2019. "Bitcoin and market-(in)efficiency: a systematic time series approach," Digital Finance, Springer, vol. 1(1), pages 47-65, November.
    172. Punzo, Antonio & Bagnato, Luca, 2021. "Modeling the cryptocurrency return distribution via Laplace scale mixtures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
    173. Marina Resta & Paolo Pagnottoni & Maria Elena De Giuli, 2020. "Technical Analysis on the Bitcoin Market: Trading Opportunities or Investors’ Pitfall?," Risks, MDPI, vol. 8(2), pages 1-15, May.
    174. Nikolaos A. Kyriazis, 2019. "A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets," JRFM, MDPI, vol. 12(2), pages 1-17, April.
    175. M. Safiullin R. & A. Abdukaeva A. & L. El’shin A. & М. Сафиуллин Р. & А. Абдукаева А. & Л. Ельшин А., 2018. "Методические Подходы К Прогнозированию Динамики Курса Криптовалют С Применением Инструментов Стохастического Анализа (На Примере Биткоина) // Methodological Approaches To Forecasting Dynamics Of Crypt," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 22(4), pages 38-51.
    176. Chan, Wing Hong & Le, Minh & Wu, Yan Wendy, 2019. "Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 107-113.
    177. Ferreira, Paulo & Kristoufek, Ladislav & Pereira, Eder Johnson de Area Leão, 2020. "DCCA and DMCA correlations of cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    178. Tan, Shay-Kee & Chan, Jennifer So-Kuen & Ng, Kok-Haur, 2020. "On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure," Finance Research Letters, Elsevier, vol. 32(C).
    179. Corbet, Shaen & Meegan, Andrew & Larkin, Charles & Lucey, Brian & Yarovaya, Larisa, 2018. "Exploring the dynamic relationships between cryptocurrencies and other financial assets," Economics Letters, Elsevier, vol. 165(C), pages 28-34.
    180. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
    181. Garnier, Josselin & Solna, Knut, 2019. "Chaos and order in the bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 708-721.
    182. Branimir Cvitko Cicvarić, 2020. "Volatility of Cryptocurrencies," Notitia - journal for economic, business and social issues, Notitia Ltd., vol. 1(6), pages 13-23, December.
    183. Takaishi, Tetsuya, 2018. "Statistical properties and multifractality of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 507-519.
    184. Tan, Chia-Yen & Koh, You-Beng & Ng, Kok-Haur & Ng, Kooi-Huat, 2021. "Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    185. Levulytė, Laura & Šapkauskienė, Alfreda, 2021. "Cryptocurrency in context of fiat money functions," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 44-54.
    186. Troster, Victor & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Macedo, Demian Nicolás, 2019. "Bitcoin returns and risk: A general GARCH and GAS analysis," Finance Research Letters, Elsevier, vol. 30(C), pages 187-193.
    187. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.
    188. Pengfei Wang & Wei Zhang & Xiao Li & Dehua Shen, 2019. "Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 377-418, June.
    189. Stjepan Beguv{s}i'c & Zvonko Kostanjv{c}ar & H. Eugene Stanley & Boris Podobnik, 2018. "Scaling properties of extreme price fluctuations in Bitcoin markets," Papers 1803.08405, arXiv.org.
    190. Virk, Nader, 2022. "Bitcoin and integration patterns in the forex market," Finance Research Letters, Elsevier, vol. 44(C).
    191. Zehra Eksi & Daniel Schreitl, 2022. "Closing a Bitcoin Trade Optimally under Partial Information: Performance Assessment of a Stochastic Disorder Model," Mathematics, MDPI, vol. 10(1), pages 1-13, January.
    192. Süssmuth, Bernd, 2019. "Bitcoin and Web Search Query Dynamics: Is the price driving the hype or is the hype driving the price?," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203566, Verein für Socialpolitik / German Economic Association.
    193. Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis Alberiko & Madigu, Godfrey & Romero-Rojo, Fatima, 2020. "Volatility persistence in cryptocurrency markets under structural breaks," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 680-691.
    194. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2018. "An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers," Papers 1808.01926, arXiv.org.
    195. Alaoui, Marwane El & Bouri, Elie & Roubaud, David, 2019. "Bitcoin price–volume: A multifractal cross-correlation approach," Finance Research Letters, Elsevier, vol. 31(C).
    196. C. Vladimir Rodríguez-Caballero & Mauricio Villanueva-Domínguez, 2022. "Predicting cryptocurrency crash dates," Empirical Economics, Springer, vol. 63(6), pages 2855-2873, December.
    197. Tetsuya Takaishi, 2021. "Time-varying properties of asymmetric volatility and multifractality in Bitcoin," Papers 2102.07425, arXiv.org.
    198. Muhammad Ali Nasir & Toan Luu Duc Huynh & Sang Phu Nguyen & Duy Duong, 2019. "Forecasting cryptocurrency returns and volume using search engines," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-13, December.
    199. Nick James, 2021. "Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities," Papers 2112.15321, arXiv.org, revised Mar 2022.
    200. Pele, Daniel Traian & Wesselhöfft, Niels & Härdle, Wolfgang Karl & Kolossiatis, Michalis & Yatracos, Yannis, 2019. "Phenotypic convergence of cryptocurrencies," IRTG 1792 Discussion Papers 2019-018, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    201. Corbet, Shaen & Katsiampa, Paraskevi, 2020. "Asymmetric mean reversion of Bitcoin price returns," International Review of Financial Analysis, Elsevier, vol. 71(C).
    202. Korotin, Vladimir & Dolgonosov, Maxim & Popov, Victor & Korotina, Olesya & Korolkova, Inna, 2019. "The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 156-168.
    203. Onur Özdemir, 2022. "Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
    204. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa B. & Stosic, Tatijana, 2019. "Multifractal behavior of price and volume changes in the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 54-61.
    205. Andrea Flori, 2019. "Cryptocurrencies In Finance: Review And Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-22, August.
    206. Mawuli Segnon & Stelios Bekiros, 2019. "Forecasting Volatility in Cryptocurrency Markets," CQE Working Papers 7919, Center for Quantitative Economics (CQE), University of Muenster.
    207. Alves, P.R.L., 2020. "Dynamic characteristic of Bitcoin cryptocurrency in the reconstruction scheme," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).

  14. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2017. "Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers," Papers 1704.04442, arXiv.org.

    Cited by:

    1. Anis Hoayek & Hassan Hamie & Hans Auer, 2020. "Modeling the Price Stability and Predictability of Post Liberalized Gas Markets Using the Theory of Information," Post-Print emse-03604655, HAL.
    2. Wang, Xinghua & Lee, Zhengzheng & Wu, Shuang & Qin, Meng, 2023. "Exploring the vital role of geopolitics in the oil market: The case of Russia," Resources Policy, Elsevier, vol. 85(PB).
    3. Argyroudis, George S. & Siokis, Fotios M., 2019. "Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 576-586.
    4. Parker, Edgar, 2017. "The Entropic Linkage between Equity and Bond Market Dynamics," MPRA Paper 80036, University Library of Munich, Germany.
    5. Su, Chi-Wei & Khan, Khalid & Tao, Ran & Nicoleta-Claudia, Moldovan, 2019. "Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia," Energy, Elsevier, vol. 187(C).
    6. Li, Sufang & Tu, Dalun & Zeng, Yan & Gong, Chenggang & Yuan, Di, 2022. "Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data," Energy Economics, Elsevier, vol. 113(C).
    7. Su, Chi-Wei & Khan, Khalid & Tao, Ran & Umar, Muhammad, 2020. "A review of resource curse burden on inflation in Venezuela," Energy, Elsevier, vol. 204(C).
    8. Monge, Manuel & Romero Rojo, María Fátima & Gil-Alana, Luis Alberiko, 2023. "The impact of geopolitical risk on the behavior of oil prices and freight rates," Energy, Elsevier, vol. 269(C).
    9. Korotin, Vladimir & Dolgonosov, Maxim & Popov, Victor & Korotina, Olesya & Korolkova, Inna, 2019. "The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 156-168.

  15. Aurelio F. Bariviera, 2017. "The inefficiency of Bitcoin revisited: a dynamic approach," Papers 1709.08090, arXiv.org.

    Cited by:

    1. Gideon Boako & Aviral Kumar Tiwari & David Roubaud, 2019. "Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market," International Economics, CEPII research center, issue 158, pages 77-90.
    2. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021. "Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
    3. Peter Fratrič & Giovanni Sileno & Sander Klous & Tom Engers, 2022. "Manipulation of the Bitcoin market: an agent-based study," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-29, December.
    4. Afees A. Salisu & Aviral Kumar Tiwari & Ibrahim D. Raheem, 2018. "Analysing the distribution properties of Bitcoin returns," Working Papers 058, Centre for Econometric and Allied Research, University of Ibadan.
    5. Urquhart, Andrew, 2018. "What causes the attention of Bitcoin?," Economics Letters, Elsevier, vol. 166(C), pages 40-44.
    6. Christie Smith & Aaron Kumar, 2018. "Crypto‐Currencies – An Introduction To Not‐So‐Funny Moneys," Journal of Economic Surveys, Wiley Blackwell, vol. 32(5), pages 1531-1559, December.
    7. Guglielmo Maria Caporale & Woo-Young Kang, 2020. "Bitcoin Price Co-Movements and Culture," CESifo Working Paper Series 8076, CESifo.
    8. Omane-Adjepong, Maurice & Alagidede, Imhotep Paul, 2020. "High- and low-level chaos in the time and frequency market returns of leading cryptocurrencies and emerging assets," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).
    9. Andrea Barbon & Angelo Ranaldo, 2022. "On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges," Swiss Finance Institute Research Paper Series 22-38, Swiss Finance Institute.
    10. Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
    11. Hu, Yang & Valera, Harold Glenn A. & Oxley, Les, 2019. "Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework," Finance Research Letters, Elsevier, vol. 31(C), pages 138-145.
    12. Mensi, Walid & Sensoy, Ahmet & Aslan, Aylin & Kang, Sang Hoon, 2019. "High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    13. Kim, Wonse & Lee, Junseok & Kang, Kyungwon, 2020. "The effects of the introduction of Bitcoin futures on the volatility of Bitcoin returns," Finance Research Letters, Elsevier, vol. 33(C).
    14. Jamal Bouoiyour & Refk Selmi, 2019. "How do futures contracts affect Bitcoin prices ?," Post-Print hal-02126234, HAL.
    15. Ardia, David & Bluteau, Keven & Rüede, Maxime, 2019. "Regime changes in Bitcoin GARCH volatility dynamics," Finance Research Letters, Elsevier, vol. 29(C), pages 266-271.
    16. Duan, Kun & Li, Zeming & Urquhart, Andrew & Ye, Jinqiang, 2021. "Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
    17. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2018. "Bitcoin Technical Trading with Articial Neural Network," CIRJE F-Series CIRJE-F-1090, CIRJE, Faculty of Economics, University of Tokyo.
    18. Aloosh, Arash & Ouzan, Samuel, 2020. "The psychology of cryptocurrency prices," Finance Research Letters, Elsevier, vol. 33(C).
    19. Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen, 2018. "Some stylized facts of the cryptocurrency market," Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5950-5965, November.
    20. Cagli, Efe Caglar, 2019. "Explosive behavior in the prices of Bitcoin and altcoins," Finance Research Letters, Elsevier, vol. 29(C), pages 398-403.
    21. Aslan, Aylin & Sensoy, Ahmet, 2020. "Intraday efficiency-frequency nexus in the cryptocurrency markets," Finance Research Letters, Elsevier, vol. 35(C).
    22. Parthajit Kayal & Purnima Rohilla, 2021. "Bitcoin in the economics and finance literature: a survey," SN Business & Economics, Springer, vol. 1(7), pages 1-21, July.
    23. Kraaijeveld, Olivier & De Smedt, Johannes, 2020. "The predictive power of public Twitter sentiment for forecasting cryptocurrency prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    24. Guégan, Dominique & Renault, Thomas, 2021. "Does investor sentiment on social media provide robust information for Bitcoin returns predictability?," Finance Research Letters, Elsevier, vol. 38(C).
    25. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2021. "Inflation and Bitcoin: A descriptive time-series analysis," Economics Letters, Elsevier, vol. 203(C).
    26. Wu, Wanshan & Tiwari, Aviral Kumar & Gozgor, Giray & Leping, Huang, 2021. "Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures," Research in International Business and Finance, Elsevier, vol. 58(C).
    27. Sebastião, Helder & Godinho, Pedro, 2020. "Bitcoin futures: An effective tool for hedging cryptocurrencies," Finance Research Letters, Elsevier, vol. 33(C).
    28. Sapkota, Niranjan & Grobys, Klaus, 2021. "Asset market equilibria in cryptocurrency markets: Evidence from a study of privacy and non-privacy coins," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    29. Yaya, OlaOluwa S & Ogbonna, Ephraim A & Olubusoye, Olusanya E, 2018. "How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?," MPRA Paper 91253, University Library of Munich, Germany.
    30. Eross, Andrea & McGroarty, Frank & Urquhart, Andrew & Wolfe, Simon, 2019. "The intraday dynamics of bitcoin," Research in International Business and Finance, Elsevier, vol. 49(C), pages 71-81.
    31. Katsiampa, Paraskevi, 2019. "An empirical investigation of volatility dynamics in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 50(C), pages 322-335.
    32. Liu, Keshi & Weng, Tongfeng & Gu, Changgui & Yang, Huijie, 2020. "Visibility graph analysis of Bitcoin price series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    33. Zura Kakushadze & Jim Kyung-Soo Liew, 2020. "Coronavirus: Case for Digital Money?," Papers 2005.10154, arXiv.org.
    34. Khalid Khan & Jiluo Sun & Sinem Derindere Koseoglu & Ashfaq U. Rehman, 2021. "Revisiting Bitcoin Price Behavior Under Global Economic Uncertainty," SAGE Open, , vol. 11(3), pages 21582440211, August.
    35. Nektarios Aslanidis & Aurelio F. Bariviera & Alejandro Perez-Laborda, 2020. "Are cryptocurrencies becoming more interconnected?," Papers 2009.14561, arXiv.org.
    36. Turattia, Douglas Eduardo & Mendes, Fernando Henrique P.S. & Caldeira, João Frois, 2020. "Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization," Finance Research Letters, Elsevier, vol. 34(C).
    37. Tetsuya Takaishi & Takanori Adachi, 2019. "Market efficiency, liquidity, and multifractality of Bitcoin: A dynamic study," Papers 1902.09253, arXiv.org.
    38. Christian Masiak & Joern H. Block & Tobias Masiak & Matthias Neuenkirch & Katja N. Pielen, 2020. "Initial coin offerings (ICOs): market cycles and relationship with bitcoin and ether," Small Business Economics, Springer, vol. 55(4), pages 1113-1130, December.
    39. Eugene Tartakovsky & Ksenia Plesovskikh & Anastasiia Sarmakeeva & Alexander Bibik, 2020. "Autocorrelation of returns in major cryptocurrency markets," Papers 2003.13517, arXiv.org, revised Mar 2020.
    40. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1703, DIW Berlin, German Institute for Economic Research.
    41. Natália Costa & César Silva & Paulo Ferreira, 2019. "Long-Range Behaviour and Correlation in DFA and DCCA Analysis of Cryptocurrencies," IJFS, MDPI, vol. 7(3), pages 1-12, September.
    42. Stefano Martinazzi & Daniele Regoli & Andrea Flori, 2020. "A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network," Risks, MDPI, vol. 8(4), pages 1-18, December.
    43. Akihiko Noda, 2019. "On the Evolution of Cryptocurrency Market Efficiency," Papers 1904.09403, arXiv.org, revised Jul 2020.
    44. Gilles Hilary & Laura Xiaolei Liu, 2021. "Blockchain and Other Distributed Ledger Technologies in Finance," Springer Books, in: Raghavendra Rau & Robert Wardrop & Luigi Zingales (ed.), The Palgrave Handbook of Technological Finance, pages 243-268, Springer.
    45. Yi, Eojin & Ahn, Kwangwon & Choi, M.Y., 2022. "Cryptocurrency: Not far from equilibrium," Technological Forecasting and Social Change, Elsevier, vol. 177(C).
    46. Alexander Brauneis & Roland Mestel & Ryan Riordan & Erik Theissen, 2018. "A High-Frequency Analysis of Bitcoin Markets," Working Paper Series, Social and Economic Sciences 2018-06, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    47. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    48. Platanakis, Emmanouil & Urquhart, Andrew, 2020. "Should investors include Bitcoin in their portfolios? A portfolio theory approach," The British Accounting Review, Elsevier, vol. 52(4).
    49. Zura Kakushadze & Willie Yu, 2019. "iCurrency?," Papers 1911.01272, arXiv.org, revised Nov 2019.
    50. Tzouvanas, Panagiotis & Kizys, Renatas & Tsend-Ayush, Bayasgalan, 2020. "Momentum trading in cryptocurrencies: Short-term returns and diversification benefits," Economics Letters, Elsevier, vol. 191(C).
    51. Kosc, Krzysztof & Sakowski, Paweł & Ślepaczuk, Robert, 2019. "Momentum and contrarian effects on the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 691-701.
    52. Gkillas, Konstantinos & Katsiampa, Paraskevi, 2018. "An application of extreme value theory to cryptocurrencies," Economics Letters, Elsevier, vol. 164(C), pages 109-111.
    53. Hu, Bill & McInish, Thomas & Miller, Jonathan & Zeng, Li, 2019. "Intraday price behavior of cryptocurrencies," Finance Research Letters, Elsevier, vol. 28(C), pages 337-342.
    54. Mensi, Walid & Ur Rehman, Mobeen & Maitra, Debasish & Hamed Al-Yahyaee, Khamis & Sensoy, Ahmet, 2020. "Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach," Research in International Business and Finance, Elsevier, vol. 53(C).
    55. Mawuli Segnon & Stelios Bekiros, 2020. "Forecasting volatility in bitcoin market," Annals of Finance, Springer, vol. 16(3), pages 435-462, September.
    56. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David, 2019. "Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 37-51.
    57. Ángeles Cebrián-Hernández & Enrique Jiménez-Rodríguez, 2021. "Modeling of the Bitcoin Volatility through Key Financial Environment Variables: An Application of Conditional Correlation MGARCH Models," Mathematics, MDPI, vol. 9(3), pages 1-16, January.
    58. Zargar, Faisal Nazir & Kumar, Dilip, 2019. "Informational inefficiency of Bitcoin: A study based on high-frequency data," Research in International Business and Finance, Elsevier, vol. 47(C), pages 344-353.
    59. Liu, Weiyi, 2019. "Portfolio diversification across cryptocurrencies," Finance Research Letters, Elsevier, vol. 29(C), pages 200-205.
    60. Vladimir Puzyrev, 2019. "Deep convolutional autoencoder for cryptocurrency market analysis," Papers 1910.12281, arXiv.org.
    61. Yu, Dejian & Pan, Tianxing, 2021. "Tracing the main path of interdisciplinary research considering citation preference: A case from blockchain domain," Journal of Informetrics, Elsevier, vol. 15(2).
    62. Aurelio F. Bariviera & Angelo Plastino & George Judge, 2018. "Spurious Seasonality Detection: A Non-Parametric Test Proposal," Econometrics, MDPI, vol. 6(1), pages 1-15, January.
    63. Gil-Alana, Luis Alberiko & Abakah, Emmanuel Joel Aikins & Rojo, María Fátima Romero, 2020. "Cryptocurrencies and stock market indices. Are they related?," Research in International Business and Finance, Elsevier, vol. 51(C).
    64. Pal, Debdatta & Mitra, Subrata K., 2019. "Hedging bitcoin with other financial assets," Finance Research Letters, Elsevier, vol. 30(C), pages 30-36.
    65. Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2021. "Bitcoin versus high-performance technology stocks in diversifying against global stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
    66. Takahiro Hattori & Ryo Ishida, 2021. "The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 105-114, January.
    67. Pedro Bação & António Portugal Duarte & Hélder Sebastião & Srdjan Redzepagic, 2018. "Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?," CeBER Working Papers 2018-06, Centre for Business and Economics Research (CeBER), University of Coimbra.
    68. Zura Kakushadze & Jim Kyung-Soo Liew, 2018. "CryptoRuble: From Russia with Love," Papers 1801.05760, arXiv.org.
    69. Carmen López-Martín & Sonia Benito Muela & Raquel Arguedas, 2021. "Efficiency in cryptocurrency markets: new evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 403-431, September.
    70. Natalia A. Van Heerden & Juan B. Cabral & Nadia Luczywo, 2021. "Evaluation of the importance of criteria for the selection of cryptocurrencies," Papers 2109.00130, arXiv.org.
    71. Baig, Ahmed & Blau, Benjamin M. & Sabah, Nasim, 2019. "Price clustering and sentiment in bitcoin," Finance Research Letters, Elsevier, vol. 29(C), pages 111-116.
    72. Donglian Ma & Pengxiang Zhai, 2021. "The Accuracy of the Tick Rule in the Bitcoin Market," SAGE Open, , vol. 11(2), pages 21582440211, May.
    73. Yuzhi Cai & Thanaset Chevapatrakul & Danilo V. Mascia, 2021. "How is price explosivity triggered in the cryptocurrency markets?," Annals of Operations Research, Springer, vol. 307(1), pages 37-51, December.
    74. Guglielmo Maria Caporale & Alex Plastun, 2020. "Momentum effects in the cryptocurrency market after one-day abnormal returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 251-266, September.
    75. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Quantifying the cross-correlations between online searches and Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 657-672.
    76. Arouxet, M. Belén & Bariviera, Aurelio F. & Pastor, Verónica E. & Vampa, Victoria, 2022. "Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    77. Yuanyuan Zhang & Stephen Chan & Jeffrey Chu & Hana Sulieman, 2020. "On the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market," JRFM, MDPI, vol. 13(1), pages 1-14, January.
    78. Leopoldo Catania & Mads Sandholdt, 2019. "Bitcoin at High Frequency," JRFM, MDPI, vol. 12(1), pages 1-20, February.
    79. Vladimir Soloviev & Andrey Belinskiy, 2018. "Methods of nonlinear dynamics and the construction of cryptocurrency crisis phenomena precursors," Papers 1807.05837, arXiv.org, revised Jul 2018.
    80. Kristoufek, Ladislav, 2018. "On Bitcoin markets (in)efficiency and its evolution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 257-262.
    81. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    82. Davide Provenzano & Rodolfo Baggio, 2021. "Complexity traits and synchrony of cryptocurrencies price dynamics," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 941-955, December.
    83. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2021. "Cyber-attacks, spillovers and contagion in the cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    84. Qing Shi & Xiaoqi Sun, 2020. "A Scientometric Review of Digital Currency and Electronic Payment Research: A Network Perspective," Complexity, Hindawi, vol. 2020, pages 1-17, November.
    85. Huthaifa Alqaralleh & Alaa Adden Abuhommous & Ahmad Alsaraireh, 2020. "Modelling and Forecasting the Volatility of Cryptocurrencies: A Comparison of Nonlinear GARCH-Type Models," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(4), pages 346-356, July.
    86. Donglian Ma & Hisashi Tanizaki, 2022. "Intraday patterns of price clustering in Bitcoin," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
    87. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.
    88. Lee, Seungho & Meslmani, Nabil El & Switzer, Lorne N., 2020. "Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets," Research in International Business and Finance, Elsevier, vol. 53(C).
    89. Tianyu Ray Li & Anup S. Chamrajnagar & Xander R. Fong & Nicholas R. Rizik & Feng Fu, 2018. "Sentiment-Based Prediction of Alternative Cryptocurrency Price Fluctuations Using Gradient Boosting Tree Model," Papers 1805.00558, arXiv.org.
    90. Muhammad Owais Qarni & Saiqb Gulzar, 2021. "Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
    91. Hashem A. AlNemer & Besma Hkiri & Muhammed Asif Khan, 2021. "Time-Varying Nexus between Investor Sentiment and Cryptocurrency Market: New Insights from a Wavelet Coherence Framework," JRFM, MDPI, vol. 14(6), pages 1-19, June.
    92. Beatriz Vaz de Melo Mendes & André Fluminense Carneiro, 2020. "A Comprehensive Statistical Analysis of the Six Major Crypto-Currencies from August 2015 through June 2020," JRFM, MDPI, vol. 13(9), pages 1-21, August.
    93. Burggraf, Tobias & Rudolf, Markus, 2021. "Cryptocurrencies and the low volatility anomaly," Finance Research Letters, Elsevier, vol. 40(C).
    94. Panagiotidis, Theodore & Stengos, Thanasis & Vravosinos, Orestis, 2019. "The effects of markets, uncertainty and search intensity on bitcoin returns," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 220-242.
    95. Akyildirim, Erdinc & Corbet, Shaen & Lucey, Brian & Sensoy, Ahmet & Yarovaya, Larisa, 2020. "The relationship between implied volatility and cryptocurrency returns," Finance Research Letters, Elsevier, vol. 33(C).
    96. Khanh Hoang & Cuong C. Nguyen & Kongchheng Poch & Thang X. Nguyen, 2020. "Does Bitcoin Hedge Commodity Uncertainty?," JRFM, MDPI, vol. 13(6), pages 1-14, June.
    97. Chu, Jeffrey & Zhang, Yuanyuan & Chan, Stephen, 2019. "The adaptive market hypothesis in the high frequency cryptocurrency market," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 221-231.
    98. Fajardo, José, 2019. "Bitcoin's return behaviour: What do We know so far?," MPRA Paper 93353, University Library of Munich, Germany, revised 16 Apr 2019.
    99. Nakano, Masafumi & Takahashi, Akihiko & Takahashi, Soichiro, 2018. "Bitcoin technical trading with artificial neural network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 587-609.
    100. Bariviera, Aurelio F., 2021. "One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles," Finance Research Letters, Elsevier, vol. 39(C).
    101. Taoufik Bouraoui, 2020. "The drivers of Bitcoin trading volume in selected emerging countries," Post-Print hal-03004413, HAL.
    102. Khuntia, Sashikanta & Pattanayak, J.K., 2020. "Adaptive long memory in volatility of intra-day bitcoin returns and the impact of trading volume," Finance Research Letters, Elsevier, vol. 32(C).
    103. Chaim, Pedro & Laurini, Márcio P., 2018. "Volatility and return jumps in bitcoin," Economics Letters, Elsevier, vol. 173(C), pages 158-163.
    104. Tandon, Anushree & Kaur, Puneet & Mäntymäki, Matti & Dhir, Amandeep, 2021. "Blockchain applications in management: A bibliometric analysis and literature review," Technological Forecasting and Social Change, Elsevier, vol. 166(C).
    105. Johannes Stübinger & Lucas Schneider, 2019. "Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500," JRFM, MDPI, vol. 12(2), pages 1-19, April.
    106. Urquhart, Andrew & Zhang, Hanxiong, 2019. "Is Bitcoin a hedge or safe haven for currencies? An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 49-57.
    107. Tetsuya Takaishi & Takanori Adachi, 2020. "Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 145-154, March.
    108. Erdinc Akyildirim & Ahmet Goncu & Ahmet Sensoy, 2021. "Prediction of cryptocurrency returns using machine learning," Annals of Operations Research, Springer, vol. 297(1), pages 3-36, February.
    109. Wang, Qiyu & Chong, Terence Tai-Leung, 2021. "Factor pricing of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    110. Cristiana Vaz & Rui Pascoal & Helder Sebastião, 2021. "Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis," Mathematics, MDPI, vol. 9(17), pages 1-18, August.
    111. Omane-Adjepong, Maurice & Alagidede, Paul & Akosah, Nana Kwame, 2019. "Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 105-120.
    112. Haffar, Adlane & Le Fur, Eric, 2021. "Structural vector error correction modelling of Bitcoin price," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 170-178.
    113. Takaishi, Tetsuya, 2020. "Rough volatility of Bitcoin," Finance Research Letters, Elsevier, vol. 32(C).
    114. Corbet, Shaen & Lucey, Brian & Yarovaya, Larisa, 2021. "Bitcoin-energy markets interrelationships - New evidence," Resources Policy, Elsevier, vol. 70(C).
    115. Jiang, Yonghong & Lie, Jiayi & Wang, Jieru & Mu, Jinqi, 2021. "Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective," Economic Modelling, Elsevier, vol. 95(C), pages 21-34.
    116. Brauneis, Alexander & Mestel, Roland, 2018. "Price discovery of cryptocurrencies: Bitcoin and beyond," Economics Letters, Elsevier, vol. 165(C), pages 58-61.
    117. Sercan Demiralay & Selçuk Bayracı, 2021. "Should stock investors include cryptocurrencies in their portfolios after all? Evidence from a conditional diversification benefits measure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6188-6204, October.
    118. Jaros{l}aw Kwapie'n & Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z, 2021. "Cryptocurrency Market Consolidation in 2020--2021," Papers 2112.06552, arXiv.org.
    119. Leandro Maciel, 2021. "Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4840-4855, July.
    120. R. K. Jana & Aviral Kumar Tiwari & Shawkat Hammoudeh, 2019. "The Inefficiency of Litecoin: A Dynamic Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 447-457, June.
    121. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    122. ORĂȘTEAN Ramona & MĂRGINEAN Silvia Cristina & SAVA Raluca, 2019. "Bitcoin In The Scientific Literature – A Bibliometric Study," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 14(3), pages 160-174, December.
    123. Toan Luu Duc Huynh & Muhammad Shahbaz & Muhammad Ali Nasir & Subhan Ullah, 2022. "Financial modelling, risk management of energy instruments and the role of cryptocurrencies," Annals of Operations Research, Springer, vol. 313(1), pages 47-75, June.
    124. Böyükaslan, Adem & Ecer, Fatih, 2021. "Determination of drivers for investing in cryptocurrencies through a fuzzy full consistency method-Bonferroni (FUCOM-F’B) framework," Technology in Society, Elsevier, vol. 67(C).
    125. Sensoy, Ahmet, 2019. "The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies," Finance Research Letters, Elsevier, vol. 28(C), pages 68-73.
    126. Grobys, Klaus & Sapkota, Niranjan, 2019. "Cryptocurrencies and momentum," Economics Letters, Elsevier, vol. 180(C), pages 6-10.
    127. Ahmed, Shaker & Grobys, Klaus & Sapkota, Niranjan, 2020. "Profitability of technical trading rules among cryptocurrencies with privacy function," Finance Research Letters, Elsevier, vol. 35(C).
    128. Alvarez-Ramirez, Jose & Rodriguez, Eduardo, 2021. "A singular value decomposition approach for testing the efficiency of Bitcoin and Ethereum markets," Economics Letters, Elsevier, vol. 206(C).
    129. da Cunha, C.R. & da Silva, R., 2020. "Relevant stylized facts about bitcoin: Fluctuations, first return probability, and natural phenomena," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
    130. Nikolaos A. Kyriazis, 2019. "A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets," JRFM, MDPI, vol. 12(4), pages 1-17, November.
    131. Chuxuan Jiang & Priya Dev & Ross A. Maller, 2020. "A Hypothesis Test Method for Detecting Multifractal Scaling, Applied to Bitcoin Prices," JRFM, MDPI, vol. 13(5), pages 1-21, May.
    132. Nektarios Aslanidis & Aurelio F. Bariviera & Oscar Martinez-Iba~nez, 2018. "An analysis of cryptocurrencies conditional cross correlations," Papers 1811.08365, arXiv.org, revised Feb 2019.
    133. Zargar, Faisal Nazir & Kumar, Dilip, 2019. "Long range dependence in the Bitcoin market: A study based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 625-640.
    134. Wang, Pengfei & Li, Xiao & Shen, Dehua & Zhang, Wei, 2020. "How does economic policy uncertainty affect the bitcoin market?," Research in International Business and Finance, Elsevier, vol. 53(C).
    135. Siwen Zhou, 2021. "Exploring the driving forces of the Bitcoin currency exchange rate dynamics: an EGARCH approach," Empirical Economics, Springer, vol. 60(2), pages 557-606, February.
    136. Chan, Stephen & Chu, Jeffrey & Zhang, Yuanyuan & Nadarajah, Saralees, 2022. "An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
    137. Li, Mu-Yao & Cai, Qing & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Exponentially decayed double power-law distribution of Bitcoin trade sizes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    138. Shu, Min & Zhu, Wei, 2020. "Real-time prediction of Bitcoin bubble crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 548(C).
    139. Zhou, Siwen, 2018. "Exploring the Driving Forces of the Bitcoin Exchange Rate Dynamics: An EGARCH Approach," MPRA Paper 89445, University Library of Munich, Germany.
    140. Merediz-Solà, Ignasi & Bariviera, Aurelio F., 2019. "A bibliometric analysis of bitcoin scientific production," Research in International Business and Finance, Elsevier, vol. 50(C), pages 294-305.
    141. Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2019. "Bitcoin fluctuations and the frequency of price overreactions," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 109-131, June.
    142. Majid Mirzaee Ghazani & Mohammad Ali Jafari, 2021. "Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
    143. Walther, Thomas & Klein, Tony & Bouri, Elie, 2019. "Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    144. V Dimitrova & M Fernández-Martínez & M A Sánchez-Granero & J E Trinidad Segovia, 2019. "Some comments on Bitcoin market (in)efficiency," PLOS ONE, Public Library of Science, vol. 14(7), pages 1-14, July.
    145. Francisco Javier García-Corral & José Antonio Cordero-García & Jaime de Pablo-Valenciano & Juan Uribe-Toril, 2022. "A bibliometric review of cryptocurrencies: how have they grown?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
    146. Cheah, Eng-Tuck & Mishra, Tapas & Parhi, Mamata & Zhang, Zhuang, 2018. "Long Memory Interdependency and Inefficiency in Bitcoin Markets," Economics Letters, Elsevier, vol. 167(C), pages 18-25.
    147. Robert Hudson & Andrew Urquhart, 2021. "Technical trading and cryptocurrencies," Annals of Operations Research, Springer, vol. 297(1), pages 191-220, February.
    148. Lepomäki, Laura & Kanniainen, Juho & Hansen, Henri, 2021. "Retaliation in Bitcoin networks," Economics Letters, Elsevier, vol. 203(C).
    149. Derick Quintino & Jessica Campoli & Heloisa Burnquist & Paulo Ferreira, 2020. "Efficiency of the Brazilian Bitcoin: A DFA Approach," IJFS, MDPI, vol. 8(2), pages 1-9, April.
    150. Aslanidis, Nektarios & Fernández Bariviera, Aurelio & Savva, Christos S., 2020. "Weekly dynamic conditional correlations among cryptocurrencies and traditional assets," Working Papers 2072/417680, Universitat Rovira i Virgili, Department of Economics.
    151. Chinnadurai Kathiravan & Murugesan Selvam & Balasundram Maniam & Sankaran Venkateswar & J. Gayathri & Amrutha Pavithran, 2019. "Effect of Weather on Cryptocurrency Index: Evidences From Coinbase Index," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(4), pages 108-118, July.
    152. Ahmed, Walid M.A., 2020. "Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin," Journal of Economics and Business, Elsevier, vol. 108(C).
    153. Ahmed H. Elsayed & Giray Gozgor & Chi Keung Marco Lau, 2022. "Causality and dynamic spillovers among cryptocurrencies and currency markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2026-2040, April.
    154. Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
    155. Fang, Wen & Tian, Shaolin & Wang, Jun, 2018. "Multiscale fluctuations and complexity synchronization of Bitcoin in China and US markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 109-120.
    156. Ibikunle, Gbenga & McGroarty, Frank & Rzayev, Khaladdin, 2020. "More heat than light: Investor attention and bitcoin price discovery," International Review of Financial Analysis, Elsevier, vol. 69(C).
    157. Omane-Adjepong, Maurice & Alagidede, Imhotep Paul, 2019. "Multiresolution analysis and spillovers of major cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 49(C), pages 191-206.
    158. Yu, Dejian & Sheng, Libo, 2021. "Influence difference main path analysis: Evidence from DNA and blockchain domain citation networks," Journal of Informetrics, Elsevier, vol. 15(4).
    159. Ante, Lennart & Fiedler, Ingo, 2021. "Market reaction to large transfers on the Bitcoin blockchain - Do size and motive matter?," Finance Research Letters, Elsevier, vol. 39(C).
    160. Lennart Ante, 2020. "A place next to Satoshi: foundations of blockchain and cryptocurrency research in business and economics," Scientometrics, Springer;Akadémiai Kiadó, vol. 124(2), pages 1305-1333, August.
    161. Brauneis, Alexander & Mestel, Roland, 2019. "Cryptocurrency-portfolios in a mean-variance framework," Finance Research Letters, Elsevier, vol. 28(C), pages 259-264.
    162. Tseng, Fang-Mei & Palma Gil, Eunice Ina N. & Lu, Louis Y.Y., 2021. "Developmental trajectories of blockchain research and its major subfields," Technology in Society, Elsevier, vol. 66(C).
    163. Paulo Ferreira & Éder Pereira, 2019. "Contagion Effect in Cryptocurrency Market," JRFM, MDPI, vol. 12(3), pages 1-8, July.
    164. Thomas Dimpfl & Stefania Odelli, 2020. "Bitcoin Price Risk—A Durations Perspective," JRFM, MDPI, vol. 13(7), pages 1-18, July.
    165. Nils Bundi & Marc Wildi, 2019. "Bitcoin and market-(in)efficiency: a systematic time series approach," Digital Finance, Springer, vol. 1(1), pages 47-65, November.
    166. Zura Kakushadze & Ronald P. Russo Jr, 2018. "Blockchain: Data Malls, Coin Economies and Keyless Payments," Papers 1802.07422, arXiv.org, revised Apr 2018.
    167. Delia-Elena Diaconaşu & Seyed Mehdian & Ovidiu Stoica, 2022. "An analysis of investors’ behavior in Bitcoin market," PLOS ONE, Public Library of Science, vol. 17(3), pages 1-18, March.
    168. Jong-Min Kim & Chulhee Jun & Junyoup Lee, 2021. "Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility," Mathematics, MDPI, vol. 9(14), pages 1-16, July.
    169. Nikolaos A. Kyriazis, 2019. "A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets," JRFM, MDPI, vol. 12(2), pages 1-17, April.
    170. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Al-Jarrah, Idries Mohammad Wanas & Hamdi, Atef & Kang, Sang Hoon, 2019. "Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 104-120.
    171. Demir, Ender & Gozgor, Giray & Lau, Chi Keung Marco & Vigne, Samuel A., 2018. "Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation," Finance Research Letters, Elsevier, vol. 26(C), pages 145-149.
    172. Shimeng Shi & Yukun Shi, 2021. "Bitcoin futures: trade it or ban it?," The European Journal of Finance, Taylor & Francis Journals, vol. 27(4-5), pages 381-396, March.
    173. Wu, Chuanzhen, 2021. "Window effect with Markov-switching GARCH model in cryptocurrency market," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
    174. Ferreira, Paulo & Kristoufek, Ladislav & Pereira, Eder Johnson de Area Leão, 2020. "DCCA and DMCA correlations of cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    175. Grobys, Klaus & Ahmed, Shaker & Sapkota, Niranjan, 2020. "Technical trading rules in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 32(C).
    176. Khuntia, Sashikanta & Pattanayak, J.K., 2018. "Adaptive market hypothesis and evolving predictability of bitcoin," Economics Letters, Elsevier, vol. 167(C), pages 26-28.
    177. Corbet, Shaen & Meegan, Andrew & Larkin, Charles & Lucey, Brian & Yarovaya, Larisa, 2018. "Exploring the dynamic relationships between cryptocurrencies and other financial assets," Economics Letters, Elsevier, vol. 165(C), pages 28-34.
    178. Wajdi Moussa & Nidhal Mgadmi & Rym Regaïeg & Abdelhafidh Othmani, 2020. "Non-linear adjustment of the Bitcoin–US dollar exchange rate," Digital Finance, Springer, vol. 2(1), pages 143-158, September.
    179. David Vidal-Tomás & Ana M. Ibáñez & José E. Farinós, 2021. "The Effect of the Launch of Bitcoin Futures on the Cryptocurrency Market: An Economic Efficiency Approach," Mathematics, MDPI, vol. 9(4), pages 1-14, February.
    180. Levulytė, Laura & Šapkauskienė, Alfreda, 2021. "Cryptocurrency in context of fiat money functions," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 44-54.
    181. Tiwari, Aviral Kumar & Adewuyi, Adeolu O. & Albulescu, Claudiu T. & Wohar, Mark E., 2020. "Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    182. Troster, Victor & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Macedo, Demian Nicolás, 2019. "Bitcoin returns and risk: A general GARCH and GAS analysis," Finance Research Letters, Elsevier, vol. 30(C), pages 187-193.
    183. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.
    184. Pengfei Wang & Wei Zhang & Xiao Li & Dehua Shen, 2019. "Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 377-418, June.
    185. Dejian Yu & Libo Sheng, 2020. "Knowledge diffusion paths of blockchain domain: the main path analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 125(1), pages 471-497, October.
    186. Manahov, Viktor & Urquhart, Andrew, 2021. "The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    187. Zhang, Shuai & Hou, Xinyu & Ba, Shusong, 2021. "What determines interest rates for bitcoin lending?," Research in International Business and Finance, Elsevier, vol. 58(C).
    188. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
    189. Dastgir, Shabbir & Demir, Ender & Downing, Gareth & Gozgor, Giray & Lau, Chi Keung Marco, 2019. "The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test," Finance Research Letters, Elsevier, vol. 28(C), pages 160-164.
    190. Narayan, Paresh Kumar & Narayan, Seema & Eki Rahman, R. & Setiawan, Iwan, 2019. "Bitcoin price growth and Indonesia's monetary system," Emerging Markets Review, Elsevier, vol. 38(C), pages 364-376.
    191. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2018. "An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers," Papers 1808.01926, arXiv.org.
    192. Helder Sebastião & Pedro Godinho, 2021. "Forecasting and trading cryptocurrencies with machine learning under changing market conditions," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-30, December.
    193. R. K. Jana & Indranil Ghosh & Debojyoti Das, 2021. "A differential evolution-based regression framework for forecasting Bitcoin price," Annals of Operations Research, Springer, vol. 306(1), pages 295-320, November.
    194. Timothy King & Dimitrios Koutmos, 2021. "Herding and feedback trading in cryptocurrency markets," Annals of Operations Research, Springer, vol. 300(1), pages 79-96, May.
    195. Andrea Flori, 2019. "Cryptocurrencies In Finance: Review And Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-22, August.
    196. Vidal-Tomás, David & Ibáñez, Ana M. & Farinós, José E., 2019. "Herding in the cryptocurrency market: CSSD and CSAD approaches," Finance Research Letters, Elsevier, vol. 30(C), pages 181-186.
    197. Mawuli Segnon & Stelios Bekiros, 2019. "Forecasting Volatility in Cryptocurrency Markets," CQE Working Papers 7919, Center for Quantitative Economics (CQE), University of Muenster.

  16. Lisana B. Martinez & M. Belen Guercio & Aurelio F. Bariviera & Antonio Terce~no, 2016. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Papers 1605.06700, arXiv.org.

    Cited by:

    1. Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
    2. Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
    3. Bariviera, Aurelio F. & Fabregat-Aibar, Laura & Sorrosal-Forradellas, Maria-Teresa, 2023. "Disentangling the impact of economic and health crises on financial markets," Research in International Business and Finance, Elsevier, vol. 65(C).

  17. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2016. "Libor at crossroads: stochastic switching detection using information theory quantifiers," Papers 1603.02874, arXiv.org.

    Cited by:

    1. Duarte Queirós, Sílvio M. & Anteneodo, Celia, 2016. "Complexity in quantitative finance and economics," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 1-2.
    2. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    3. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2017. "Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers," Papers 1704.04442, arXiv.org.
    4. Liu, Zhengli & Shang, Pengjian & Wang, Yuanyuan, 2020. "Characterization of time series through information quantifiers," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).

  18. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "A permutation Information Theory tour through different interest rate maturities: the Libor case," Papers 1509.00217, arXiv.org.

    Cited by:

    1. Fernandes, Leonardo H.S. & Araújo, Fernando H.A., 2020. "Taxonomy of commodities assets via complexity-entropy causality plane," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
    2. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2016. "Libor at crossroads: stochastic switching detection using information theory quantifiers," Papers 1603.02874, arXiv.org.
    3. Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
    4. Aquino, Andre L.L. & Ramos, Heitor S. & Frery, Alejandro C. & Viana, Leonardo P. & Cavalcante, Tamer S.G. & Rosso, Osvaldo A., 2017. "Characterization of electric load with Information Theory quantifiers," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 277-284.
    5. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    6. Fa-Bin Shi & Xiao-Qian Sun & Jin-Hua Gao & Li Xu & Hua-Wei Shen & Xue-Qi Cheng, 2019. "Anomaly detection in Bitcoin market via price return analysis," PLOS ONE, Public Library of Science, vol. 14(6), pages 1-11, June.
    7. Fernandes, Leonardo H.S. & de Araújo, Fernando H.A. & Silva, Igor E.M. & Neto, Jusie S.P., 2021. "Macroeconophysics indicator of economic efficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
    8. Silva, Antonio Samuel Alves & Menezes, Rômulo Simões Cezar & Rosso, Osvaldo A. & Stosic, Borko & Stosic, Tatijana, 2021. "Complexity entropy-analysis of monthly rainfall time series in northeastern Brazil," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
    9. de Araujo, Fernando Henrique Antunes & Bejan, Lucian & Stosic, Borko & Stosic, Tatijana, 2020. "An analysis of Brazilian agricultural commodities using permutation – information theory quantifiers: The influence of food crisis," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    10. Fernandes, Leonardo H.S. & Bouri, Elie & Silva, José W.L. & Bejan, Lucian & de Araujo, Fernando H.A., 2022. "The resilience of cryptocurrency market efficiency to COVID-19 shock," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    11. Bariviera, Aurelio F. & Martín, María T. & Plastino, Angelo & Vampa, Victoria, 2016. "LIBOR troubles: Anomalous movements detection based on maximum entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 401-407.
    12. Fernandes, Leonardo H.S. & de Araujo, Fernando H.A. & Tabak, Benjamin M., 2021. "Insights from the (in)efficiency of Chinese sectoral indices during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 578(C).
    13. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2017. "Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers," Papers 1704.04442, arXiv.org.
    14. Akgüller, Ömer & Balcı, Mehmet Ali, 2018. "Geodetic convex boundary curvatures of the communities in stock market networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 569-581.
    15. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    16. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
    17. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2018. "An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers," Papers 1808.01926, arXiv.org.

  19. Aurelio Fernandez Bariviera & M. Bel'en Guercio & Lisana B. Martinez, 2015. "Data manipulation detection via permutation information theory quantifiers," Papers 1501.04123, arXiv.org.

    Cited by:

    1. Bariviera, Aurelio F. & Martín, María T. & Plastino, Angelo & Vampa, Victoria, 2016. "LIBOR troubles: Anomalous movements detection based on maximum entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 401-407.
    2. Dániel Horváth & Eszter Makay, 2015. "Analysis methodology of interbank reference rates - International trends and the results of the first Hungarian annual statistical analysis for 2014," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 14(2), pages 62-88.
    3. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "A permutation Information Theory tour through different interest rate maturities: the Libor case," Papers 1509.00217, arXiv.org.

  20. Aurelio F. Bariviera & M. Bel'en Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "The (in)visible hand in the Libor market: an Information Theory approach," Papers 1508.04748, arXiv.org.

    Cited by:

    1. Fernandes, Leonardo H.S. & Araújo, Fernando H.A., 2020. "Taxonomy of commodities assets via complexity-entropy causality plane," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
    2. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2016. "Libor at crossroads: stochastic switching detection using information theory quantifiers," Papers 1603.02874, arXiv.org.
    3. Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
    4. Aquino, Andre L.L. & Ramos, Heitor S. & Frery, Alejandro C. & Viana, Leonardo P. & Cavalcante, Tamer S.G. & Rosso, Osvaldo A., 2017. "Characterization of electric load with Information Theory quantifiers," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 277-284.
    5. Wang, Zhenpo & Hong, Jichao & Liu, Peng & Zhang, Lei, 2017. "Voltage fault diagnosis and prognosis of battery systems based on entropy and Z-score for electric vehicles," Applied Energy, Elsevier, vol. 196(C), pages 289-302.
    6. Bariviera, Aurelio F. & Martín, María T. & Plastino, Angelo & Vampa, Victoria, 2016. "LIBOR troubles: Anomalous movements detection based on maximum entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 401-407.
    7. Rodríguez-López, Araceli & Fernández-Abascal, Hermenegildo & Maté-García, Jorge-Julio & Rodríguez-Fernández, José-Miguel & Rojo-García, José-Luis & Sanz-Gómez, José-Antonio, 2021. "Evaluating Euribor Manipulation: Effects on Mortgage Borrowers," Finance Research Letters, Elsevier, vol. 40(C).
    8. Argyroudis, George S. & Siokis, Fotios M., 2019. "Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 576-586.
    9. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    10. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
    11. Miśkiewicz, Janusz, 2016. "Improving quality of sample entropy estimation for continuous distribution probability functions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 473-485.
    12. Eduarda T. C. Chagas & Marcelo Queiroz‐Oliveira & Osvaldo A. Rosso & Heitor S. Ramos & Cristopher G. S. Freitas & Alejandro C. Frery, 2022. "White Noise Test from Ordinal Patterns in the Entropy–Complexity Plane," International Statistical Review, International Statistical Institute, vol. 90(2), pages 374-396, August.
    13. Siokis, Fotios M., 2018. "Credit market Jitters in the course of the financial crisis: A permutation entropy approach in measuring informational efficiency in financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 266-275.
    14. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2018. "An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers," Papers 1808.01926, arXiv.org.

  21. Aurelio F. Bariviera & Luciano Zunino & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "Efficiency and credit ratings: a permutation-information-theory analysis," Papers 1509.01839, arXiv.org.

    Cited by:

    1. Jiamin Yu, 2021. "Three fundamental problems in risk modeling on big data: an information theory view," Papers 2109.03541, arXiv.org.
    2. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
    3. Aurelio Fernández Bariviera & M. Belén Guercio & Lisana B. Martinez, 2014. "Informational Efficiency in Distressed Markets: The Case of European Corporate Bonds," The Economic and Social Review, Economic and Social Studies, vol. 45(3), pages 349-369.

  22. Aurelio F. Bariviera & M. T. Martin & A. Plastino & V. Vampa, 2015. "LIBOR troubles: anomalous movements detection based on Maximum Entropy," Papers 1508.04512, arXiv.org.

    Cited by:

    1. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2016. "Libor at crossroads: stochastic switching detection using information theory quantifiers," Papers 1603.02874, arXiv.org.
    2. Fa-Bin Shi & Xiao-Qian Sun & Jin-Hua Gao & Li Xu & Hua-Wei Shen & Xue-Qi Cheng, 2019. "Anomaly detection in Bitcoin market via price return analysis," PLOS ONE, Public Library of Science, vol. 14(6), pages 1-11, June.
    3. Lee, Kang-Bok & Han, Sumin & Jeong, Yeasung, 2020. "COVID-19, flattening the curve, and Benford’s law," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).

  23. Eduardo Zambrano & Alberto Hernando & Aurelio Fernandez-Bariviera & Ricardo Hernando & Angelo Plastino, 2015. "Thermodynamics of firms' growth," Papers 1504.07666, arXiv.org.

    Cited by:

    1. Hazan, Aurélien, 2019. "A maximum entropy network reconstruction of macroeconomic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 519(C), pages 1-17.
    2. Merediz-Solà, Ignasi & Bariviera, Aurelio F., 2019. "A bibliometric analysis of bitcoin scientific production," Research in International Business and Finance, Elsevier, vol. 50(C), pages 294-305.

Articles

  1. Aslanidis, Nektarios & Bariviera, Aurelio F. & López, Óscar G., 2022. "The link between cryptocurrencies and Google Trends attention," Finance Research Letters, Elsevier, vol. 47(PA).
    See citations under working paper version above.
  2. Reyes, Gary & Lanzarini, Laura & Estrebou, Cesar & Bariviera, Aurelio F., 2022. "Dynamic grouping of vehicle trajectories [Agrupamiento dinámico de trayectorias vehiculares]," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 22(2), pages 141-150.

    Cited by:

    1. Gary Reyes & Roberto Tolozano-Benites & Laura Lanzarini & César Estrebou & Aurelio F. Bariviera & Julio Barzola-Monteses, 2023. "Methodology for the Identification of Vehicle Congestion Based on Dynamic Clustering," Sustainability, MDPI, vol. 15(24), pages 1-18, December.

  3. Erdinc Akyildirim & Aurelio F. Bariviera & Duc Khuong Nguyen & Ahmet Sensoy, 2022. "Forecasting high-frequency stock returns: a comparison of alternative methods," Annals of Operations Research, Springer, vol. 313(2), pages 639-690, June.

    Cited by:

    1. Orte, Francisco & Mira, José & Sánchez, María Jesús & Solana, Pablo, 2023. "A random forest-based model for crypto asset forecasts in futures markets with out-of-sample prediction," Research in International Business and Finance, Elsevier, vol. 64(C).

  4. Arouxet, M. Belén & Bariviera, Aurelio F. & Pastor, Verónica E. & Vampa, Victoria, 2022. "Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    See citations under working paper version above.
  5. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    See citations under working paper version above.
  6. Bariviera, Aurelio F., 2021. "One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles," Finance Research Letters, Elsevier, vol. 39(C).
    See citations under working paper version above.
  7. Aslanidis, Nektarios & Bariviera, Aurelio F. & Perez-Laborda, Alejandro, 2021. "Are cryptocurrencies becoming more interconnected?," Economics Letters, Elsevier, vol. 199(C).
    See citations under working paper version above.
  8. M. Belén Guercio & Lisana B. Martinez & Aurelio F. Bariviera & Valeria Scherger, 2020. "Credit Crunch or Loan Demand Shortage: What Is the Problem with the SMEs’ Financing?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 70(6), pages 521-540, December.

    Cited by:

    1. Marie Finnegan & Supriya Kapoor, 2023. "ECB unconventional monetary policy and SME access to finance," Small Business Economics, Springer, vol. 61(3), pages 1253-1288, October.

  9. Patricia Jimbo Santana & Laura Lanzarini & Aurelio F. Bariviera, 2019. "Variations of Particle Swarm Optimization for Obtaining Classification Rules Applied to Credit Risk in Financial Institutions of Ecuador," Risks, MDPI, vol. 8(1), pages 1-14, December.

    Cited by:

    1. Tatiana Yu. Kudryavtseva & Angi E. Skhvediani & Maiia S. Leukhina & Alexandra O. Schneider, 2023. "A Fuzzy Model for Personnel Risk Analysis: Case of Russian-Finnish Export-Import Operations of Small and Medium Enterprises," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 22(3), pages 683-709.

  10. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).

    Cited by:

    1. Fernandes, Leonardo H.S. & de Araujo, Fernando H.A. & Silva, José W.L. & Tabak, Benjamin Miranda, 2022. "Booms in commodities price: Assessing disorder and similarity over economic cycles," Resources Policy, Elsevier, vol. 79(C).
    2. de Araujo, Fernando Henrique Antunes & Bejan, Lucian & Stosic, Borko & Stosic, Tatijana, 2020. "An analysis of Brazilian agricultural commodities using permutation – information theory quantifiers: The influence of food crisis," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    3. Fernandes, Leonardo H.S. & Bouri, Elie & Silva, José W.L. & Bejan, Lucian & de Araujo, Fernando H.A., 2022. "The resilience of cryptocurrency market efficiency to COVID-19 shock," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    4. Zhang, Guangyong & Jiang, Le & Tian, Lixin & Fu, Min, 2021. "Analysis of the gold fixing price fluctuation in different times based on the directed weighted networks," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    5. Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2020. "Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices," Resources Policy, Elsevier, vol. 69(C).
    6. Olivares, Felipe & Zunino, Luciano, 2020. "Multiscale dynamics under the lens of permutation entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
    7. Chirwa, Themba G & Odhiambo, Nicholas M, 2020. "Determinants of gold price movements:An empirical investigation in the presence of mutliple structural breaks," Working Papers 26643, University of South Africa, Department of Economics.
    8. Bhatia, Madhur, 2023. "On the efficiency of the gold returns: An econometric exploration for India, USA and Brazil," Resources Policy, Elsevier, vol. 82(C).

  11. M. Belén Guercio & Lisana B. Martinez & Aurelio F. Bariviera, 2019. "SME Steeplechase: When Obtaining Money Is Harder Than Innovating," IJFS, MDPI, vol. 7(2), pages 1-14, May.

    Cited by:

    1. Lisana B. Martinez & M. Belén Guercio & Aurelio F. Bariviera, 2022. "A meta‐analysis of SMEs literature based on the survey on access to finance of enterprises of the European central bank," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1870-1885, April.
    2. Marie Finnegan & Supriya Kapoor, 2023. "ECB unconventional monetary policy and SME access to finance," Small Business Economics, Springer, vol. 61(3), pages 1253-1288, October.
    3. Melesse, Wondemhunegn Ezezew, 2020. "Determinants of debt ratio levels among small-scale manufacturing enterprises in Ethiopia: Do government policies matter?," MPRA Paper 103240, University Library of Munich, Germany.

  12. Aslanidis, Nektarios & Bariviera, Aurelio F. & Martínez-Ibañez, Oscar, 2019. "An analysis of cryptocurrencies conditional cross correlations," Finance Research Letters, Elsevier, vol. 31(C), pages 130-137.
    See citations under working paper version above.
  13. Merediz-Solà, Ignasi & Bariviera, Aurelio F., 2019. "A bibliometric analysis of bitcoin scientific production," Research in International Business and Finance, Elsevier, vol. 50(C), pages 294-305.
    See citations under working paper version above.
  14. Aurelio F. Bariviera & Angelo Plastino & George Judge, 2018. "Spurious Seasonality Detection: A Non-Parametric Test Proposal," Econometrics, MDPI, vol. 6(1), pages 1-15, January.
    See citations under working paper version above.
  15. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    See citations under working paper version above.
  16. Bariviera, Aurelio F. & Basgall, María José & Hasperué, Waldo & Naiouf, Marcelo, 2017. "Some stylized facts of the Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 82-90.
    See citations under working paper version above.
  17. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    See citations under working paper version above.
  18. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2016. "Crude Oil Market And Geopolitical Events: An Analysis Based On Information-Theory-Based Quantifiers," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 21(1), pages 41-51, May.
    See citations under working paper version above.
  19. Bariviera, Aurelio F. & Martín, María T. & Plastino, Angelo & Vampa, Victoria, 2016. "LIBOR troubles: Anomalous movements detection based on maximum entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 401-407.
    See citations under working paper version above.
  20. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.

    Cited by:

    1. Christoph Bandt, 2020. "Order patterns, their variation and change points in financial time series and Brownian motion," Statistical Papers, Springer, vol. 61(4), pages 1565-1588, August.
    2. Albarracín E., Eva Susana & Gamboa, Juan C. Rodríguez & Marques, Elaine C.M. & Stosic, Tatijana, 2019. "Complexity analysis of Brazilian agriculture and energy market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 933-941.
    3. Trindade, Marco A.S. & Floquet, Sergio & Filho, Lourival M. Silva, 2020. "Portfolio theory, information theory and Tsallis statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    4. Fernandes, Leonardo H.S. & de Araujo, Fernando H.A. & Tabak, Benjamin M., 2021. "Insights from the (in)efficiency of Chinese sectoral indices during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 578(C).
    5. Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
    6. Polanco-Martínez, J.M. & Fernández-Macho, J. & Neumann, M.B. & Faria, S.H., 2018. "A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1211-1227.
    7. Argyroudis, George S. & Siokis, Fotios M., 2019. "Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 576-586.
    8. Parker, Edgar, 2017. "The Entropic Linkage between Equity and Bond Market Dynamics," MPRA Paper 80036, University Library of Munich, Germany.
    9. Christoph Bandt, 2019. "Order patterns, their variation and change points in financial time series and Brownian motion," Papers 1910.09978, arXiv.org.
    10. Liu, Zhengli & Shang, Pengjian & Wang, Yuanyuan, 2020. "Characterization of time series through information quantifiers," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).
    11. Siokis, Fotios M., 2018. "Credit market Jitters in the course of the financial crisis: A permutation entropy approach in measuring informational efficiency in financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 266-275.

  21. Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Libor at crossroads: Stochastic switching detection using information theory quantifiers," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 172-182.
    See citations under working paper version above.
  22. Aurelio Fernandez Bariviera & María Belén Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "The (in)visible hand in the Libor market: an information theory approach," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 88(8), pages 1-9, August.
    See citations under working paper version above.
  23. Aurelio Fernández Bariviera & M. Belén Guercio & Lisana B. Martinez, 2014. "Informational Efficiency in Distressed Markets: The Case of European Corporate Bonds," The Economic and Social Review, Economic and Social Studies, vol. 45(3), pages 349-369.

    Cited by:

    1. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    2. Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
    3. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
    4. Arouxet, M. Belén & Bariviera, Aurelio F. & Pastor, Verónica E. & Vampa, Victoria, 2022. "Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    5. Kuzu, Erkan & Süsay, Aynur & Tanrıöven, Cihan, 2022. "A model study for calculation of the temperatures of major stock markets in the world with the quantum simulation and determination of the crisis periods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 585(C).
    6. Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
    7. Polanco-Martínez, J.M. & Fernández-Macho, J. & Neumann, M.B. & Faria, S.H., 2018. "A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1211-1227.
    8. Constantin Anghelache & Radu Titus MARINESCU & Bodo Gyorgy & Ihab Jweida S J JWEIDA & Andreea-Ioana MARINESCU, 2016. "The Role of Information to Market Study," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(9), pages 100-112, September.
    9. Bariviera, Aurelio F. & Fabregat-Aibar, Laura & Sorrosal-Forradellas, Maria-Teresa, 2023. "Disentangling the impact of economic and health crises on financial markets," Research in International Business and Finance, Elsevier, vol. 65(C).
    10. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    11. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
    12. Alvarez-Ramirez, J. & Rodriguez, E. & Ibarra-Valdez, C., 2020. "Medium-term cycles in the dynamics of the Dow Jones Index for the period 1985–2019," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 546(C).
    13. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "Efficiency of Thai stock markets: Detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 204-209.
    14. Ferreira, Paulo, 2018. "Efficiency or speculation? A time-varying analysis of European sovereign debt," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1295-1308.

  24. Aurelio Fernández Bariviera & Luciano Zunino & María Belén Guercio & Lisana Martinez & Osvaldo Rosso, 2013. "Revisiting the European sovereign bonds with a permutation-information-theory approach," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 86(12), pages 1-10, December.

    Cited by:

    1. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2016. "Libor at crossroads: stochastic switching detection using information theory quantifiers," Papers 1603.02874, arXiv.org.
    2. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    3. Argyroudis, George S. & Siokis, Fotios M., 2019. "Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 576-586.
    4. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
    5. Aurelio F. Bariviera & M. Bel'en Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "The (in)visible hand in the Libor market: an Information Theory approach," Papers 1508.04748, arXiv.org.
    6. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2018. "An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers," Papers 1808.01926, arXiv.org.

  25. Sorrosal Forradellas, M. T. & Barberà-Mariné, M. G. & Fernández Bariviera, Aurelio & Garbajosa-Cabello, M. J., 2012. "Advantages Of Using Self-Organizing Maps To Analyse Student Evaluations Of Teaching," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(1), pages 53-71, May.

    Cited by:

    1. Marco Aurélio de Oliveira & Antonio Schalata Pacheco & André Hideto Futami & Luiz Veriano Oliveira Dalla Valentina & Carlos Alberto Flesch, 2023. "Self‐organizing maps and Bayesian networks in organizational modelling: A case study in innovation projects management," Systems Research and Behavioral Science, Wiley Blackwell, vol. 40(1), pages 61-87, January.

  26. Bariviera, A.F. & Guercio, M. Belén & Martinez, Lisana B., 2012. "A comparative analysis of the informational efficiency of the fixed income market in seven European countries," Economics Letters, Elsevier, vol. 116(3), pages 426-428.

    Cited by:

    1. Massimo Guidolin & Manuela Pedio & Alessandra tosi, 2019. "Time-Varying Price Discovery in Sovereign Credit Markets," BAFFI CAREFIN Working Papers 19120, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    2. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    3. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2016. "Libor at crossroads: stochastic switching detection using information theory quantifiers," Papers 1603.02874, arXiv.org.
    4. Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
    5. Tsai, Hui-Ju, 2014. "The informational efficiency of bonds and stocks: The role of institutional sized bond trades," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 34-45.
    6. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
    7. Vinodh Madhavan & Rakesh Arrawatia, 2016. "Relative Efficiency of G8 Sovereign Credit Default Swaps and Bond Scrips: An Adaptive Market Hypothesis Perspective," Studies in Microeconomics, , vol. 4(2), pages 127-150, December.
    8. Aurelio F. Bariviera & Angelo Plastino & George Judge, 2018. "Spurious Seasonality Detection: A Non-Parametric Test Proposal," Econometrics, MDPI, vol. 6(1), pages 1-15, January.
    9. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2017. "Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers," Papers 1704.04442, arXiv.org.
    10. Arouxet, M. Belén & Bariviera, Aurelio F. & Pastor, Verónica E. & Vampa, Victoria, 2022. "Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    11. Kuzu, Erkan & Süsay, Aynur & Tanrıöven, Cihan, 2022. "A model study for calculation of the temperatures of major stock markets in the world with the quantum simulation and determination of the crisis periods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 585(C).
    12. Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
    13. Polanco-Martínez, J.M. & Fernández-Macho, J. & Neumann, M.B. & Faria, S.H., 2018. "A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1211-1227.
    14. Argyroudis, George S. & Siokis, Fotios M., 2019. "Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 576-586.
    15. Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
    16. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    17. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
    18. Martinez, Lisana B. & Terceño, Antonio & Teruel, Mercedes, 2013. "Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis," Emerging Markets Review, Elsevier, vol. 17(C), pages 60-75.
    19. Aurelio F. Bariviera & M. Bel'en Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "The (in)visible hand in the Libor market: an Information Theory approach," Papers 1508.04748, arXiv.org.
    20. Kim Oosterlinck & Jeremy Simon, 2015. "Financial Repression and Bond Market Efficiency: the Case of Italy during World War II," Working Papers CEB 15-001, ULB -- Universite Libre de Bruxelles.
    21. Siokis, Fotios M., 2018. "Credit market Jitters in the course of the financial crisis: A permutation entropy approach in measuring informational efficiency in financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 266-275.
    22. A. Gómez-Águila & J. E. Trinidad-Segovia & M. A. Sánchez-Granero, 2022. "Improvement in Hurst exponent estimation and its application to financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-21, December.
    23. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "A permutation Information Theory tour through different interest rate maturities: the Libor case," Papers 1509.00217, arXiv.org.
    24. Ferreira, Paulo, 2018. "Efficiency or speculation? A time-varying analysis of European sovereign debt," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1295-1308.
    25. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2018. "An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers," Papers 1808.01926, arXiv.org.

  27. Zunino, Luciano & Fernández Bariviera, Aurelio & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2012. "On the efficiency of sovereign bond markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(18), pages 4342-4349.

    Cited by:

    1. Boitan, Iustina Alina & Marchewka-Bartkowiak, Kamilla, 2022. "Climate change and the pricing of sovereign debt: Insights from European markets," Research in International Business and Finance, Elsevier, vol. 62(C).
    2. Fernandes, Leonardo H.S. & Araújo, Fernando H.A., 2020. "Taxonomy of commodities assets via complexity-entropy causality plane," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
    3. Aurelio F. Bariviera & Luciano Zunino & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "Efficiency and credit ratings: a permutation-information-theory analysis," Papers 1509.01839, arXiv.org.
    4. Christian Rudolf RICHTER & Bachar FAKHRY, 2016. "Testing the Efficiency of the GIPS Sovereign Debt Markets using an Asymmetrical Volatility Test," Journal of Economics and Political Economy, KSP Journals, vol. 3(3), pages 524-535, September.
    5. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2016. "Libor at crossroads: stochastic switching detection using information theory quantifiers," Papers 1603.02874, arXiv.org.
    6. Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
    7. Sensoy, Ahmet & Fabozzi, Frank J. & Eraslan, Veysel, 2017. "Predictability dynamics of emerging sovereign CDS markets," Economics Letters, Elsevier, vol. 161(C), pages 5-9.
    8. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    9. López Pérez, Mario & Mansilla Corona, Ricardo, 2022. "Ordinal synchronization and typical states in high-frequency digital markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
    10. Tsai, Hui-Ju, 2014. "The informational efficiency of bonds and stocks: The role of institutional sized bond trades," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 34-45.
    11. Dias, João, 2017. "Unemployment and sovereign debt crisis in the Eurozone: A k-means-r analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 108-117.
    12. Christoph Bandt, 2020. "Order patterns, their variation and change points in financial time series and Brownian motion," Statistical Papers, Springer, vol. 61(4), pages 1565-1588, August.
    13. Fong, Tom Pak Wing & Wu, Shui Tang, 2020. "Predictability in sovereign bond returns using technical trading rules: Do developed and emerging markets differ?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    14. Shariq Ahmad Bhat, 2018. "Informational efficiency of sovereign bond markets of India and China: evidence from Toda and Yamamoto Granger causality (1995)," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(4), pages 313-323, December.
    15. Conterius, Simeon & Akimov, Alexandr & Su, Jen-Je & Roca, Eduardo, 2023. "Do foreign investors have a positive impact on the domestic government bonds market? A panel pooled mean group approach," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 863-875.
    16. Bachar FAKHRY, 2016. "A Literature Review of the Efficient Market Hypothesis," Turkish Economic Review, KSP Journals, vol. 3(3), pages 431-442, September.
    17. Luiz G. A. Alves & Higor Y. D. Sigaki & Matjaz Perc & Haroldo V. Ribeiro, 2020. "Collective dynamics of stock market efficiency," Papers 2011.14809, arXiv.org.
    18. Aurelio F. Bariviera & Angelo Plastino & George Judge, 2018. "Spurious Seasonality Detection: A Non-Parametric Test Proposal," Econometrics, MDPI, vol. 6(1), pages 1-15, January.
    19. Aurelio Fernandez Bariviera & M. Bel'en Guercio & Lisana B. Martinez, 2015. "Data manipulation detection via permutation information theory quantifiers," Papers 1501.04123, arXiv.org.
    20. Trindade, Marco A.S. & Floquet, Sergio & Filho, Lourival M. Silva, 2020. "Portfolio theory, information theory and Tsallis statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    21. Lars Tegtmeier, 2021. "Testing the Efficiency of Globally Listed Private Equity Markets," JRFM, MDPI, vol. 14(7), pages 1-16, July.
    22. Fernandes, Leonardo H.S. & de Araujo, Fernando H.A. & Tabak, Benjamin M., 2021. "Insights from the (in)efficiency of Chinese sectoral indices during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 578(C).
    23. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2017. "Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers," Papers 1704.04442, arXiv.org.
    24. Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
    25. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa B. & Stosic, Tatijana, 2019. "Exploring disorder and complexity in the cryptocurrency space," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 548-556.
    26. Akgüller, Ömer & Balcı, Mehmet Ali, 2018. "Geodetic convex boundary curvatures of the communities in stock market networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 569-581.
    27. Zunino, Luciano & Ribeiro, Haroldo V., 2016. "Discriminating image textures with the multiscale two-dimensional complexity-entropy causality plane," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 679-688.
    28. Hung Diep & Gabriel Desgranges, 2021. "Dynamics of the price behavior in stock markets: A statistical physics approach," Post-Print hal-03637808, HAL.
    29. Argyroudis, George S. & Siokis, Fotios M., 2019. "Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 576-586.
    30. Parker, Edgar, 2017. "The Entropic Linkage between Equity and Bond Market Dynamics," MPRA Paper 80036, University Library of Munich, Germany.
    31. Dias, João, 2013. "Spanning trees and the Eurozone crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5974-5984.
    32. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    33. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
    34. Higor Y. D. Sigaki & Matjaz Perc & Haroldo V. Ribeiro, 2019. "Clustering patterns in efficiency and the coming-of-age of the cryptocurrency market," Papers 1901.04967, arXiv.org.
    35. Christoph Bandt, 2019. "Order patterns, their variation and change points in financial time series and Brownian motion," Papers 1910.09978, arXiv.org.
    36. Lahmiri, Salim & Bekiros, Stelios, 2018. "Chaos, randomness and multi-fractality in Bitcoin market," Chaos, Solitons & Fractals, Elsevier, vol. 106(C), pages 28-34.
    37. Mario L'opez P'erez & Ricardo Mansilla, 2021. "Ordinal Synchronization and Typical States in High-Frequency Digital Markets," Papers 2110.07047, arXiv.org, revised Mar 2022.
    38. Martinez, Lisana B. & Terceño, Antonio & Teruel, Mercedes, 2013. "Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis," Emerging Markets Review, Elsevier, vol. 17(C), pages 60-75.
    39. Aurelio F. Bariviera & M. Bel'en Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "The (in)visible hand in the Libor market: an Information Theory approach," Papers 1508.04748, arXiv.org.
    40. Kim Oosterlinck & Jeremy Simon, 2015. "Financial Repression and Bond Market Efficiency: the Case of Italy during World War II," Working Papers CEB 15-001, ULB -- Universite Libre de Bruxelles.
    41. Eduarda T. C. Chagas & Marcelo Queiroz‐Oliveira & Osvaldo A. Rosso & Heitor S. Ramos & Cristopher G. S. Freitas & Alejandro C. Frery, 2022. "White Noise Test from Ordinal Patterns in the Entropy–Complexity Plane," International Statistical Review, International Statistical Institute, vol. 90(2), pages 374-396, August.
    42. Siokis, Fotios M., 2018. "Credit market Jitters in the course of the financial crisis: A permutation entropy approach in measuring informational efficiency in financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 266-275.
    43. D’Amico, Guglielmo & Scocchera, Stefania & Storchi, Loriano, 2018. "Financial risk distribution in European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 252-267.
    44. Ferreira, Paulo, 2018. "Efficiency or speculation? A time-varying analysis of European sovereign debt," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1295-1308.
    45. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2018. "An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers," Papers 1808.01926, arXiv.org.

  28. Bariviera, Aurelio Fernández, 2011. "The influence of liquidity on informational efficiency: The case of the Thai Stock Market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4426-4432.

    Cited by:

    1. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    2. Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
    3. Tsai, Hui-Ju, 2014. "The informational efficiency of bonds and stocks: The role of institutional sized bond trades," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 34-45.
    4. Bariviera, A.F. & Guercio, M. Belén & Martinez, Lisana B., 2012. "A comparative analysis of the informational efficiency of the fixed income market in seven European countries," Economics Letters, Elsevier, vol. 116(3), pages 426-428.
    5. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
    6. Nicholas Addai Boamah, 2021. "Integration, investor protection rules and global informational inefficiency of emerging financial markets," SN Business & Economics, Springer, vol. 1(6), pages 1-22, June.
    7. Aurelio F. Bariviera & Angelo Plastino & George Judge, 2018. "Spurious Seasonality Detection: A Non-Parametric Test Proposal," Econometrics, MDPI, vol. 6(1), pages 1-15, January.
    8. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2017. "Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers," Papers 1704.04442, arXiv.org.
    9. Anju Bala & Kapil Gupta, 2020. "Examining The Long Memory In Stock Returns And Liquidity In India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 25-43.
    10. Gao, Yang & Li, Yunhai & Wang, Yaojun & Wang, Chao & Liu, Chao, 2019. "Asymptotic comparison of three spread estimators based on Roll’s model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 420-432.
    11. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    12. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
    13. Aurelio F. Bariviera & M. Bel'en Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "The (in)visible hand in the Libor market: an Information Theory approach," Papers 1508.04748, arXiv.org.
    14. Aurelio Fernández Bariviera & M. Belén Guercio & Lisana B. Martinez, 2014. "Informational Efficiency in Distressed Markets: The Case of European Corporate Bonds," The Economic and Social Review, Economic and Social Studies, vol. 45(3), pages 349-369.
    15. Todea, Alexandru & Pleşoianu, Anita, 2013. "The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets," Economic Modelling, Elsevier, vol. 33(C), pages 34-41.
    16. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "Efficiency of Thai stock markets: Detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 204-209.
    17. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "A permutation Information Theory tour through different interest rate maturities: the Libor case," Papers 1509.00217, arXiv.org.
    18. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2018. "An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers," Papers 1808.01926, arXiv.org.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.