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Peter Molnár
(Peter Molnar)

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. Kvam, Emilie & Molnar, Peter & Wankel, Ingvild & Odegaard, Bernt Arne, 2022. "Do sustainable company stock prices increase with ESG scrutiny? Evidence using social media," UiS Working Papers in Economics and Finance 2022/1, University of Stavanger.

    Cited by:

    1. Stéphane Goutte & Viet Hoang Le & Fei Liu & Hans-Jörg Mettenheim, Von, 2023. "Esg Investing: A Sentiment Analysis Approach," Working Papers halshs-03917335, HAL.

  2. Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš & Molnár, Peter, 2020. "Fear of the coronavirus and the stock markets," EconStor Preprints 219336, ZBW - Leibniz Information Centre for Economics.

    Cited by:

    1. Mazumder, Sharif & Saha, Pritam, 2021. "COVID-19: Fear of pandemic and short-term IPO performance," Finance Research Letters, Elsevier, vol. 43(C).
    2. Lyócsa, Štefan & Molnár, Peter, 2020. "Stock market oscillations during the corona crash: The role of fear and uncertainty," Finance Research Letters, Elsevier, vol. 36(C).
    3. Kamal, Javed Bin & Wohar, Mark, 2023. "Heterogenous responses of stock markets to covid related news and sentiments: Evidence from the 1st year of pandemic," International Economics, Elsevier, vol. 173(C), pages 68-85.
    4. Costola, Michele & Hinz, Oliver & Nofer, Michael & Pelizzon, Loriana, 2023. "Machine learning sentiment analysis, COVID-19 news and stock market reactions," Research in International Business and Finance, Elsevier, vol. 64(C).
    5. Halousková, Martina & Stašek, Daniel & Horváth, Matúš, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 50(C).
    6. Linhai Zhao & Ehsan Rasoulinezhad & Tapan Sarker & Farhad Taghizadeh-Hesary, 2023. "Effects of COVID-19 on Global Financial Markets: Evidence from Qualitative Research for Developed and Developing Economies," The European Journal of Development Research, Palgrave Macmillan;European Association of Development Research and Training Institutes (EADI), vol. 35(1), pages 148-166, February.
    7. Ștefan Cristian Gherghina & Daniel Ștefan Armeanu & Camelia Cătălina Joldeș, 2020. "Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis," IJERPH, MDPI, vol. 17(18), pages 1-35, September.
    8. Nikolaos Apostolopoulos & Panagiotis Liargovas & Nikolaos Rodousakis & George Soklis, 2022. "COVID-19 in US Economy: Structural Analysis and Policy Proposals," Sustainability, MDPI, vol. 14(13), pages 1-15, June.
    9. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    10. Nepp, Alexander & Okhrin, Ostap & Egorova, Julia & Dzhuraeva, Zarnigor & Zykov, Alexander, 2022. "What threatens stock markets more - The coronavirus or the hype around it?," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 519-539.
    11. Suripto & Supriyanto, 2021. "The Effect of the COVID-19 Pandemic on Stock Prices with the Event Window Approach: A Case Study of State Gas Companies, in the Energy Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 155-162.
    12. Willem THORBECKE, 2020. "The Impact of the COVID-19 Pandemic on the U.S. Economy: Evidence from the Stock Market," Discussion papers 20068, Research Institute of Economy, Trade and Industry (RIETI).
    13. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Bonsu, Christiana Osei & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022. "The effects of public sentiments and feelings on stock market behavior: Evidence from Australia," Journal of Economic Behavior & Organization, Elsevier, vol. 193(C), pages 443-472.
    14. Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2022. "YOLO trading: Riding with the herd during the GameStop episode," Finance Research Letters, Elsevier, vol. 46(PA).
    15. Alshater, Muneer M. & Alqaralleh, Huthaifa & El Khoury, Rim, 2023. "Dynamic asymmetric connectedness in technological sectors," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    16. Lyócsa, Štefan & Halousková, Martina & Haugom, Erik, 2023. "The US banking crisis in 2023: Intraday attention and price variation of banks at risk," Finance Research Letters, Elsevier, vol. 57(C).
    17. Munusamy Dharani & M. Kabir Hassan & Makeen Huda & Mohammad Zoynul Abedin, 2023. "Covid-19 pandemic and stock returns in India," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 251-266, March.
    18. Naidu, Dharmendra & Ranjeeni, Kumari, 2021. "Effect of coronavirus fear on the performance of Australian stock returns: Evidence from an event study," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
    19. Iyer, Subramanian Rama & Simkins, Betty J., 2022. "COVID-19 and the Economy: Summary of research and future directions," Finance Research Letters, Elsevier, vol. 47(PB).
    20. Lo, Gaye-Del & Marcelin, Isaac & Bassène, Théophile & Sène, Babacar, 2022. "The Russo-Ukrainian war and financial markets: the role of dependence on Russian commodities," Finance Research Letters, Elsevier, vol. 50(C).
    21. Dash, Saumya Ranjan & Maitra, Debasish, 2022. "The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets: Evidence from the time-frequency co-movements," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    22. Michele Costola & Michael Donadelli & Luca Gerotto & Ivan Gufler, 2022. "Global risks, the macroeconomy, and asset prices," Empirical Economics, Springer, vol. 63(5), pages 2357-2388, November.
    23. Matos, Paulo & Costa, Antonio & da Silva, Cristiano, 2021. "COVID-19, stock market and sectoral contagion in US: a time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 57(C).
    24. Emre Cevik & Buket Kirci Altinkeski & Emrah Ismail Cevik & Sel Dibooglu, 2022. "Investor sentiments and stock markets during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-34, December.
    25. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Attention to oil prices and its impact on the oil, gold and stock markets and their covariance," Energy Economics, Elsevier, vol. 120(C).
    26. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    27. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2023. "Which COVID-19 information really impacts stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    28. Le, Thai-Ha & Le, Anh Tu & Le, Ha-Chi, 2021. "The historic oil price fluctuation during the Covid-19 pandemic: What are the causes?," Research in International Business and Finance, Elsevier, vol. 58(C).
    29. Möller, Rouven & Reichmann, Doron, 2023. "COVID-19 related TV news and stock returns: Evidence from major US TV stations," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 95-109.
    30. Au Yong, Hue Hwa & Laing, Elaine, 2021. "Stock market reaction to COVID-19: Evidence from U.S. Firms’ International exposure," International Review of Financial Analysis, Elsevier, vol. 76(C).
    31. Cervantes, Paula & Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2022. "The impact of COVID-19 induced panic on stock market returns: A two-year experience," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 1075-1097.
    32. Su, Zhi & Liu, Peng & Fang, Tong, 2022. "Pandemic-induced fear and stock market returns: Evidence from China," Global Finance Journal, Elsevier, vol. 54(C).
    33. Akhtaruzzaman, Md & Boubaker, Sabri & Umar, Zaghum, 2022. "COVID–19 media coverage and ESG leader indices," Finance Research Letters, Elsevier, vol. 45(C).
    34. Puhr, Harald & Müllner, Jakob, 2022. "Foreign to all but fluent in many: The effect of multinationality on shock resilience," Journal of World Business, Elsevier, vol. 57(6).
    35. Debalke, Negash Mulatu, 2023. "Examining volatility and spillover effects between markets for sovereign bonds of African countries and the world’s long term interest rate," MPRA Paper 117491, University Library of Munich, Germany.

  3. Elie Bouri & Naji Jalkh & Peter Molnár & David Roubaud, 2017. "Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?," Post-Print hal-02008553, HAL.

    Cited by:

    1. Wu, Shan & Tong, Mu & Yang, Zhongyi & Derbali, Abdelkader, 2019. "Does gold or Bitcoin hedge economic policy uncertainty?," Finance Research Letters, Elsevier, vol. 31(C), pages 171-178.
    2. Ghabri, Yosra & Ben Rhouma, Oussama & Gana, Marjène & Guesmi, Khaled & Benkraiem, Ramzi, 2022. "Information transmission among energy markets, cryptocurrencies, and stablecoins under pandemic conditions," International Review of Financial Analysis, Elsevier, vol. 82(C).
    3. Refk Selmi & Walid Mensi & Shawkat Hammoudeh & Jamal Bouoiyour, 2018. "Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold," Post-Print hal-01879667, HAL.
    4. Guglielmo Maria Caporale & Woo-Young Kang, 2020. "Bitcoin Price Co-Movements and Culture," CESifo Working Paper Series 8076, CESifo.
    5. Thampanya, Natthinee & Nasir, Muhammad Ali & Huynh, Toan Luu Duc, 2020. "Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies: From pre-industrial to the 4th industrial revolution✰," Technological Forecasting and Social Change, Elsevier, vol. 159(C).
    6. Josef Kurka, 2017. "Do Cryptocurrencies and Traditional Asset Classes Influence Each Other?," Working Papers IES 2017/29, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2017.
    7. Hussain Shahzad, Syed Jawad & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav, 2020. "Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin," Economic Modelling, Elsevier, vol. 87(C), pages 212-224.
    8. 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).
    9. Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko & Muchtadi-Alamsyah, Intan & Arbi, Lukman, 2022. "Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk," Resources Policy, Elsevier, vol. 79(C).
    10. 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).
    11. Mohamed Yousfi & Abderrazak Dhaoui & Houssam Bouzgarrou, 2021. "Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management," JRFM, MDPI, vol. 14(5), pages 1-29, May.
    12. 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.
    13. 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.
    14. Dimitrios Koutmos & James E. Payne, 2021. "Intertemporal asset pricing with bitcoin," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 619-645, February.
    15. Qiang Ji & Elie Bouri & Rangan Gupta & David Roubaud, 2017. "Network Causality Structures among Bitcoin and other Financial Assets: A Directed Acyclic Graph Approach," Working Papers 201729, University of Pretoria, Department of Economics.
    16. Walid Bakry & Audil Rashid & Somar Al-Mohamad & Nasser El-Kanj, 2021. "Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach," JRFM, MDPI, vol. 14(7), pages 1-24, June.
    17. Kristjanpoller, Werner & Bouri, Elie & Takaishi, Tetsuya, 2020. "Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    18. Kang, Sang Hoon & McIver, Ron P. & Hernandez, Jose Arreola, 2019. "Co-movements between Bitcoin and Gold: A wavelet coherence analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    19. Elie Bouri & Mahamitra Das & Rangan Gupta & David Roubaud, 2018. "Spillovers between Bitcoin and other Assets during Bear and Bull Markets," Working Papers 201812, University of Pretoria, Department of Economics.
    20. Shan Wu, 2021. "Co-movement and return spillover: evidence from Bitcoin and traditional assets," SN Business & Economics, Springer, vol. 1(10), pages 1-16, October.
    21. 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.
    22. Rehman, Mobeen Ur & Kang, Sang Hoon, 2021. "A time–frequency comovement and causality relationship between Bitcoin hashrate and energy commodity markets," Global Finance Journal, Elsevier, vol. 49(C).
    23. Elie Bouri & Rangan Gupta & Amine Lahiani & Muhammad Shahbaz, 2018. "Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices," Post-Print hal-03533197, HAL.
    24. Feng, Hao & Gao, Da & Duan, Kun & Urquhart, Andrew, 2023. "Does Bitcoin affect decomposed oil shocks differently? Evidence from a quantile-based framework," International Review of Financial Analysis, Elsevier, vol. 89(C).
    25. Atsalakis, George S. & Atsalaki, Ioanna G. & Pasiouras, Fotios & Zopounidis, Constantin, 2019. "Bitcoin price forecasting with neuro-fuzzy techniques," European Journal of Operational Research, Elsevier, vol. 276(2), pages 770-780.
    26. Będowska-Sójka, Barbara & Kliber, Agata, 2021. "Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    27. Samia Nasreen & Aviral Kumar Tiwari & Seong-Min Yoon, 2021. "Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market," Sustainability, MDPI, vol. 13(14), pages 1-14, July.
    28. Yang, Lu & Hamori, Shigeyuki, 2021. "The role of the carbon market in relation to the cryptocurrency market: Only diversification or more?," International Review of Financial Analysis, Elsevier, vol. 77(C).
    29. Wang, Gang-Jin & Xie, Chi & Wen, Danyan & Zhao, Longfeng, 2019. "When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin," Finance Research Letters, Elsevier, vol. 31(C).
    30. Tzouvanas, Panagiotis & Kizys, Renatas & Tsend-Ayush, Bayasgalan, 2020. "Momentum trading in cryptocurrencies: Short-term returns and diversification benefits," Economics Letters, Elsevier, vol. 191(C).
    31. Dimitrios Koutmos, 2020. "Market risk and Bitcoin returns," Annals of Operations Research, Springer, vol. 294(1), pages 453-477, November.
    32. Abuzayed, Bana & Al-Fayoumi, Nedal & Bouri, Elie, 2020. "Co-movement across european stock and real estate markets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 189-208.
    33. 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).
    34. Bouri, Elie & Hussain Shahzad, Syed Jawad & Roubaud, David, 2020. "Cryptocurrencies as hedges and safe-havens for US equity sectors," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 294-307.
    35. Umar, Zaghum & Trabelsi, Nader & Alqahtani, Faisal, 2021. "Connectedness between cryptocurrency and technology sectors: International evidence," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 910-922.
    36. 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.
    37. Gustafsson, Robert & Dutta, Anupam & Bouri, Elie, 2022. "Are energy metals hedges or safe havens for clean energy stock returns?," Energy, Elsevier, vol. 244(PA).
    38. Matkovskyy, Roman & Jalan, Akanksha & Dowling, Michael & Bouraoui, Taoufik, 2021. "From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks," Finance Research Letters, Elsevier, vol. 38(C).
    39. Charfeddine, Lanouar & Benlagha, Noureddine & Maouchi, Youcef, 2020. "Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors," Economic Modelling, Elsevier, vol. 85(C), pages 198-217.
    40. 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.
    41. Das, Debojyoti & Le Roux, Corlise Liesl & Jana, R.K. & Dutta, Anupam, 2020. "Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar," Finance Research Letters, Elsevier, vol. 36(C).
    42. 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).
    43. Bedoui, Rihab & Benkraiem, Ramzi & Guesmi, Khaled & Kedidi, Islem, 2023. "Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model," Technological Forecasting and Social Change, Elsevier, vol. 197(C).
    44. Yi, Shuyue & Xu, Zishuang & Wang, Gang-Jin, 2018. "Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 98-114.
    45. Pal, Debdatta & Mitra, Subrata K., 2019. "Hedging bitcoin with other financial assets," Finance Research Letters, Elsevier, vol. 30(C), pages 30-36.
    46. 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).
    47. Pavković Ana & Anđelinović Mihovil & Pavković Ivan, 2019. "Achieving Portfolio Diversification through Cryptocurrencies in European Markets," Business Systems Research, Sciendo, vol. 10(2), pages 85-107, September.
    48. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & David Martinez-Regoband & Fan Wu, 2020. "Cryptocurrency Trading: A Comprehensive Survey," Papers 2003.11352, arXiv.org, revised Jan 2022.
    49. Osman, Myriam Ben & Galariotis, Emilios & Guesmi, Khaled & Hamdi, Haykel & Naoui, Kamel, 2023. "Diversification in financial and crypto markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
    50. Donglian Ma & Pengxiang Zhai, 2021. "The Accuracy of the Tick Rule in the Bitcoin Market," SAGE Open, , vol. 11(2), pages 21582440211, May.
    51. 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).
    52. Kajtazi, Anton & Moro, Andrea, 2019. "The role of bitcoin in well diversified portfolios: A comparative global study," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 143-157.
    53. Shahzad, Syed Jawad Hussain & Balli, Faruk & Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad, 2022. "Do conventional currencies hedge cryptocurrencies?," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 223-228.
    54. Baumöhl, Eduard, 2019. "Are cryptocurrencies connected to forex? A quantile cross-spectral approach," Finance Research Letters, Elsevier, vol. 29(C), pages 363-372.
    55. 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).
    56. Imran Yousaf & Elie Bouri & Shoaib Ali & Nehme Azoury, 2021. "Gold against Asian Stock Markets during the COVID-19 Outbreak," JRFM, MDPI, vol. 14(4), pages 1-23, April.
    57. 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.
    58. Ren, Boru & Lucey, Brian, 2022. "A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies," Energy Economics, Elsevier, vol. 109(C).
    59. Ahmed, Walid M.A., 2021. "How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    60. Chaim, Pedro & Laurini, Márcio P., 2018. "Volatility and return jumps in bitcoin," Economics Letters, Elsevier, vol. 173(C), pages 158-163.
    61. Lin, Mei-Yin & An, Che-Lun, 2021. "The relationship between Bitcoin and resource commodity futures: Evidence from NARDL approach," Resources Policy, Elsevier, vol. 74(C).
    62. Konstantinos Gkillas & Elie Bouri & Rangan Gupta & David Roubaud, 2020. "Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin," Working Papers 202068, University of Pretoria, Department of Economics.
    63. Kumar, Anoop S & Padakandla, Steven Raj, 2022. "Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach," Finance Research Letters, Elsevier, vol. 47(PB).
    64. Będowska-Sójka, Barbara & Kliber, Agata, 2022. "Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective," Energy Economics, Elsevier, vol. 115(C).
    65. Moussa, Wajdi & Mgadmi, Nidhal & Béjaoui, Azza & Regaieg, Rym, 2021. "Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model," Resources Policy, Elsevier, vol. 74(C).
    66. Cevik, Emrah Ismail & Gunay, Samet & Zafar, Muhammad Wasif & Destek, Mehmet Akif & Bugan, Mehmet Fatih & Tuna, Fatih, 2022. "The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold," Resources Policy, Elsevier, vol. 79(C).
    67. 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).
    68. Syuhada, Khreshna & Suprijanto, Djoko & Hakim, Arief, 2022. "Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach," Finance Research Letters, Elsevier, vol. 46(PB).
    69. Bouri, Elie & Shahzad, Syed Jawad Hussain & Roubaud, David & Kristoufek, Ladislav & Lucey, Brian, 2020. "Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 156-164.
    70. Khaki, Audil & Prasad, Mason & Al-Mohamad, Somar & Bakry, Walid & Vo, Xuan Vinh, 2023. "Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?," Research in International Business and Finance, Elsevier, vol. 64(C).
    71. Maghyereh, Aktham & Abdoh, Hussein, 2020. "Tail dependence between Bitcoin and financial assets: Evidence from a quantile cross-spectral approach," International Review of Financial Analysis, Elsevier, vol. 71(C).
    72. Chemkha, Rahma & BenSaïda, Ahmed & Ghorbel, Ahmed & Tayachi, Tahar, 2021. "Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 71-85.
    73. Fasanya, Ismail O. & Oliyide, Johnson A. & Adekoya, Oluwasegun B. & Agbatogun, Taofeek, 2021. "How does economic policy uncertainty connect with the dynamic spillovers between precious metals and bitcoin markets?," Resources Policy, Elsevier, vol. 72(C).
    74. Noman, Abu Hanifa Md & Karim, Muhammad Mahmudul & Hassan, Mohammad Kabir & Khan, Muhammad Asif & Pervin, Sajeda, 2023. "COVID-19 pandemic and the dynamics of major investable assets: What gives shelter to investors?," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 14-30.
    75. Gambarelli, Luca & Marchi, Gianluca & Muzzioli, Silvia, 2023. "Hedging effectiveness of cryptocurrencies in the European stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    76. Shehzad, Khurram & Bilgili, Faik & Zaman, Umer & Kocak, Emrah & Kuskaya, Sevda, 2021. "Is gold favourable than bitcoin during the COVID-19 outbreak? Comparative analysis through wavelet approach," Resources Policy, Elsevier, vol. 73(C).
    77. Raza, Syed Ali & Ahmed, Maiyra & Aloui, Chaker, 2022. "On the asymmetrical connectedness between cryptocurrencies and foreign exchange markets: Evidence from the nonparametric quantile on quantile approach," Research in International Business and Finance, Elsevier, vol. 61(C).
    78. Qin, Meng & Su, Chi-Wei & Tao, Ran, 2021. "BitCoin: A new basket for eggs?," Economic Modelling, Elsevier, vol. 94(C), pages 896-907.
    79. Naeem, Muhammad Abubakr & Mbarki, Imen & Shahzad, Syed Jawad Hussain, 2021. "Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 496-514.
    80. Symitsi, Efthymia & Chalvatzis, Konstantinos J., 2018. "Return, volatility and shock spillovers of Bitcoin with energy and technology companies," Economics Letters, Elsevier, vol. 170(C), pages 127-130.
    81. Mokni, Khaled & Youssef, Manel & Ajmi, Ahdi Noomen, 2022. "COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 60(C).
    82. 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.
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    1. Wu, Shan & Tong, Mu & Yang, Zhongyi & Derbali, Abdelkader, 2019. "Does gold or Bitcoin hedge economic policy uncertainty?," Finance Research Letters, Elsevier, vol. 31(C), pages 171-178.
    2. Kamal, Javed Bin & Hassan, M. Kabir, 2022. "Asymmetric connectedness between cryptocurrency environment attention index and green assets," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
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    4. Bouri, Elie & Lucey, Brian & Roubaud, David, 2020. "Cryptocurrencies and the downside risk in equity investments," Finance Research Letters, Elsevier, vol. 33(C).
    5. 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.
    6. Fang, Libing & Bouri, Elie & Gupta, Rangan & Roubaud, David, 2019. "Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 29-36.
    7. Ghabri, Yosra & Ben Rhouma, Oussama & Gana, Marjène & Guesmi, Khaled & Benkraiem, Ramzi, 2022. "Information transmission among energy markets, cryptocurrencies, and stablecoins under pandemic conditions," International Review of Financial Analysis, Elsevier, vol. 82(C).
    8. Bouri, Elie & Gupta, Rangan & Roubaud, David, 2019. "Herding behaviour in cryptocurrencies," Finance Research Letters, Elsevier, vol. 29(C), pages 216-221.
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    413. 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.
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    1. Christian Koziol, 2014. "A simple correction of the WACC discount rate for default risk and bankruptcy costs," Review of Quantitative Finance and Accounting, Springer, vol. 42(4), pages 653-666, May.

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    2. Tao Xiong & Miao Li & Jia Cao, 2023. "Do Futures Prices Help Forecast Spot Prices? Evidence from China’s New Live Hog Futures," Agriculture, MDPI, vol. 13(9), pages 1-16, August.
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    4. Behnam Zakeri & Katsia Paulavets & Leonardo Barreto-Gomez & Luis Gomez Echeverri & Shonali Pachauri & Benigna Boza-Kiss & Caroline Zimm & Joeri Rogelj & Felix Creutzig & Diana Ürge-Vorsatz & David G. , 2022. "Pandemic, War, and Global Energy Transitions," Energies, MDPI, vol. 15(17), pages 1-23, August.
    5. Chishti, Muhammad Zubair & Sinha, Avik & Zaman, Umer & Shahzad, Umer, 2023. "Exploring the dynamic connectedness among energy transition and its drivers: Understanding the moderating role of global geopolitical risk," Energy Economics, Elsevier, vol. 119(C).
    6. Wang, Zi-Xin & Liu, Bing-Yue & Fan, Ying, 2023. "Network connectedness between China's crude oil futures and sector stock indices," Energy Economics, Elsevier, vol. 125(C).
    7. Pagnottoni, Paolo, 2023. "Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
    8. Derick Quintino & Cristiane Ogino & Inzamam Ul Haq & Paulo Ferreira & Márcia Oliveira, 2023. "An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis," Energies, MDPI, vol. 16(5), pages 1-14, February.
    9. Philips, Abiodun S., 2023. "Institutional enforcement of environmental fiscal stance and energy stock markets performance: Evaluating for returns and risk among connected markets," Energy, Elsevier, vol. 263(PE).
    10. Naeem, Muhammad Abubakr & Gul, Raazia & Farid, Saqib & Karim, Sitara & Lucey, Brian M., 2023. "Assessing linkages between alternative energy markets and cryptocurrencies," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 513-529.
    11. Lyu, Chenyan & Scholtens, Bert, 2022. "Is the Global Carbon Market Integrated? Return and Volatility Connectedness in ETS Systems," Working Papers 7-2022, Copenhagen Business School, Department of Economics, revised 08 Jun 2022.
    12. Li, Zheng-Zheng & Li, Yameng & Huang, Chia-Yun & Peculea, Adelina Dumitrescu, 2023. "Volatility spillover across Chinese carbon markets: Evidence from quantile connectedness method," Energy Economics, Elsevier, vol. 119(C).

  4. Lyócsa, Štefan & Molnár, Peter & Výrost, Tomáš, 2021. "Stock market volatility forecasting: Do we need high-frequency data?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1092-1110.

    Cited by:

    1. Yan, Xiang & Bai, Jiancheng & Li, Xiafei & Chen, Zhonglu, 2022. "Can dimensional reduction technology make better use of the information of uncertainty indices when predicting volatility of Chinese crude oil futures?," Resources Policy, Elsevier, vol. 75(C).
    2. Bauwens, Luc & Xu, Yongdeng, 2023. "The contribution of realized covariance models to the economic value of volatility timing," LIDAM Discussion Papers CORE 2023018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Zhu, Haibin & Bai, Lu & He, Lidan & Liu, Zhi, 2023. "Forecasting realized volatility with machine learning: Panel data perspective," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 251-271.
    4. Mohammad Al-Shboul & Aktham Maghyereh, 2023. "Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 12(1), pages 1-23, December.
    5. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
    6. Ma, Feng & Wang, Jiqian & Wahab, M.I.M. & Ma, Yuanhui, 2023. "Stock market volatility predictability in a data-rich world: A new insight," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1804-1819.
    7. Li, Zhao-Chen & Xie, Chi & Zeng, Zhi-Jian & Wang, Gang-Jin & Zhang, Ting, 2023. "Forecasting global stock market volatilities in an uncertain world," International Review of Financial Analysis, Elsevier, vol. 85(C).
    8. Fantazzini, Dean, 2023. "Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models," MPRA Paper 117141, University Library of Munich, Germany.

  5. Do, Linh Phuong Catherine & Lyócsa, Štefan & Molnár, Peter, 2021. "Residual electricity demand: An empirical investigation," Applied Energy, Elsevier, vol. 283(C).

    Cited by:

    1. Maria Juliana Suarrez Foréro & Frédéric Lantz & Pierre Nicolas & Patrice Geoffron, 2022. "The Impact of Electric Vehicle Fleets on the European Electricity Markets: Evidences from the German Passenger Car Fleet and Power Generation Sector," Working Papers hal-03898558, HAL.
    2. Khawaja Haider Ali & Mohammad Abusara & Asif Ali Tahir & Saptarshi Das, 2023. "Dual-Layer Q-Learning Strategy for Energy Management of Battery Storage in Grid-Connected Microgrids," Energies, MDPI, vol. 16(3), pages 1-17, January.
    3. Gallego, Camilo A., 2022. "Intertemporal effects of imperfect competition through forward contracts in wholesale electricity markets," Energy Economics, Elsevier, vol. 107(C).
    4. Maria Juliana Suarrez Foréro & Frédéric Lantz & Pierre Nicolas & Pierre Geoffron, 2022. "The impact of Electric Vehicle fleets on the European Electricity Markets : Evidences from the German Passenger Car Fleet and Power Generation Sector," Working Papers hal-03609361, HAL.
    5. Chen, Qi & Kuang, Zhonghong & Liu, Xiaohua & Zhang, Tao, 2022. "Energy storage to solve the diurnal, weekly, and seasonal mismatch and achieve zero-carbon electricity consumption in buildings," Applied Energy, Elsevier, vol. 312(C).

  6. Lyócsa, Štefan & Molnár, Peter, 2020. "Stock market oscillations during the corona crash: The role of fear and uncertainty," Finance Research Letters, Elsevier, vol. 36(C).

    Cited by:

    1. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Liu, Guangqiang, 2021. "COVID-19 lockdowns, stimulus packages, travel bans, and stock returns," Finance Research Letters, Elsevier, vol. 38(C).
    2. Foglia, Matteo & Addi, Abdelhamid & Angelini, Eliana, 2022. "The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness," Global Finance Journal, Elsevier, vol. 51(C).
    3. Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh, 2021. "Impacts of COVID-19 outbreak on the spillovers between US and Chinese stock sectors," Finance Research Letters, Elsevier, vol. 40(C).
    4. Xin Li, 2021. "Asymmetric Impact of COVID-19 on China's Stock Market Volatility - Media Effect or Fact?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-6.
    5. Refai, Hisham Al & Zeitun, Rami & Eissa, Mohamed Abdel-Aziz, 2022. "Impact of global health crisis and oil price shocks on stock markets in the GCC," Finance Research Letters, Elsevier, vol. 45(C).
    6. Julien Chevallier, 2021. "Covid-19 Outbreak and CO2 Emissions: Macro-Financial Linkages," Working Papers 2021-004, Department of Research, Ipag Business School.
    7. Huynh, Toan Luu Duc & Foglia, Matteo & Doukas, John A., 2022. "COVID-19 and Tail-event Driven Network Risk in the Eurozone," Finance Research Letters, Elsevier, vol. 44(C).
    8. Nepp, Alexander & Okhrin, Ostap & Egorova, Julia & Dzhuraeva, Zarnigor & Zykov, Alexander, 2022. "What threatens stock markets more - The coronavirus or the hype around it?," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 519-539.
    9. Huynh, Toan Luu Duc & Foglia, Matteo & Nasir, Muhammad Ali & Angelini, Eliana, 2021. "Feverish sentiment and global equity markets during the COVID-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 1088-1108.
    10. Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2022. "YOLO trading: Riding with the herd during the GameStop episode," Finance Research Letters, Elsevier, vol. 46(PA).
    11. Lyócsa, Štefan & Halousková, Martina & Haugom, Erik, 2023. "The US banking crisis in 2023: Intraday attention and price variation of banks at risk," Finance Research Letters, Elsevier, vol. 57(C).
    12. Evangelos Vasileiou, 2021. "Explaining stock markets' performance during the COVID‐19 crisis: Could Google searches be a significant behavioral indicator?," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(3), pages 173-181, July.
    13. Bilal & Adeel Nasir & Umar Farooq & Muhammad Farhan Bashir, 2024. "Stock returns, government response strategies, and daily new case bursts during COVID‐19: A cross‐country perspective," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 465-485, January.
    14. Le, Trung Hai & Do, Hung Xuan & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Covid-19 pandemic and tail-dependency networks of financial assets," Finance Research Letters, Elsevier, vol. 38(C).
    15. Díaz, Fernando & Henríquez, Pablo A. & Winkelried, Diego, 2022. "Stock market volatility and the COVID-19 reproductive number," Research in International Business and Finance, Elsevier, vol. 59(C).
    16. Huang, Yuxuan & Yang, Shenggang & Zhu, Qi, 2021. "Brand equity and the Covid-19 stock market crash: Evidence from U.S. listed firms," Finance Research Letters, Elsevier, vol. 43(C).
    17. Calabrò, Andrea & Frank, Hermann & Minichilli, Alessandro & Suess-Reyes, Julia, 2021. "Business families in times of crises: The backbone of family firm resilience and continuity," Journal of Family Business Strategy, Elsevier, vol. 12(2).
    18. Anna Gloria Billé & Massimiliano Caporin, 2022. "Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects," Journal of Spatial Econometrics, Springer, vol. 3(1), pages 1-21, December.

  7. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš & Širaňová, Mária, 2020. "Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).

    Cited by:

    1. Li, Zheng & Zhou, Bo & Hensher, David A., 2022. "Forecasting automobile gasoline demand in Australia using machine learning-based regression," Energy, Elsevier, vol. 239(PD).
    2. Goodell, John W. & Gurdgiev, Constantin & Paltrinieri, Andrea & Piserà, Stefano, 2023. "Global energy supply risk: Evidence from the reactions of European natural gas futures to Nord Stream announcements," Energy Economics, Elsevier, vol. 125(C).
    3. Griffith, Todd & Clancey-Shang, Danjue, 2023. "Cryptocurrency regulation and market quality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    4. Halousková, Martina & Stašek, Daniel & Horváth, Matúš, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 50(C).
    5. Zhang, Chuanhai & Zhang, Zhengjun & Xu, Mengyu & Peng, Zhe, 2023. "Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns," Economic Modelling, Elsevier, vol. 119(C).
    6. Bergsli, Lykke Øverland & Lind, Andrea Falk & Molnár, Peter & Polasik, Michał, 2022. "Forecasting volatility of Bitcoin," Research in International Business and Finance, Elsevier, vol. 59(C).
    7. Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023. "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, vol. 125(C).
    8. Chen, Yu-Lun & Chang, Yung Ting & Yang, J. Jimmy, 2023. "Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures," Finance Research Letters, Elsevier, vol. 55(PB).
    9. David Y. Aharon & Zaghum Umar & Xuan Vinh Vo, 2021. "Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
    10. 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).
    11. Raphael Auer & Marc Farag & Ulf Lewrick & Lovrenc Orazem & Markus Zoss, 2022. "Banking in the shadow of Bitcoin? The institutional adoption of cryptocurrencies," BIS Working Papers 1013, Bank for International Settlements.
    12. 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).
    13. Ftiti, Zied & Ben Ameur, Hachmi & Louhichi, Waël, 2021. "Does non-fundamental news related to COVID-19 matter for stock returns? Evidence from Shanghai stock market," Economic Modelling, Elsevier, vol. 99(C).
    14. Ao Shu & Feiyang Cheng & Jianlei Han & Zini Liang & Zheyao Pan, 2023. "Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 5183-5210, December.
    15. Li, Leon & Miu, Peter, 2023. "Are cryptocurrencies a safe haven for stock investors? A regime-switching approach," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 367-385.
    16. Caferra, Rocco & Vidal-Tomás, David, 2021. "Who raised from the abyss? A comparison between cryptocurrency and stock market dynamics during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 43(C).
    17. Lyócsa, Štefan & Halousková, Martina & Haugom, Erik, 2023. "The US banking crisis in 2023: Intraday attention and price variation of banks at risk," Finance Research Letters, Elsevier, vol. 57(C).
    18. Yaojie Zhang & Yudong Wang & Feng Ma & Yu Wei, 2022. "To jump or not to jump: momentum of jumps in crude oil price volatility prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
    19. Zhang, Chuanhai & Ma, Huan & Liao, Xiaosai, 2023. "Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    20. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors?," Research in International Business and Finance, Elsevier, vol. 64(C).
    21. Scharnowski, Stefan, 2022. "Central bank speeches and digital currency competition," Finance Research Letters, Elsevier, vol. 49(C).
    22. Zhang, Zehua & Zhao, Ran, 2023. "Good volatility, bad volatility, and the cross section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
    23. 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).
    24. Kawakami, Tabito, 2023. "Quantile prediction for Bitcoin returns using financial assets’ realized measures," Finance Research Letters, Elsevier, vol. 55(PA).
    25. Sofiane Aboura, 2022. "A note on the Bitcoin and Fed Funds rate," Empirical Economics, Springer, vol. 63(5), pages 2577-2603, November.
    26. Milunovich, George & Lee, Seung Ah, 2022. "Measuring the impact of digital exchange cyberattacks on Bitcoin Returns," Economics Letters, Elsevier, vol. 221(C).
    27. Goodell, John W. & Alon, Ilan & Chiaramonte, Laura & Dreassi, Alberto & Paltrinieri, Andrea & Piserà, Stefano, 2023. "Risk substitution in cryptocurrencies: Evidence from BRICS announcements," Emerging Markets Review, Elsevier, vol. 54(C).
    28. Ivanovski, Kris & Hailemariam, Abebe, 2023. "Forecasting the stock-cryptocurrency relationship: Evidence from a dynamic GAS model," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 97-111.
    29. Kumar Kulbhaskar, Anamika & Subramaniam, Sowmya, 2023. "Breaking news headlines: Impact on trading activity in the cryptocurrency market," Economic Modelling, Elsevier, vol. 126(C).
    30. 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.
    31. Nguyen, Thach V.H. & Nguyen, Thai Vu Hong & Nguyen, Thanh Cong & Pham, Thu Thi Anh & Nguyen, Quan M.P., 2022. "Stablecoins versus traditional cryptocurrencies in response to interbank rates," Finance Research Letters, Elsevier, vol. 47(PB).

  8. Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš & Molnár, Peter, 2020. "Fear of the coronavirus and the stock markets," Finance Research Letters, Elsevier, vol. 36(C).
    See citations under working paper version above.
  9. Enoksen, F.A. & Landsnes, Ch.J. & Lučivjanská, K. & Molnár, P., 2020. "Understanding risk of bubbles in cryptocurrencies," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 129-144.

    Cited by:

    1. Saadaoui Mallek, Ray & Albaity, Mohamed & Molyneux, Philip, 2022. "Herding behaviour heterogeneity under economic and political risks: Evidence from GCC," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 345-361.
    2. Boubaker, Sabri & Liu, Zhenya & Sui, Tianqing & Zhai, Ling, 2022. "The mirror of history: How to statistically identify stock market bubble bursts," Journal of Economic Behavior & Organization, Elsevier, vol. 204(C), pages 128-147.
    3. Vidal-Tomás, David, 2022. "The new crypto niche: NFTs, play-to-earn, and metaverse tokens," MPRA Paper 111351, University Library of Munich, Germany.
    4. Foley, Sean & Frijns, Bart & Garel, Alexandre & Roh, Tai-Yong, 2022. "Who buys Bitcoin? The cultural determinants of Bitcoin activity," International Review of Financial Analysis, Elsevier, vol. 84(C).
    5. Jiang, Yonghong & Wu, Lanxin & Tian, Gengyu & Nie, He, 2021. "Do cryptocurrencies hedge against EPU and the equity market volatility during COVID-19? – New evidence from quantile coherency analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    6. Bergsli, Lykke Øverland & Lind, Andrea Falk & Molnár, Peter & Polasik, Michał, 2022. "Forecasting volatility of Bitcoin," Research in International Business and Finance, Elsevier, vol. 59(C).
    7. Vincent Maurin, 2022. "Liquidity Fluctuations in Over‐the‐Counter Markets," Journal of Finance, American Finance Association, vol. 77(2), pages 1325-1369, April.
    8. Abdulrezzak Zekiye & Semih Utku & Fadi Amroush & Oznur Ozkasap, 2023. "AI-Assisted Investigation of On-Chain Parameters: Risky Cryptocurrencies and Price Factors," Papers 2308.08554, arXiv.org.
    9. Andrew Phiri, 2022. "Can wavelets produce a clearer picture of weak-form market efficiency in Bitcoin?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 373-386, September.
    10. Eray Gemici & Muslum Polat & Remzi Gök & Muhammad Asif Khan & Mohammed Arshad Khan & Yunus Kilic, 2023. "Do Bubbles in the Bitcoin Market Impact Stock Markets? Evidence From 10 Major Stock Markets," SAGE Open, , vol. 13(2), pages 21582440231, June.
    11. Min Shu & Ruiqiang Song & Wei Zhu, 2021. "The 2021 Bitcoin Bubbles and Crashes—Detection and Classification," Stats, MDPI, vol. 4(4), pages 1-21, November.
    12. Juhro, Solikin M. & Syarifuddin, Ferry & Sakti, Ali, 2022. "Inclusive Welfare: On The Role of Islamic Public-Social Finance and Monetary Economics," MPRA Paper 113788, University Library of Munich, Germany.
    13. Bazán-Palomino, Walter, 2022. "Interdependence, contagion and speculative bubbles in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 49(C).
    14. Alexander Guzmán & Christian Pinto-Gutiérrez & María-Andrea Trujillo, 2021. "Trading Cryptocurrencies as a Pandemic Pastime: COVID-19 Lockdowns and Bitcoin Volume," Mathematics, MDPI, vol. 9(15), pages 1-15, July.
    15. Shuyu Zhang & Walter Aerts & Dunli Zhang & Zishan Chen, 2022. "Positive tone and initial coin offering," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(2), pages 2237-2266, June.
    16. Montasser, Ghassen El & Charfeddine, Lanouar & Benhamed, Adel, 2022. "COVID-19, cryptocurrencies bubbles and digital market efficiency: sensitivity and similarity analysis," Finance Research Letters, Elsevier, vol. 46(PA).
    17. Ozkan Haykir & Ibrahim Yagli, 2022. "Speculative bubbles and herding in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-33, December.
    18. Yang, Hui & Ferrer, Román, 2023. "Explosive behavior in the Chinese stock market: A sectoral analysis," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
    19. Cristina Gabriela COSMULESE, 2021. "Cryptocurrency As An Investment Or Disruptive Technology: Theoretical Insighs," European Journal of Accounting, Finance & Business, "Stefan cel Mare" University of Suceava, Romania - Faculty of Economics and Public Administration, West University of Timisoara, Romania - Faculty of Economics and Business Administration, vol. 16(26), pages 73-80, June.
    20. 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).
    21. Li, Yi & Zhang, Wei & Urquhart, Andrew & Wang, Pengfei, 2022. "The role of media coverage in the bubble formation: Evidence from the Bitcoin market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    22. Tang, Tao & Wang, Yanchen, 2022. "Liquidity Shocks, Price Volatilities, and Risk-managed Strategy: Evidence from Bitcoin and Beyond," Journal of Multinational Financial Management, Elsevier, vol. 64(C).
    23. Li, Chao & Yang, Haijun, 2022. "Will memecoins’ surge trigger a crypto crash? Evidence from the connectedness between leading cryptocurrencies and memecoins," Finance Research Letters, Elsevier, vol. 50(C).
    24. Bazán-Palomino, Walter & Svogun, Daniel, 2023. "On the drivers of technical analysis profits in cryptocurrency markets: A Distributed Lag approach," International Review of Financial Analysis, Elsevier, vol. 86(C).
    25. Maouchi, Youcef & Charfeddine, Lanouar & El Montasser, Ghassen, 2022. "Understanding digital bubbles amidst the COVID-19 pandemic: Evidence from DeFi and NFTs," Finance Research Letters, Elsevier, vol. 47(PA).

  10. Erik Haugom & Peter Molnár & Magne Tysdahl, 2020. "Determinants of the Forward Premium in the Nord Pool Electricity Market," Energies, MDPI, vol. 13(5), pages 1-18, March.

    Cited by:

    1. Bonaldo, Cinzia & Caporin, Massimiliano & Fontini, Fulvio, 2022. "The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland," Energy Economics, Elsevier, vol. 110(C).
    2. Talat S. Genc & Stephen Kosempel, 2023. "Energy Transition and the Economy: A Review Article," Energies, MDPI, vol. 16(7), pages 1-26, March.
    3. Dumiter Florin Cornel & Turcaș Florin Marius & Boiţă Marius, 2023. "Oil Shock Impact Upon Energy Companies Investment Portfolios. Trends and Evolutions in the Energy Consumption Sector," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 33(1), pages 1-27, March.
    4. Størdal, Ståle & Ewald, Christian-Oliver & Lien, Gudbrand & Haugom, Erik, 2023. "Trading time seasonality in electricity futures," Journal of Commodity Markets, Elsevier, vol. 31(C).

  11. Helseth, Marius Aleksander Emblem & Krakstad, Svein Olav & Molnár, Peter & Norlin, Karl-Martin, 2020. "Can policy and financial risk predict stock markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 701-719.

    Cited by:

    1. Huynh, Toan Luu Duc & Foglia, Matteo & Nasir, Muhammad Ali & Angelini, Eliana, 2021. "Feverish sentiment and global equity markets during the COVID-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 1088-1108.

  12. Milan Bašta & Peter Molnár, 2019. "Long‐term dynamics of the VIX index and its tradable counterpart VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 322-341, March.

    Cited by:

    1. James S. Doran, 2020. "Volatility as an asset class: Holding VIX in a portfolio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 841-859, June.

  13. Linh Phuong Catherine Do & Štefan Lyócsa & Peter Molnár, 2019. "Impact of wind and solar production on electricity prices: Quantile regression approach," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1752-1768, October.

    Cited by:

    1. John Dorrell & Keunjae Lee, 2021. "The Price of Wind: An Empirical Analysis of the Relationship between Wind Energy and Electricity Price across the Residential, Commercial, and Industrial Sectors," Energies, MDPI, vol. 14(12), pages 1-21, June.
    2. Do, Linh Phuong Catherine & Lyócsa, Štefan & Molnár, Peter, 2021. "Residual electricity demand: An empirical investigation," Applied Energy, Elsevier, vol. 283(C).
    3. Sirin, Selahattin Murat & Yilmaz, Berna N., 2020. "Variable renewable energy technologies in the Turkish electricity market: Quantile regression analysis of the merit-order effect," Energy Policy, Elsevier, vol. 144(C).
    4. Erik Haugom & Peter Molnár & Magne Tysdahl, 2020. "Determinants of the Forward Premium in the Nord Pool Electricity Market," Energies, MDPI, vol. 13(5), pages 1-18, March.

  14. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2019. "Range-based DCC models for covariance and value-at-risk forecasting," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 58-76.

    Cited by:

    1. Shay Kee Tan & Kok Haur Ng & Jennifer So-Kuen Chan, 2022. "Predicting Returns, Volatilities and Correlations of Stock Indices Using Multivariate Conditional Autoregressive Range and Return Models," Mathematics, MDPI, vol. 11(1), pages 1-24, December.
    2. Enoksen, F.A. & Landsnes, Ch.J. & Lučivjanská, K. & Molnár, P., 2020. "Understanding risk of bubbles in cryptocurrencies," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 129-144.
    3. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    4. Piotr Fiszeder & Marta Ma³ecka, 2022. "Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(4), pages 939-967, December.
    5. Li, Jingpeng & Umar, Muhammad & Huo, Jiale, 2023. "The spillover effect between Chinese crude oil futures market and Chinese green energy stock market," Energy Economics, Elsevier, vol. 119(C).
    6. Marcin Fałdziński & Piotr Fiszeder & Witold Orzeszko, 2020. "Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression," Energies, MDPI, vol. 14(1), pages 1-18, December.
    7. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
    8. Ana Alzate-Ortega & Natalia Garzón & Jesús Molina-Muñoz, 2024. "Volatility Spillovers in Emerging Markets: Oil Shocks, Energy, Stocks, and Gold," Energies, MDPI, vol. 17(2), pages 1-19, January.
    9. Lai, Yu-Sheng, 2022. "Improving hedging performance by using high–low range," Finance Research Letters, Elsevier, vol. 48(C).
    10. Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020. "Large dynamic covariance matrices: enhancements based on intraday data," ECON - Working Papers 356, Department of Economics - University of Zurich, revised Jan 2022.
    11. Datta, Susanta & Hatekar, Neeraj, 2022. "Range Volatility Spillover across Sectoral Stock Indices during COVID-19 Pandemic: Evidence from Indian Stock Market," MPRA Paper 117285, University Library of Munich, Germany.
    12. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Attention to oil prices and its impact on the oil, gold and stock markets and their covariance," Energy Economics, Elsevier, vol. 120(C).
    13. Ozkan Haykir & Ibrahim Yagli, 2022. "Speculative bubbles and herding in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-33, December.
    14. 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).
    15. Fantazzini, Dean, 2023. "Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models," MPRA Paper 117141, University Library of Munich, Germany.
    16. Lyócsa, Štefan & Molnár, Peter & Výrost, Tomáš, 2021. "Stock market volatility forecasting: Do we need high-frequency data?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1092-1110.
    17. Apostolos Ampountolas, 2022. "Cryptocurrencies Intraday High-Frequency Volatility Spillover Effects Using Univariate and Multivariate GARCH Models," IJFS, MDPI, vol. 10(3), pages 1-22, July.
    18. Wu, Xinyu & Xie, Haibin & Zhang, Huanming, 2022. "Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).

  15. Bøe, Kristine S. & Jordal, Therese & Mikula, Štepán & Molnár, Peter, 2019. "Do political risks harm development of oil fields?," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 338-358.

    Cited by:

    1. Ishaya Tambari & Pierre Failler, 2020. "Determining If Oil Prices Significantly Affect Renewable Energy Investment in African Countries with Energy Security Concerns," Energies, MDPI, vol. 13(24), pages 1-21, December.
    2. de Soysa, Indra & Krieger, Tim & Meierrieks, Daniel, 2022. "Oil and property rights," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 79, pages 1-13.
    3. Su, Chi-Wei & Qin, Meng & Tao, Ran & Moldovan, Nicoleta-Claudia & Lobonţ, Oana-Ramona, 2020. "Factors driving oil price —— from the perspective of United States," Energy, Elsevier, vol. 197(C).

  16. Horpestad, Jone B. & Lyócsa, Štefan & Molnár, Peter & Olsen, Torbjørn B., 2019. "Asymmetric volatility in equity markets around the world," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 540-554.

    Cited by:

    1. Borjigin, Sumuya & Gao, Ting & Sun, Yafei & An, Biao, 2020. "For evil news rides fast, while good news baits later?—A network based analysis in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    2. 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).
    3. Lyócsa, Štefan & Todorova, Neda & Výrost, Tomáš, 2021. "Predicting risk in energy markets: Low-frequency data still matter," Applied Energy, Elsevier, vol. 282(PA).
    4. Maki, Daiki & Ota, Yasushi, 2021. "Impacts of asymmetry on forecasting realized volatility in Japanese stock markets," Economic Modelling, Elsevier, vol. 101(C).
    5. Xiao, Jihong & Wen, Fenghua & Zhao, Yupei & Wang, Xiong, 2021. "The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 311-333.
    6. Lyócsa, Štefan & Plíhal, Tomáš & Výrost, Tomáš, 2021. "FX market volatility modelling: Can we use low-frequency data?," Finance Research Letters, Elsevier, vol. 40(C).
    7. Maurice Omane‐Adjepong & Imhotep Paul Alagidede, 2021. "Modelling Asymmetry and Leverage in Cryptocurrencies and Emerging Financial Markets," Economic Papers, The Economic Society of Australia, vol. 40(2), pages 152-166, June.
    8. Lyócsa, Štefan & Molnár, Peter & Výrost, Tomáš, 2021. "Stock market volatility forecasting: Do we need high-frequency data?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1092-1110.
    9. Xie, Qiwei & Liu, Ranran & Qian, Tao & Li, Jingyu, 2021. "Linkages between the international crude oil market and the Chinese stock market: A BEKK-GARCH-AFD approach," Energy Economics, Elsevier, vol. 102(C).
    10. Papathanasiou, Spyros & Koutsokostas, Drosos & Pergeris, Georgios, 2022. "Novel alternative assets within a transmission mechanism of volatility spillovers: The role of SPACs," Finance Research Letters, Elsevier, vol. 47(PA).
    11. Mensi, Walid & Nekhili, Ramzi & Vo, Xuan Vinh & Suleman, Tahir & Kang, Sang Hoon, 2021. "Asymmetric volatility connectedness among U.S. stock sectors," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    12. Daiki Maki & Yasushi Ota, 2020. "The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets," Papers 2006.00158, arXiv.org.
    13. Jiawen Luo & Oguzhan Cepni & Riza Demirer & Rangan Gupta, 2022. "Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies," Working Papers 202258, University of Pretoria, Department of Economics.
    14. Plíhal, Tomáš & Lyócsa, Štefan, 2021. "Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 811-829.

  17. Kim, Neri & Lučivjanská, Katarína & Molnár, Peter & Villa, Roviel, 2019. "Google searches and stock market activity: Evidence from Norway," Finance Research Letters, Elsevier, vol. 28(C), pages 208-220.

    Cited by:

    1. Tihana Škrinjarić, 2019. "Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets," IJFS, MDPI, vol. 7(4), pages 1-30, October.
    2. Smales, L.A., 2021. "Investor attention and global market returns during the COVID-19 crisis," International Review of Financial Analysis, Elsevier, vol. 73(C).
    3. Chundakkadan, Radeef & Nedumparambil, Elizabeth, 2022. "In search of COVID-19 and stock market behavior," Global Finance Journal, Elsevier, vol. 54(C).
    4. Lyócsa, Štefan & Molnár, Peter, 2020. "Stock market oscillations during the corona crash: The role of fear and uncertainty," Finance Research Letters, Elsevier, vol. 36(C).
    5. Desagre, Christophe & D’Hondt, Catherine, 2021. "Googlization and retail trading activity," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    6. Salisu, Afees A. & Vo, Xuan Vinh, 2021. "Firm-specific news and the predictability of Consumer stocks in Vietnam," Finance Research Letters, Elsevier, vol. 41(C).
    7. Anh Dang & Trung Nguyen, 2021. "Valuation Effect of Emotionality in Corporate Philanthropy," Journal of Business Ethics, Springer, vol. 173(1), pages 47-67, September.
    8. Enoksen, F.A. & Landsnes, Ch.J. & Lučivjanská, K. & Molnár, P., 2020. "Understanding risk of bubbles in cryptocurrencies," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 129-144.
    9. Paulo Ferreira & Éder J.A.L. Pereira & Hernane B.B. Pereira, 2020. "From Big Data to Econophysics and Its Use to Explain Complex Phenomena," JRFM, MDPI, vol. 13(7), pages 1-10, July.
    10. Xiao, Jihong & Wang, Yudong, 2021. "Investor attention and oil market volatility: Does economic policy uncertainty matter?," Energy Economics, Elsevier, vol. 97(C).
    11. Diaz-Balteiro, L. & Alfranca, O. & Voces, R. & Soliño, M., 2023. "Using google search patterns to explain the demand for wild edible mushrooms," Forest Policy and Economics, Elsevier, vol. 152(C).
    12. Fernando Díaz & Pablo A Henríquez, 2021. "Social sentiment segregation: Evidence from Twitter and Google Trends in Chile during the COVID-19 dynamic quarantine strategy," PLOS ONE, Public Library of Science, vol. 16(7), pages 1-29, July.
    13. Daekook Kang, 2021. "Box-office forecasting in Korea using search trend data: a modified generalized Bass diffusion model," Electronic Commerce Research, Springer, vol. 21(1), pages 41-72, March.
    14. Nader Mahmoudi & Łukasz P. Olech & Paul Docherty, 2022. "A comprehensive study of domain-specific emoji meanings in sentiment classification," Computational Management Science, Springer, vol. 19(2), pages 159-197, June.
    15. Song, Yingjie & Ji, Qiang & Du, Ya-Juan & Geng, Jiang-Bo, 2019. "The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets," Energy Economics, Elsevier, vol. 84(C).
    16. 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).
    17. Sifat, Imtiaz Mohammad & Thaker, Hassanudin Mohd Thas, 2020. "Predictive power of web search behavior in five ASEAN stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    18. Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš & Molnár, Peter, 2020. "Fear of the coronavirus and the stock markets," Finance Research Letters, Elsevier, vol. 36(C).
    19. Afees A. Salisu & Ahamuefula E. Ogbonna & Idris Adediran, 2021. "Stock‐induced Google trends and the predictability of sectoral stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 327-345, March.
    20. Sakthivel SANTHOSHKUMAR & Murugesan SELVAM & Balasundram MANIAM, 2023. "The relationship between google trends search and energy commodity prices," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(637), W), pages 291-298, Winter.
    21. Zhu, Jia & Wei, Daijun, 2021. "Analysis of stock market based on visibility graph and structure entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 576(C).
    22. Lin, Zih-Ying, 2021. "Investor attention and cryptocurrency performance," Finance Research Letters, Elsevier, vol. 40(C).
    23. Ying Wang & Hongwei Zhang & Wang Gao & Cai Yang, 2023. "Spillover effects from news to travel and leisure stocks during the COVID-19 pandemic: Evidence from the time and frequency domains," Tourism Economics, , vol. 29(2), pages 460-487, March.
    24. Ming‐Hung Wu & Wei‐Che Tsai & Pei‐Shih Weng & Dan‐Yi Li, 2021. "Effects of investor attention in China's commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1315-1332, August.
    25. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš & Širaňová, Mária, 2020. "Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    26. Imene Ben El Hadj Said & Skander Slim, 2022. "The Dynamic Relationship between Investor Attention and Stock Market Volatility: International Evidence," JRFM, MDPI, vol. 15(2), pages 1-25, February.
    27. Michele Costola & Michael Donadelli & Luca Gerotto & Ivan Gufler, 2022. "Global risks, the macroeconomy, and asset prices," Empirical Economics, Springer, vol. 63(5), pages 2357-2388, November.
    28. Emre Cevik & Buket Kirci Altinkeski & Emrah Ismail Cevik & Sel Dibooglu, 2022. "Investor sentiments and stock markets during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-34, December.
    29. Nabila Jawadi & Fredj Jawadi & Abdoulkarim Idi Cheffou, 2020. "Computing the Time-Varying Effects of Investor Attention in Islamic Stock Returns," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 131-143, June.
    30. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Attention to oil prices and its impact on the oil, gold and stock markets and their covariance," Energy Economics, Elsevier, vol. 120(C).
    31. Ekinci, Cumhur & Bulut, Ali Eray, 2021. "Google search and stock returns: A study on BIST 100 stocks," Global Finance Journal, Elsevier, vol. 47(C).
    32. Chen, Zhongdong & Craig, Karen Ann, 2023. "Active attention, retail investor base, and stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    33. Raúl Gómez‐Martínez & Carmen Orden‐Cruz & Juan Gabriel Martínez‐Navalón, 2022. "Wikipedia pageviews as investors’ attention indicator for Nasdaq," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(1), pages 41-49, January.
    34. Dey, Asim K. & Hoque, G.M. Toufiqul & Das, Kumer P. & Panovska, Irina, 2022. "Impacts of COVID-19 local spread and Google search trend on the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    35. Khaskheli, Asadullah & Zhang, Hongyu & Raza, Syed Ali & Khan, Komal Akram, 2022. "Assessing the influence of news indicator on volatility of precious metals prices through GARCH-MIDAS model: A comparative study of pre and during COVID-19 period," Resources Policy, Elsevier, vol. 79(C).
    36. Miao, Miao & Khaskheli, Asadullah & Raza, Syed Ali & Yousufi, Sara Qamar, 2022. "Using internet search keyword data for predictability of precious metals prices: Evidence from non-parametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 75(C).
    37. Salisu, Afees A. & Vo, Xuan Vinh, 2020. "Predicting stock returns in the presence of COVID-19 pandemic: The role of health news," International Review of Financial Analysis, Elsevier, vol. 71(C).
    38. Lyócsa, Štefan & Molnár, Peter & Výrost, Tomáš, 2021. "Stock market volatility forecasting: Do we need high-frequency data?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1092-1110.
    39. Marmora, Paul, 2021. "Individual investor ownership and the news coverage premium," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 494-507.
    40. v{S}tefan Ly'ocsa & Tom'av{s} Pl'ihal, 2022. "Russia's Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention," Papers 2205.09179, arXiv.org.
    41. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Adewuyi, Adeolu, 2020. "Google trends and the predictability of precious metals," Resources Policy, Elsevier, vol. 65(C).
    42. Hua Wu & Taiwen Feng & Wenbo Jiang & Ting Kong, 2022. "Environmental Penalties, Investor Attention and Stock Market Reaction: Moderating Roles of Air Pollution and Industry Saliency," IJERPH, MDPI, vol. 19(5), pages 1-27, February.
    43. Goodell, John W. & Huynh, Toan Luu Duc, 2020. "Did Congress trade ahead? Considering the reaction of US industries to COVID-19," Finance Research Letters, Elsevier, vol. 36(C).
    44. Michael Olumekor & Hossam Haddad & Nidal Mahmoud Al-Ramahi, 2023. "The Relationship between Search Engines and Entrepreneurship Development: A Granger-VECM Approach," Sustainability, MDPI, vol. 15(6), pages 1-16, March.
    45. Wu, Xinyu & Xie, Haibin & Zhang, Huanming, 2022. "Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    46. Papadamou, Stephanos & Fassas, Athanasios & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2020. "Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis," MPRA Paper 100020, University Library of Munich, Germany.

  18. Aalborg, Halvor Aarhus & Molnár, Peter & de Vries, Jon Erik, 2019. "What can explain the price, volatility and trading volume of Bitcoin?," Finance Research Letters, Elsevier, vol. 29(C), pages 255-265.

    Cited by:

    1. Yan, Lei & Mirza, Nawazish & Umar, Muhammad, 2022. "The cryptocurrency uncertainties and investment transitions: Evidence from high and low carbon energy funds in China," Technological Forecasting and Social Change, Elsevier, vol. 175(C).
    2. Ghabri, Yosra & Ben Rhouma, Oussama & Gana, Marjène & Guesmi, Khaled & Benkraiem, Ramzi, 2022. "Information transmission among energy markets, cryptocurrencies, and stablecoins under pandemic conditions," International Review of Financial Analysis, Elsevier, vol. 82(C).
    3. Tihana Škrinjarić, 2019. "Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets," IJFS, MDPI, vol. 7(4), pages 1-30, October.
    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. Ramos, Sofia B. & Latoeiro, Pedro & Veiga, Helena, 2020. "Limited attention, salience of information and stock market activity," Economic Modelling, Elsevier, vol. 87(C), pages 92-108.
    6. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020. "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    7. 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).
    8. Urom, Christian & Ndubuisi, Gideon & Guesmi, Khaled, 2022. "Dynamic dependence and predictability between volume and return of Non-Fungible Tokens (NFTs): The roles of market factors and geopolitical risks," Finance Research Letters, Elsevier, vol. 50(C).
    9. 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.
    10. 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).
    11. Martina Halouskov'a & Daniel Stav{s}ek & Mat'uv{s} Horv'ath, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Papers 2205.05985, arXiv.org, revised Aug 2022.
    12. Thanasis Stengos & Theodore Panagiotidis & Orestis Vravosinos, 2020. "A principal component-guided sparse regression approach for the determination of bitcoin returns," Working Papers 2001, University of Guelph, Department of Economics and Finance.
    13. Dimitrios Koutmos & James E. Payne, 2021. "Intertemporal asset pricing with bitcoin," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 619-645, February.
    14. Yang Hu & Les Oxley & Chunlin Lang, 2019. "Can Economic Policy Uncertainty, Volume, Transaction Activity and Twitter Predict Bitcoin? Evidence from Time-Varying Granger Causality Tests," Working Papers in Economics 19/12, University of Waikato.
    15. Sarika Murty & Vijay Victor & Maria Fekete-Farkas, 2022. "Is Bitcoin a Safe Haven for Indian Investors? A GARCH Volatility Analysis," JRFM, MDPI, vol. 15(7), pages 1-13, July.
    16. Anatolyy Dzyuba & Irina Solovyeva & Dmitry Konopelko, 2023. "Managing Electricity Costs in Industrial Mining and Cryptocurrency Data Centers," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 76-90, July.
    17. Sapkota, Niranjan, 2022. "News-based sentiment and bitcoin volatility," International Review of Financial Analysis, Elsevier, vol. 82(C).
    18. Naeem, Muhammad Abubakr & Lucey, Brian M. & Karim, Sitara & Ghafoor, Abdul, 2022. "Do financial volatilities mitigate the risk of cryptocurrency indexes?," Finance Research Letters, Elsevier, vol. 50(C).
    19. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predictability of crypto returns: The impact of trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    20. Halousková, Martina & Stašek, Daniel & Horváth, Matúš, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 50(C).
    21. Yae, James & Tian, George Zhe, 2022. "Out-of-sample forecasting of cryptocurrency returns: A comprehensive comparison of predictors and algorithms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
    22. Smales, L.A., 2022. "Investor attention in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 79(C).
    23. Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2023. "An analysis of the return–volume relationship in decentralised finance (DeFi)," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 236-254.
    24. 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.
    25. Darko Vukovic & Moinak Maiti & Zoran Grubisic & Elena M. Grigorieva & Michael Frömmel, 2021. "COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave," Sustainability, MDPI, vol. 13(15), pages 1-17, July.
    26. Bourghelle, David & Jawadi, Fredj & Rozin, Philippe, 2022. "Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 294-306.
    27. Muhammad Abubakr Naeem & Sitara Karim & Aviral Kumar Tiwari, 2023. "Risk Connectedness Between Green and Conventional Assets with Portfolio Implications," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 609-637, August.
    28. Al Guindy, Mohamed, 2021. "Cryptocurrency price volatility and investor attention," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 556-570.
    29. Xun Zhang & Fengbin Lu & Rui Tao & Shouyang Wang, 2021. "The time-varying causal relationship between the Bitcoin market and internet attention," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-19, December.
    30. 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.
    31. Hoang, Lai T. & Baur, Dirk G., 2022. "Loaded for bear: Bitcoin private wallets, exchange reserves and prices," Journal of Banking & Finance, Elsevier, vol. 144(C).
    32. Karim, Sitara & Lucey, Brian M. & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2023. "The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk?," Emerging Markets Review, Elsevier, vol. 54(C).
    33. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2022. "Cryptocurrency returns under empirical asset pricing," International Review of Financial Analysis, Elsevier, vol. 82(C).
    34. Nader Mahmoudi & Łukasz P. Olech & Paul Docherty, 2022. "A comprehensive study of domain-specific emoji meanings in sentiment classification," Computational Management Science, Springer, vol. 19(2), pages 159-197, June.
    35. Alvaro Guinea Julia & Alet Roux, 2021. "Bitcoin option pricing: A market attention approach," Papers 2107.12447, arXiv.org, revised Jan 2024.
    36. Xiao Li & Weili Wu, 2020. "A Blockchain Transaction Graph based Machine Learning Method for Bitcoin Price Prediction," Papers 2008.09667, arXiv.org.
    37. Fang, Tong & Su, Zhi & Yin, Libo, 2020. "Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility," International Review of Financial Analysis, Elsevier, vol. 71(C).
    38. 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.
    39. Qiu, Yue & Wang, Zongrun & Xie, Tian & Zhang, Xinyu, 2021. "Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 179-201.
    40. Kao, Yu-Sheng & Zhao, Kai & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2024. "The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 524-542.
    41. Sharif, Arshian & Brahim, Mariem & Dogan, Eyup & Tzeremes, Panayiotis, 2023. "Analysis of the spillover effects between green economy, clean and dirty cryptocurrencies," Energy Economics, Elsevier, vol. 120(C).
    42. Huynh, Toan Luu Duc, 2021. "Does Bitcoin React to Trump’s Tweets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    43. Sabah, Nasim, 2020. "Cryptocurrency accepting venues, investor attention, and volatility," Finance Research Letters, Elsevier, vol. 36(C).
    44. 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.
    45. 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.
    46. Taoufik Bouraoui, 2020. "The drivers of Bitcoin trading volume in selected emerging countries," Post-Print hal-03004413, HAL.
    47. Carl Luft & Jin Man Lee & Jin W. Choi, 2019. "“Chicago Mercantile Exchange Bitcoin Futures: Volatility, Liquidity and Margin”," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 69(3), pages 55-74, July-Sept.
    48. Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021. "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 483-499.
    49. Dag, Ali & Dag, Asli Z. & Asilkalkan, Abdullah & Simsek, Serhat & Delen, Dursun, 2023. "A Tree Augmented Naïve Bayes-based methodology for classifying cryptocurrency trends," Journal of Business Research, Elsevier, vol. 156(C).
    50. Yarovaya, Larisa & Zięba, Damian, 2022. "Intraday volume-return nexus in cryptocurrency markets: Novel evidence from cryptocurrency classification," Research in International Business and Finance, Elsevier, vol. 60(C).
    51. Sayar Karmakar & Riza Demirer & Rangan Gupta, 2021. "Bitcoin Mining Activity and Volatility Dynamics in the Power Market," Working Papers 202166, University of Pretoria, Department of Economics.
    52. 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.
    53. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš & Širaňová, Mária, 2020. "Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    54. Wu, Chang-Che & Ho, Shu-Ling & Wu, Chih-Chiang, 2022. "The determinants of Bitcoin returns and volatility: Perspectives on global and national economic policy uncertainty," Finance Research Letters, Elsevier, vol. 45(C).
    55. 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.
    56. Hachicha, Fatma & Masmoudi, Afif & Abid, Ilyes & Obeid, Hassan, 2023. "Herding behavior in exploring the predictability of price clustering in cryptocurrency market," Finance Research Letters, Elsevier, vol. 57(C).
    57. Fiammetta Menchetti & Fabrizio Cipollini & Fabrizia Mealli, 2021. "Causal effect of regulated Bitcoin futures on volatility and volume," Papers 2109.15052, arXiv.org.
    58. Ben Nouir, Jihed & Ben Haj Hamida, Hayet, 2023. "How do economic policy uncertainty and geopolitical risk drive Bitcoin volatility?," Research in International Business and Finance, Elsevier, vol. 64(C).
    59. Clement Moyo & Andrew Phiri, 2023. "Re-Examining Bitcoin’s Price–Volume Relationship: A Time-Varying Spectral Analysis," JRFM, MDPI, vol. 16(7), pages 1-16, July.
    60. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Attention to oil prices and its impact on the oil, gold and stock markets and their covariance," Energy Economics, Elsevier, vol. 120(C).
    61. Aleksandra Rutkowska & Agata Kliber, 2021. "Say anything you want about me if you spell my name right: the effect of Internet searches on financial market," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(2), pages 633-664, June.
    62. 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).
    63. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2020. "Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models," Papers 2011.03741, arXiv.org, revised Dec 2020.
    64. Khaskheli, Asadullah & Zhang, Hongyu & Raza, Syed Ali & Khan, Komal Akram, 2022. "Assessing the influence of news indicator on volatility of precious metals prices through GARCH-MIDAS model: A comparative study of pre and during COVID-19 period," Resources Policy, Elsevier, vol. 79(C).
    65. 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).
    66. Wang, Jying-Nan & Liu, Hung-Chun & Lee, Yen-Hsien & Hsu, Yuan-Teng, 2023. "FoMO in the Bitcoin market: Revisiting and factors," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 244-253.
    67. 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).
    68. Goodell, John W. & Alon, Ilan & Chiaramonte, Laura & Dreassi, Alberto & Paltrinieri, Andrea & Piserà, Stefano, 2023. "Risk substitution in cryptocurrencies: Evidence from BRICS announcements," Emerging Markets Review, Elsevier, vol. 54(C).
    69. Mohamed Khalil Benzekri & Hatice Şehime Özütler, 2021. "On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 8(2), pages 293-309, July.
    70. Thomas Dimpfl & Stefania Odelli, 2020. "Bitcoin Price Risk—A Durations Perspective," JRFM, MDPI, vol. 13(7), pages 1-18, July.
    71. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
    72. Miao, Miao & Khaskheli, Asadullah & Raza, Syed Ali & Yousufi, Sara Qamar, 2022. "Using internet search keyword data for predictability of precious metals prices: Evidence from non-parametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 75(C).
    73. Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022. "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, vol. 59(C).
    74. 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.
    75. Yang, Jen-Wei & Chiu, Shih-Yung & Yen, Kuang-Chieh, 2023. "Does the realized distribution-based measure dominate particular moments? Evidence from cryptocurrency markets," Finance Research Letters, Elsevier, vol. 51(C).
    76. Lyócsa, Štefan & Molnár, Peter & Výrost, Tomáš, 2021. "Stock market volatility forecasting: Do we need high-frequency data?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1092-1110.
    77. Gaies, Brahim & Nakhli, Mohamed Sahbi & Sahut, Jean Michel & Guesmi, Khaled, 2021. "Is Bitcoin rooted in confidence? – Unraveling the determinants of globalized digital currencies," Technological Forecasting and Social Change, Elsevier, vol. 172(C).
    78. Walther, Thomas & Klein, Tony & Bouri, Elie, 2018. "Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting," QBS Working Paper Series 2018/02, Queen's University Belfast, Queen's Business School.
    79. Ante, Lennart & Fiedler, Ingo & Strehle, Elias, 2021. "The impact of transparent money flows: Effects of stablecoin transfers on the returns and trading volume of Bitcoin," Technological Forecasting and Social Change, Elsevier, vol. 170(C).
    80. Ha Nguyen & Bin Liu & Nirav Y. Parikh, 2020. "Exploring the short-term momentum effect in the cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 425-443, July.
    81. Ivan Mužić & Ivan Gržeta, 2022. "Expectations of Macroeconomic News Announcements: Bitcoin vs. Traditional Assets," Risks, MDPI, vol. 10(6), pages 1-15, June.
    82. 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).
    83. 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).
    84. Pinar Deniz & Thanasis Stengos, 2020. "Cryptocurrency Returns before and after the Introduction of Bitcoin Futures," JRFM, MDPI, vol. 13(6), pages 1-21, June.
    85. Qiu, Yue & Wang, Yifan & Xie, Tian, 2021. "Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies," Economics Letters, Elsevier, vol. 208(C).
    86. 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.
    87. Kubal, Jan & Kristoufek, Ladislav, 2022. "Exploring the relationship between Bitcoin price and network’s hashrate within endogenous system," International Review of Financial Analysis, Elsevier, vol. 84(C).
    88. 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.
    89. Nguyen, Thach V.H. & Nguyen, Thai Vu Hong & Nguyen, Thanh Cong & Pham, Thu Thi Anh & Nguyen, Quan M.P., 2022. "Stablecoins versus traditional cryptocurrencies in response to interbank rates," Finance Research Letters, Elsevier, vol. 47(PB).

  19. Berntsen, Martin & Bøe, Kristine Skjong & Jordal, Therese & Molnár, Peter, 2018. "Determinants of oil and gas investments on the Norwegian Continental Shelf," Energy, Elsevier, vol. 148(C), pages 904-914.

    Cited by:

    1. Theodosios Anastasios Perifanis, 2022. "The Macroeconomic Results of Diligent Resource Revenues Management: The Norwegian Case," Energies, MDPI, vol. 15(4), pages 1-14, February.
    2. Gulmira Moldabekova & Zhanarys Raimbekov & Arsen Tleppayev & Yuliya Tyurina & Raushan Yesbergen & Gulimai Amaniyazova, 2022. "The Impact of Oil Prices on the Macroeconomic Indicators of Kazakhstan and the Consequences for the Formation of Social Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 447-454, July.
    3. Ishaya Tambari & Pierre Failler, 2020. "Determining If Oil Prices Significantly Affect Renewable Energy Investment in African Countries with Energy Security Concerns," Energies, MDPI, vol. 13(24), pages 1-21, December.
    4. Şevkat Özgür & Franz Wirl, 2020. "Cross-Border Mergers and Acquisitions in the Oil and Gas Industry: An Overview," Energies, MDPI, vol. 13(21), pages 1-25, October.
    5. Bøe, Kristine S. & Jordal, Therese & Mikula, Štepán & Molnár, Peter, 2019. "Do political risks harm development of oil fields?," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 338-358.
    6. Tatiana Ponomarenko & Eugene Marin & Sergey Galevskiy, 2022. "Economic Evaluation of Oil and Gas Projects: Justification of Engineering Solutions in the Implementation of Field Development Projects," Energies, MDPI, vol. 15(9), pages 1-22, April.
    7. Zhao, Laijun & Li, Deqiang & Guo, Xiaopeng & Xue, Jian & Wang, Chenchen & Sun, Wenjun, 2021. "Cooperation risk of oil and gas resources between China and the countries along the Belt and Road," Energy, Elsevier, vol. 227(C).

  20. Erik Haugom & Guttorm A. Hoff & Peter Molnár & Maria Mortensen & Sjur Westgaard, 2018. "The Forward Premium in the Nord Pool Power Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(8), pages 1793-1807, June.

    Cited by:

    1. Tadahiro Nakajima, 2019. "Expectations for Statistical Arbitrage in Energy Futures Markets," JRFM, MDPI, vol. 12(1), pages 1-12, January.
    2. Tarjei Kristiansen, 2023. "Analyzing Risk Premiums in the Brazilian Power Market: A Quantitative Study," Commodities, MDPI, vol. 2(4), pages 1-16, November.
    3. Erik Haugom & Peter Molnár & Magne Tysdahl, 2020. "Determinants of the Forward Premium in the Nord Pool Electricity Market," Energies, MDPI, vol. 13(5), pages 1-18, March.
    4. Cao, K.H. & Qi, H.S. & Tsai, C.H. & Woo, C.K. & Zarnikau, J., 2021. "Energy trading efficiency in the US Midcontinent electricity markets," Applied Energy, Elsevier, vol. 302(C).
    5. Størdal, Ståle & Ewald, Christian-Oliver & Lien, Gudbrand & Haugom, Erik, 2023. "Trading time seasonality in electricity futures," Journal of Commodity Markets, Elsevier, vol. 31(C).
    6. Ewald, Christian-Oliver & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Wu, Yuexiang, 2022. "Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?," Energy Economics, Elsevier, vol. 115(C).

  21. Bašta, Milan & Molnár, Peter, 2018. "Oil market volatility and stock market volatility," Finance Research Letters, Elsevier, vol. 26(C), pages 204-214.

    Cited by:

    1. Kang, Sang Hoon & Arreola Hernandez, Jose & Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2023. "Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities," Resources Policy, Elsevier, vol. 81(C).
    2. María Nieves López-García & Miguel Angel Sánchez-Granero & Juan Evangelista Trinidad-Segovia & Antonio Manuel Puertas & Francisco Javier De las Nieves, 2021. "Volatility Co-Movement in Stock Markets," Mathematics, MDPI, vol. 9(6), pages 1-19, March.
    3. Gaoke Liao & Zhenghui Li & Ziqing Du & Yue Liu, 2019. "The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks," Energies, MDPI, vol. 12(11), pages 1-17, June.
    4. Bai, Lan & Wei, Yu & Wei, Guiwu & Li, Xiafei & Zhang, Songyun, 2021. "Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective," Finance Research Letters, Elsevier, vol. 40(C).
    5. Loretta Mastroeni & Alessandro Mazzoccoli & Greta Quaresima & Pierluigi Vellucci, 2021. "Wavelet analysis and energy-based measures for oil-food price relationship as a footprint of financialisation effect," Papers 2104.11891, arXiv.org, revised Mar 2022.
    6. Sami Ben Jabeur & Rabeh Khalfaoui & Wissal Ben Arfi, 2021. "The effect of green energy, global environmental indexes, and stock markets in predicting oil price crashes: Evidence from explainable machine learning," Post-Print hal-03797577, HAL.
    7. Celina Löwen & Bilal Kchouri & Thorsten Lehnert, 2021. "Is this time really different? Flight-to-safety and the COVID-19 crisis," PLOS ONE, Public Library of Science, vol. 16(5), pages 1-17, May.
    8. Tian, Meiyu & Li, Wanyang & Wen, Fenghua, 2021. "The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    9. Dimpfl, Thomas & Peter, Franziska J., 2018. "Analyzing volatility transmission using group transfer entropy," Energy Economics, Elsevier, vol. 75(C), pages 368-376.
    10. Kaushik Ranjan Bandyopadhyay, 2022. "Oil and Gas Markets and COVID-19: A Critical Rumination on Drivers, Triggers, and Volatility," Energies, MDPI, vol. 15(8), pages 1-21, April.
    11. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Attention to oil prices and its impact on the oil, gold and stock markets and their covariance," Energy Economics, Elsevier, vol. 120(C).
    12. Stoupos, Nikolaos & Kiohos, Apostolos, 2021. "Energy commodities and advanced stock markets: A post-crisis approach," Resources Policy, Elsevier, vol. 70(C).
    13. Daniel Ştefan Armeanu & Camelia Cătălina Joldeş & Ştefan Cristian Gherghina, 2019. "On the Linkage between the Energy Market and Stock Returns: Evidence from Romania," Energies, MDPI, vol. 12(8), pages 1-21, April.
    14. Tong Fang & Deyu Miao & Zhi Su & Libo Yin, 2023. "Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 872-904, July.
    15. Das, Debojyoti & Maitra, Debasish & Dutta, Anupam & Basu, Sankarshan, 2022. "Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework," Energy Economics, Elsevier, vol. 115(C).
    16. Asadi, Mehrad & Pham, Son D. & Nguyen, Thao T.T. & Do, Hung Xuan & Brooks, Robert, 2023. "The nexus between oil and airline stock returns: Does time frequency matter?," Energy Economics, Elsevier, vol. 117(C).

  22. Thies, Sven & Molnár, Peter, 2018. "Bayesian change point analysis of Bitcoin returns," Finance Research Letters, Elsevier, vol. 27(C), pages 223-227.

    Cited by:

    1. Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2022. "On the volatility of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 62(C).
    2. 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).
    3. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020. "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    4. 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.
    5. Ke, Rui & Yang, Luyao & Tan, Changchun, 2022. "Forecasting tail risk for Bitcoin: A dynamic peak over threshold approach," Finance Research Letters, Elsevier, vol. 49(C).
    6. Ardia, David & Bluteau, Keven & Rüede, Maxime, 2019. "Regime changes in Bitcoin GARCH volatility dynamics," Finance Research Letters, Elsevier, vol. 29(C), pages 266-271.
    7. Aloosh, Arash & Ouzan, Samuel, 2020. "The psychology of cryptocurrency prices," Finance Research Letters, Elsevier, vol. 33(C).
    8. 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.
    9. Dimitrios Koutmos & James E. Payne, 2021. "Intertemporal asset pricing with bitcoin," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 619-645, February.
    10. 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.
    11. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2019. "Non-Linearities, Cyber Attacks and Cryptocurrencies," CESifo Working Paper Series 7692, CESifo.
    12. Katsiampa, Paraskevi & Corbet, Shaen & Lucey, Brian, 2019. "Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis," Finance Research Letters, Elsevier, vol. 29(C), pages 68-74.
    13. Cretarola, Alessandra & Figà-Talamanca, Gianna, 2020. "Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics," Economics Letters, Elsevier, vol. 191(C).
    14. Fantazzini, Dean & Zimin, Stephan, 2019. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper 95988, University Library of Munich, Germany.
    15. 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.
    16. Gao, Lingbo & Ye, Wuyi & Guo, Ranran, 2022. "Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model," Finance Research Letters, Elsevier, vol. 48(C).
    17. Bazán-Palomino, Walter, 2021. "How are Bitcoin forks related to Bitcoin?," Finance Research Letters, Elsevier, vol. 40(C).
    18. Mawuli Segnon & Stelios Bekiros, 2020. "Forecasting volatility in bitcoin market," Annals of Finance, Springer, vol. 16(3), pages 435-462, September.
    19. CELIK, Ismail, 2020. "Can Bitcoin Be A Stable Investment?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 24(2), pages 19-36, June.
    20. Chappell, Daniel, 2018. "Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models," MPRA Paper 90682, University Library of Munich, Germany.
    21. Taurai Muvunza, 2020. "An $\alpha$-Stable Approach to Modelling Highly Speculative Assets and Cryptocurrencies," Papers 2002.09881, arXiv.org, revised Jul 2023.
    22. Mingbo Zheng & Gen-Fu Feng & Xinxin Zhao & Chun-Ping Chang, 2023. "The transaction behavior of cryptocurrency and electricity consumption," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-18, December.
    23. 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.
    24. T. Takaishi, 2021. "Power-Law Return-Volatility Cross Correlations of Bitcoin," Papers 2102.08187, arXiv.org.
    25. Donglian Ma & Pengxiang Zhai, 2021. "The Accuracy of the Tick Rule in the Bitcoin Market," SAGE Open, , vol. 11(2), pages 21582440211, May.
    26. Farman Ullah Khan & Faridoon Khan & Parvez Ahmed Shaikh, 2023. "Forecasting returns volatility of cryptocurrency by applying various deep learning algorithms," Future Business Journal, Springer, vol. 9(1), pages 1-11, December.
    27. Canh, Nguyen Phuc & Wongchoti, Udomsak & Thanh, Su Dinh & Thong, Nguyen Trung, 2019. "Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model," Finance Research Letters, Elsevier, vol. 29(C), pages 90-100.
    28. 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.
    29. Takaishi, Tetsuya, 2020. "Rough volatility of Bitcoin," Finance Research Letters, Elsevier, vol. 32(C).
    30. Mizerka, Jacek & Stróżyńska-Szajek, Agnieszka & Mizerka, Piotr, 2020. "The role of Bitcoin on developed and emerging markets – on the basis of a Bitcoin users graph analysis," Finance Research Letters, Elsevier, vol. 35(C).
    31. Moussa, Wajdi & Mgadmi, Nidhal & Béjaoui, Azza & Regaieg, Rym, 2021. "Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model," Resources Policy, Elsevier, vol. 74(C).
    32. Park, Beum-Jo, 2022. "The COVID-19 pandemic, volatility, and trading behavior in the bitcoin futures market," Research in International Business and Finance, Elsevier, vol. 59(C).
    33. 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.
    34. Charakopoulos, Avraam & Karakasidis, Theodoros, 2022. "Backward Degree a new index for online and offline change point detection based on complex network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    35. José Antonio Núñez-Mora & Roberto Joaquín Santillán-Salgado & Mario Iván Contreras-Valdez, 2022. "COVID Asymmetric Impact on the Risk Premium of Developed and Emerging Countries’ Stock Markets," Mathematics, MDPI, vol. 10(9), pages 1-36, April.
    36. Aalborg, Halvor Aarhus & Molnár, Peter & de Vries, Jon Erik, 2019. "What can explain the price, volatility and trading volume of Bitcoin?," Finance Research Letters, Elsevier, vol. 29(C), pages 255-265.
    37. Rui Qiang & Eric Ruggieri, 2023. "Autocorrelation and Parameter Estimation in a Bayesian Change Point Model," Mathematics, MDPI, vol. 11(5), pages 1-22, February.
    38. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2020. "Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models," Papers 2011.03741, arXiv.org, revised Dec 2020.
    39. Rolando de la Cruz & Cristian Meza & Nicolás Narria & Claudio Fuentes, 2022. "A Bayesian Change Point Analysis of the USD/CLP Series in Chile from 2018 to 2020: Understanding the Impact of Social Protests and the COVID-19 Pandemic," Mathematics, MDPI, vol. 10(18), pages 1-15, September.
    40. Malek, Jiri & Nguyen, Duc Khuong & Sensoy, Ahmet & Tran, Quang Van, 2023. "Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations," Finance Research Letters, Elsevier, vol. 55(PA).
    41. 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.
    42. Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022. "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, vol. 59(C).
    43. Esfandiar Maasoumi & Xi Wu, 2021. "Contrasting Cryptocurrencies with Other Assets: Full Distributions and the COVID Impact," JRFM, MDPI, vol. 14(9), pages 1-15, September.
    44. Li, Zhenghui & Chen, Liming & Dong, Hao, 2021. "What are bitcoin market reactions to its-related events?," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 1-10.
    45. 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).
    46. Gradojevic, Nikola & Kukolj, Dragan & Adcock, Robert & Djakovic, Vladimir, 2023. "Forecasting Bitcoin with technical analysis: A not-so-random forest?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 1-17.
    47. 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).
    48. Tetsuya Takaishi, 2021. "Time-varying properties of asymmetric volatility and multifractality in Bitcoin," Papers 2102.07425, arXiv.org.
    49. 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.
    50. Mawuli Segnon & Stelios Bekiros, 2019. "Forecasting Volatility in Cryptocurrency Markets," CQE Working Papers 7919, Center for Quantitative Economics (CQE), University of Muenster.

  23. Lyócsa, Štefan & Molnár, Peter, 2018. "Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds," Energy, Elsevier, vol. 155(C), pages 462-473.

    Cited by:

    1. Amaro, Raphael & Pinho, Carlos & Madaleno, Mara, 2022. "Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 77-101.
    2. Wu, Bi-Bo, 2021. "The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?," Journal of Commodity Markets, Elsevier, vol. 23(C).
    3. Lyócsa, Štefan & Todorova, Neda, 2020. "Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 628-645.
    4. Naeem, Muhammad & Umar, Zaghum & Ahmed, Sheraz & Ferrouhi, El Mehdi, 2020. "Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    5. Rangan Gupta & Christian Pierdzioch, 2021. "Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment," Working Papers 202175, University of Pretoria, Department of Economics.
    6. Liang, Chao & Xia, Zhenglan & Lai, Xiaodong & Wang, Lu, 2022. "Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model," Energy Economics, Elsevier, vol. 116(C).
    7. Luo, Jiawen & Ji, Qiang & Klein, Tony & Todorova, Neda & Zhang, Dayong, 2020. "On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks," Energy Economics, Elsevier, vol. 89(C).
    8. Lyócsa, Štefan & Todorova, Neda & Výrost, Tomáš, 2021. "Predicting risk in energy markets: Low-frequency data still matter," Applied Energy, Elsevier, vol. 282(PA).
    9. Horpestad, Jone B. & Lyócsa, Štefan & Molnár, Peter & Olsen, Torbjørn B., 2019. "Asymmetric volatility in equity markets around the world," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 540-554.
    10. Delis, Panagiotis & Degiannakis, Stavros & Giannopoulos, Kostantinos, 2021. "What should be taken into consideration when forecasting oil implied volatility index?," MPRA Paper 110831, University Library of Munich, Germany.
    11. Yaxian Lu & Longguang Yang & Lihong Liu, 2019. "Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis," Sustainability, MDPI, vol. 11(2), pages 1-12, January.
    12. Lyócsa, Štefan & Todorova, Neda, 2021. "What drives volatility of the U.S. oil and gas firms?," Energy Economics, Elsevier, vol. 100(C).
    13. Alizadeh, Amir H. & Huang, Chih-Yueh & Marsh, Ian W., 2021. "Modelling the volatility of TOCOM energy futures: A regime switching realised volatility approach," Energy Economics, Elsevier, vol. 93(C).
    14. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš & Širaňová, Mária, 2020. "Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    15. Zargar, Faisal Nazir & Kumar, Dilip, 2020. "Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 271-285.
    16. Gil, Cohen, 2022. "Intraday Trading of Precious Metals Futures Using Algorithmic Systems," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
    17. Liu, Yuanyuan & Niu, Zibo & Suleman, Muhammad Tahir & Yin, Libo & Zhang, Hongwei, 2022. "Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework," Energy, Elsevier, vol. 238(PA).
    18. Lyócsa, Štefan & Molnár, Peter & Výrost, Tomáš, 2021. "Stock market volatility forecasting: Do we need high-frequency data?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1092-1110.

  24. Christoffer Bordonado & Peter Molnár & Sven R. Samdal, 2017. "VIX Exchange Traded Products: Price Discovery, Hedging, and Trading Strategy," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(2), pages 164-183, February.

    Cited by:

    1. Wei‐Han Liu & Jow‐Ran Chang, 2022. "What can inverse VIX contribute to an investment portfolio?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3791-3798, July.
    2. Kang, Sang Hoon & Arreola Hernandez, Jose & Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2023. "Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities," Resources Policy, Elsevier, vol. 81(C).
    3. Ran Lu & Hongjun Zeng, 2022. "VIX and major agricultural future markets: dynamic linkage and time-frequency relations around the COVID-19 outbreak," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(2), pages 334-353, September.
    4. Kim Christensen & Charlotte Christiansen & Anders M. Posselt, 2019. "The Economic Value of VIX ETPs," CREATES Research Papers 2019-14, Department of Economics and Business Economics, Aarhus University.
    5. Sebastian A. Gehricke & Jin E. Zhang, 2020. "Modeling VXX under jump diffusion with stochastic long‐term mean," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1508-1534, October.
    6. Hsiu-Chuan Lee & Donald Lien & Her-Jiun Sheu, 2023. "Hedging performance of volatility index futures: a partial cointegration approach," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 265-294, July.
    7. Hongfei Tang & Xiaoqing Eleanor Xu, 2019. "Dissecting the tracking performance of regular and leveraged VIX ETPs," Review of Derivatives Research, Springer, vol. 22(2), pages 261-327, July.
    8. Jui‐Cheng Hung & Hung‐Chun Liu & J. Jimmy Yang, 2023. "Does the tail risk index matter in forecasting downside risk?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3451-3466, July.
    9. Ole Linnemann Nielsen & Anders Merrild Posselt, 2022. "Betting on mean reversion in the VIX? Evidence from ETP flows," CREATES Research Papers 2022-06, Department of Economics and Business Economics, Aarhus University.
    10. Per Bjarte Solibakke, 2022. "Projecting and Forecasting the Latent Volatility for the Nasdaq OMX Nordic/Baltic Financial Electricity Market Applying Stochastic Volatility Market Characteristics," Energies, MDPI, vol. 15(10), pages 1-20, May.
    11. Milan Bašta & Peter Molnár, 2019. "Long‐term dynamics of the VIX index and its tradable counterpart VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 322-341, March.
    12. Gehricke, Sebastian A. & Zhang, Jin E., 2021. "Tracking performance of VIX futures ETPs," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 103-117.
    13. John, Alexander & DeVault, Luke, 2023. "Implicit leverage: Can accrued fees cause levered ETN returns?," Finance Research Letters, Elsevier, vol. 55(PB).
    14. James S. Doran, 2020. "Volatility as an asset class: Holding VIX in a portfolio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 841-859, June.
    15. Bašta, Milan & Molnár, Peter, 2018. "Oil market volatility and stock market volatility," Finance Research Letters, Elsevier, vol. 26(C), pages 204-214.

  25. Bouri, Elie & Molnár, Peter & Azzi, Georges & Roubaud, David & Hagfors, Lars Ivar, 2017. "On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?," Finance Research Letters, Elsevier, vol. 20(C), pages 192-198.
    See citations under working paper version above.
  26. Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017. "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 228-247.

    Cited by:

    1. Donghua Wang & Yang Xin & Xiaohui Chang & Xingze Su, 2021. "Realized volatility forecasting and volatility spillovers: Evidence from Chinese non‐ferrous metals futures," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2713-2731, April.
    2. Gong, Xu & Xu, Jun & Liu, Tangyong & Zhou, Zicheng, 2022. "Dynamic volatility connectedness between industrial metal markets," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    3. Lyócsa, Štefan & Todorova, Neda & Výrost, Tomáš, 2021. "Predicting risk in energy markets: Low-frequency data still matter," Applied Energy, Elsevier, vol. 282(PA).
    4. Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2022. "Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models," International Journal of Forecasting, Elsevier, vol. 38(1), pages 51-73.
    5. Horpestad, Jone B. & Lyócsa, Štefan & Molnár, Peter & Olsen, Torbjørn B., 2019. "Asymmetric volatility in equity markets around the world," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 540-554.
    6. Lyócsa, Štefan & Molnár, Peter, 2018. "Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds," Energy, Elsevier, vol. 155(C), pages 462-473.
    7. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
    8. Han, Xuyuan & Liu, Zhenya & Wang, Shixuan, 2022. "An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting," Journal of Commodity Markets, Elsevier, vol. 25(C).
    9. Díaz, Juan D. & Hansen, Erwin & Cabrera, Gabriel, 2021. "Economic drivers of commodity volatility: The case of copper," Resources Policy, Elsevier, vol. 73(C).
    10. Díaz, Juan D. & Hansen, Erwin & Cabrera, Gabriel, 2020. "A random walk through the trees: Forecasting copper prices using decision learning methods," Resources Policy, Elsevier, vol. 69(C).
    11. Yaxian Lu & Longguang Yang & Lihong Liu, 2019. "Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis," Sustainability, MDPI, vol. 11(2), pages 1-12, January.
    12. Lyócsa, Štefan & Todorova, Neda, 2021. "What drives volatility of the U.S. oil and gas firms?," Energy Economics, Elsevier, vol. 100(C).
    13. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
    14. Todorova, Neda & Clements, Adam E., 2018. "The volatility-volume relationship in the LME futures market for industrial metals," Resources Policy, Elsevier, vol. 58(C), pages 111-124.
    15. Rubaszek, Michał & Karolak, Zuzanna & Kwas, Marek, 2020. "Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective," Resources Policy, Elsevier, vol. 65(C).
    16. Lyócsa, Štefan & Molnár, Peter & Výrost, Tomáš, 2021. "Stock market volatility forecasting: Do we need high-frequency data?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1092-1110.
    17. Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2019. "Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models," QBS Working Paper Series 2019/10, Queen's University Belfast, Queen's Business School.
    18. Plíhal, Tomáš & Lyócsa, Štefan, 2021. "Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 811-829.

  27. Lyócsa, Štefan & Molnár, Peter, 2017. "The effect of non-trading days on volatility forecasts in equity markets," Finance Research Letters, Elsevier, vol. 23(C), pages 39-49.

    Cited by:

    1. Lyócsa, Štefan & Todorova, Neda, 2020. "Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 628-645.
    2. Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017. "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 228-247.
    3. Horpestad, Jone B. & Lyócsa, Štefan & Molnár, Peter & Olsen, Torbjørn B., 2019. "Asymmetric volatility in equity markets around the world," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 540-554.
    4. Díaz-Mendoza, Ana-Carmen & Pardo, Angel, 2020. "Holidays, weekends and range-based volatility," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    5. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2020. "Volatility forecasting using related markets’ information for the Tokyo stock exchange," Economic Modelling, Elsevier, vol. 90(C), pages 143-158.
    6. Zargar, Faisal Nazir & Kumar, Dilip, 2020. "Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 271-285.

  28. Elie Bouri & Naji Jalkh & Peter Molnár & David Roubaud, 2017. "Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?," Applied Economics, Taylor & Francis Journals, vol. 49(50), pages 5063-5073, October.
    See citations under working paper version above.
  29. Do, Linh Phuong Catherine & Lin, Kuan-Heng & Molnár, Peter, 2016. "Electricity consumption modelling: A case of Germany," Economic Modelling, Elsevier, vol. 55(C), pages 92-101.

    Cited by:

    1. Hu, Junjie & López Cabrera, Brenda & Melzer, Awdesch, 2021. "Advanced statistical learning on short term load process forecasting," IRTG 1792 Discussion Papers 2021-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    2. Falk, Martin & Lin, Xiang, 2018. "Sensitivity of winter tourism to temperature increases over the last decades," Economic Modelling, Elsevier, vol. 71(C), pages 174-183.
    3. Marie Bessec & Julien Fouquau, 2018. "Short-run electricity load forecasting with combinations of stationary wavelet transforms," Post-Print hal-01644930, HAL.
    4. Seong, Byeongchan & Lee, Kiseop, 2021. "Intervention analysis based on exponential smoothing methods: Applications to 9/11 and COVID-19 effects," Economic Modelling, Elsevier, vol. 98(C), pages 290-301.
    5. Cyril Martin de Lagarde & Frédéric Lantz, 2017. "Impact of Variable Renewable Production on Electriciy Prices in Germany : A Markov Switching Model," Working Papers hal-03187020, HAL.
    6. Zhang, Ning & Li, Zhiying & Zou, Xun & Quiring, Steven M., 2019. "Comparison of three short-term load forecast models in Southern California," Energy, Elsevier, vol. 189(C).
    7. Angreine Kewo & Pinrolinvic D. K. Manembu & Per Sieverts Nielsen, 2020. "Synthesising Residential Electricity Load Profiles at the City Level Using a Weighted Proportion (Wepro) Model," Energies, MDPI, vol. 13(14), pages 1-28, July.
    8. Guo, Zhifeng & Zhou, Kaile & Zhang, Xiaoling & Yang, Shanlin, 2018. "A deep learning model for short-term power load and probability density forecasting," Energy, Elsevier, vol. 160(C), pages 1186-1200.
    9. Cerqueira, Pedro André & Pereira da Silva, Patrícia, 2023. "Assessment of the impact of COVID-19 lockdown measures on electricity consumption – Evidence from Portugal and Spain," Energy, Elsevier, vol. 282(C).
    10. Bourdeau-Brien, Michael & Kryzanowski, Lawrence, 2020. "Natural disasters and risk aversion," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 818-835.
    11. Adom, Philip Kofi, 2016. "Electricity Supply and System losses in Ghana. What is the red line? Have we crossed over?," MPRA Paper 74559, University Library of Munich, Germany, revised 11 Nov 2016.
    12. Narayana, Mahinsasa & Sunderland, Keith M. & Putrus, Ghanim & Conlon, Michael F., 2017. "Adaptive linear prediction for optimal control of wind turbines," Renewable Energy, Elsevier, vol. 113(C), pages 895-906.
    13. Auer, Benjamin R., 2016. "How does Germany's green energy policy affect electricity market volatility? An application of conditional autoregressive range models," Energy Policy, Elsevier, vol. 98(C), pages 621-628.
    14. Do, Linh Phuong Catherine & Lyócsa, Štefan & Molnár, Peter, 2021. "Residual electricity demand: An empirical investigation," Applied Energy, Elsevier, vol. 283(C).
    15. Ciarreta, Aitor & Espinosa, Maria Paz & Pizarro-Irizar, Cristina, 2023. "Pricing policies for efficient demand side management in liberalized electricity markets," Economic Modelling, Elsevier, vol. 121(C).
    16. Miguel López & Sergio Valero & Carlos Sans & Carolina Senabre, 2020. "Use of Available Daylight to Improve Short-Term Load Forecasting Accuracy," Energies, MDPI, vol. 14(1), pages 1-14, December.
    17. Martin de Lagarde, Cyril & Lantz, Frédéric, 2018. "How renewable production depresses electricity prices: Evidence from the German market," Energy Policy, Elsevier, vol. 117(C), pages 263-277.
    18. Jin, Yi & Behrens, Paul & Tukker, Arnold & Scherer, Laura, 2021. "The energy-water nexus of China’s interprovincial and seasonal electric power transmission," Applied Energy, Elsevier, vol. 286(C).
    19. Chabouni, Naima & Belarbi, Yacine & Benhassine, Wassim, 2020. "Electricity load dynamics, temperature and seasonality Nexus in Algeria," Energy, Elsevier, vol. 200(C).
    20. Thomas Mobius & Mira Watermeyer & Oliver Grothe & Felix Musgens, 2023. "Enhancing Energy System Models Using Better Load Forecasts," Papers 2302.11017, arXiv.org.
    21. Ollech, Daniel, 2021. "Economic analysis using higher frequency time series: Challenges for seasonal adjustment," Discussion Papers 53/2021, Deutsche Bundesbank.
    22. Paul Anton Verwiebe & Stephan Seim & Simon Burges & Lennart Schulz & Joachim Müller-Kirchenbauer, 2021. "Modeling Energy Demand—A Systematic Literature Review," Energies, MDPI, vol. 14(23), pages 1-58, November.
    23. Martina Assereto & Julie Byrne, 2020. "The Implications of Policy Uncertainty on Solar Photovoltaic Investment," Energies, MDPI, vol. 13(23), pages 1-20, November.

  30. Peter Molnár, 2016. "High-low range in GARCH models of stock return volatility," Applied Economics, Taylor & Francis Journals, vol. 48(51), pages 4977-4991, November.

    Cited by:

    1. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020. "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    2. Gábor Petneházi & József Gáll, 2019. "Exploring the predictability of range‐based volatility estimators using recurrent neural networks," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 26(3), pages 109-116, July.
    3. Shay Kee Tan & Kok Haur Ng & Jennifer So-Kuen Chan, 2022. "Predicting Returns, Volatilities and Correlations of Stock Indices Using Multivariate Conditional Autoregressive Range and Return Models," Mathematics, MDPI, vol. 11(1), pages 1-24, December.
    4. Enoksen, F.A. & Landsnes, Ch.J. & Lučivjanská, K. & Molnár, P., 2020. "Understanding risk of bubbles in cryptocurrencies," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 129-144.
    5. Piotr Fiszeder & Marta Ma³ecka, 2022. "Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(4), pages 939-967, December.
    6. Lyócsa, Štefan & Todorova, Neda & Výrost, Tomáš, 2021. "Predicting risk in energy markets: Low-frequency data still matter," Applied Energy, Elsevier, vol. 282(PA).
    7. Chengbo Fu, 2021. "Time-Varying Risk and the Relation between Idiosyncratic Risk and Stock Return," JRFM, MDPI, vol. 14(9), pages 1-16, September.
    8. Marcin Fałdziński & Piotr Fiszeder & Witold Orzeszko, 2020. "Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression," Energies, MDPI, vol. 14(1), pages 1-18, December.
    9. Tran, Thuy Nhung, 2022. "The Volatility of the Stock Market and Financial Cycle: GARCH Family Models," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 56(1), pages 151-168.
    10. Fiszeder, Piotr & Fałdziński, Marcin, 2019. "Improving forecasts with the co-range dynamic conditional correlation model," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    11. Nagaraj Naik & Biju R. Mohan, 2021. "Stock Price Volatility Estimation Using Regime Switching Technique-Empirical Study on the Indian Stock Market," Mathematics, MDPI, vol. 9(14), pages 1-18, July.
    12. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
    13. José Luis Miralles-Quirós & María Mar Miralles-Quirós, 2021. "Alternative Financial Methods for Improving the Investment in Renewable Energy Companies," Mathematics, MDPI, vol. 9(9), pages 1-25, May.
    14. Díaz-Mendoza, Ana-Carmen & Pardo, Angel, 2020. "Holidays, weekends and range-based volatility," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    15. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2019. "Range-based DCC models for covariance and value-at-risk forecasting," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 58-76.
    16. Deb, Prokash & Dey, Madan M. & Surathkal, Prasanna, 2021. "Fish Price Volatility Dynamics in Bangladesh," 2021 Annual Meeting, August 1-3, Austin, Texas 314077, Agricultural and Applied Economics Association.
    17. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Attention to oil prices and its impact on the oil, gold and stock markets and their covariance," Energy Economics, Elsevier, vol. 120(C).
    18. Lyócsa, Štefan & Molnár, Peter & Výrost, Tomáš, 2021. "Stock market volatility forecasting: Do we need high-frequency data?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1092-1110.
    19. Zaremba, Adam, 2019. "Price range and the cross-section of expected country and industry returns," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 174-189.

  31. Štefan Lyócsa & Peter Molnár, 2016. "Volatility forecasting of strategically linked commodity ETFs: gold-silver," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1809-1822, December.

    Cited by:

    1. Demirer, Riza & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2019. "Time-varying risk aversion and realized gold volatility," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    2. Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017. "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 228-247.
    3. Bergsli, Lykke Øverland & Lind, Andrea Falk & Molnár, Peter & Polasik, Michał, 2022. "Forecasting volatility of Bitcoin," Research in International Business and Finance, Elsevier, vol. 59(C).
    4. Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2022. "Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 73(8), pages 1755-1767, August.
    5. Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2022. "Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models," International Journal of Forecasting, Elsevier, vol. 38(1), pages 51-73.
    6. Horpestad, Jone B. & Lyócsa, Štefan & Molnár, Peter & Olsen, Torbjørn B., 2019. "Asymmetric volatility in equity markets around the world," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 540-554.
    7. Lyócsa, Štefan & Molnár, Peter, 2018. "Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds," Energy, Elsevier, vol. 155(C), pages 462-473.
    8. Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Do, Hung Xuan & Smyth, Russell, 2020. "Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets," Energy Economics, Elsevier, vol. 86(C).
    9. Aalborg, Halvor Aarhus & Molnár, Peter & de Vries, Jon Erik, 2019. "What can explain the price, volatility and trading volume of Bitcoin?," Finance Research Letters, Elsevier, vol. 29(C), pages 255-265.
    10. Lyócsa, Štefan & Molnár, Peter, 2017. "The effect of non-trading days on volatility forecasts in equity markets," Finance Research Letters, Elsevier, vol. 23(C), pages 39-49.
    11. Plíhal, Tomáš & Lyócsa, Štefan, 2021. "Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 811-829.

  32. Bijl, Laurens & Kringhaug, Glenn & Molnár, Peter & Sandvik, Eirik, 2016. "Google searches and stock returns," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 150-156.

    Cited by:

    1. Falik Shear & Badar Nadeem Ashraf & Mohsin Sadaqat, 2020. "Are Investors’ Attention and Uncertainty Aversion the Risk Factors for Stock Markets? International Evidence from the COVID-19 Crisis," Risks, MDPI, vol. 9(1), pages 1-15, December.
    2. Jichang Dong & Wei Dai & Ying Liu & Lean Yu & Jie Wang, 2019. "Forecasting Chinese Stock Market Prices using Baidu Search Index with a Learning-Based Data Collection Method," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1605-1629, September.
    3. Tihana Škrinjarić, 2019. "Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets," IJFS, MDPI, vol. 7(4), pages 1-30, October.
    4. Timmermann, Allan & Møller, Stig & Pedersen, Thomas & Schütte, Erik Christian Montes, 2021. "Search and Predictability of Prices in the Housing Market," CEPR Discussion Papers 15875, C.E.P.R. Discussion Papers.
    5. Smales, L.A., 2021. "Investor attention and global market returns during the COVID-19 crisis," International Review of Financial Analysis, Elsevier, vol. 73(C).
    6. Lyócsa, Štefan & Molnár, Peter, 2020. "Stock market oscillations during the corona crash: The role of fear and uncertainty," Finance Research Letters, Elsevier, vol. 36(C).
    7. Martina Halouskov'a & Daniel Stav{s}ek & Mat'uv{s} Horv'ath, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Papers 2205.05985, arXiv.org, revised Aug 2022.
    8. Ishani Chaudhuri & Parthajit Kayal, 2022. "Predicting Power of Ticker Search Volume in Indian Stock Market," Working Papers 2022-214, Madras School of Economics,Chennai,India.
    9. Salisu, Afees A. & Ogbonna, Ahamuefula E., 2022. "The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect," Global Finance Journal, Elsevier, vol. 54(C).
    10. Schaer, Oliver & Kourentzes, Nikolaos & Fildes, Robert, 2019. "Demand forecasting with user-generated online information," International Journal of Forecasting, Elsevier, vol. 35(1), pages 197-212.
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  33. Fleten, Stein-Erik & Linnerud, Kristin & Molnár, Peter & Tandberg Nygaard, Maria, 2016. "Green electricity investment timing in practice: Real options or net present value?," Energy, Elsevier, vol. 116(P1), pages 498-506.

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    1. Ganhammar, Kajsa, 2021. "The effect of regulatory uncertainty in green certificate markets: Evidence from the Swedish-Norwegian market," Energy Policy, Elsevier, vol. 158(C).
    2. Bigerna, Simona & Wen, Xingang & Hagspiel, Verena & Kort, Peter M., 2019. "Green electricity investments: Environmental target and the optimal subsidy," European Journal of Operational Research, Elsevier, vol. 279(2), pages 635-644.
    3. Simona Bigerna & Xingang Wen & Verena Hagspiel & Peter M. Kort, 2018. "Green Electricity Investments: Environmental Target and the Optimal Subsidy," Quaderni del Dipartimento di Economia, Finanza e Statistica 29/2018, Università di Perugia, Dipartimento Economia.
    4. Copiello, Sergio & Gabrielli, Laura & Bonifaci, Pietro, 2017. "Evaluation of energy retrofit in buildings under conditions of uncertainty: The prominence of the discount rate," Energy, Elsevier, vol. 137(C), pages 104-117.
    5. Gyanendra Singh Sisodia & Einas Awad & Heba Alkhoja & Bruno S. Sergi, 2020. "Strategic business risk evaluation for sustainable energy investment and stakeholder engagement: A proposal for energy policy development in the Middle East through Khalifa funding and land subsidies," Business Strategy and the Environment, Wiley Blackwell, vol. 29(6), pages 2789-2802, September.
    6. Compernolle, T. & Huisman, Kuno & Kort, Peter M. & Lavrutich, Maria & Nunes, Claudia & Thijssen, J.J.J., 2018. "Investment Decisions with Two-Factor Uncertainty," Discussion Paper 2018-003, Tilburg University, Center for Economic Research.
    7. Locatelli, Giorgio & Mancini, Mauro & Lotti, Giovanni, 2020. "A simple-to-implement real options method for the energy sector," Energy, Elsevier, vol. 197(C).
    8. Yao, Xing & Fan, Ying & Zhu, Lei & Zhang, Xian, 2020. "Optimization of dynamic incentive for the deployment of carbon dioxide removal technology: A nonlinear dynamic approach combined with real options," Energy Economics, Elsevier, vol. 86(C).
    9. Bertolini, Marina & D'Alpaos, Chiara & Moretto, Michele, 2018. "Do Smart Grids boost investments in domestic PV plants? Evidence from the Italian electricity market," Energy, Elsevier, vol. 149(C), pages 890-902.
    10. Aliashim Albani & Mohd Zamri Ibrahim & Che Mohd Imran Che Taib & Abd Aziz Azlina, 2017. "The Optimal Generation Cost-Based Tariff Rates for Onshore Wind Energy in Malaysia," Energies, MDPI, vol. 10(8), pages 1-16, July.
    11. Romano, Teresa & Fumagalli, Elena, 2018. "Greening the power generation sector: Understanding the role of uncertainty," Renewable and Sustainable Energy Reviews, Elsevier, vol. 91(C), pages 272-286.
    12. Lavrič, Henrik & Rihar, Andraž & Fišer, Rastko, 2018. "Simulation of electrical energy production in Archimedes screw-based ultra-low head small hydropower plant considering environment protection conditions and technical limitations," Energy, Elsevier, vol. 164(C), pages 87-98.
    13. Kung, Chih-Chun & Lan, Xiaolong & Yang, Yunxia & Kung, Shan-Shan & Chang, Meng-Shiuh, 2022. "Effects of green bonds on Taiwan's bioenergy development," Energy, Elsevier, vol. 238(PA).
    14. Lai, Chun Sing & Locatelli, Giorgio, 2021. "Valuing the option to prototype: A case study with Generation Integrated Energy Storage," Energy, Elsevier, vol. 217(C).
    15. Nagy, Roel L.G. & Hagspiel, Verena & Kort, Peter M., 2021. "Green capacity investment under subsidy withdrawal risk," Energy Economics, Elsevier, vol. 98(C).
    16. Linnerud, Kristin & Simonsen, Morten, 2017. "Swedish-Norwegian tradable green certificates: Scheme design flaws and perceived investment barriers," Energy Policy, Elsevier, vol. 106(C), pages 560-578.
    17. Shahid Ali & Qingyou Yan & Muhammad Sajjad Hussain & Muhammad Irfan & Munir Ahmad & Asif Razzaq & Vishal Dagar & Cem Işık, 2021. "Evaluating Green Technology Strategies for the Sustainable Development of Solar Power Projects: Evidence from Pakistan," Sustainability, MDPI, vol. 13(23), pages 1-29, November.
    18. Hustveit, Magne & Frogner, Jens Sveen & Fleten, Stein-Erik, 2017. "Tradable green certificates for renewable support: The role of expectations and uncertainty," Energy, Elsevier, vol. 141(C), pages 1717-1727.
    19. Mariia Kozlova & Alena Lohrmann, 2021. "Steering Renewable Energy Investments in Favor of Energy System Reliability: A Call for a Hybrid Model," Sustainability, MDPI, vol. 13(24), pages 1-18, December.
    20. Chen, Siyuan & Zhang, Qi & Wang, Ge & Zhu, Lijing & Li, Yan, 2018. "Investment strategy for underground gas storage facilities based on real option model considering gas market reform in China," Energy Economics, Elsevier, vol. 70(C), pages 132-142.
    21. Yi, Changsheng & Chen, Zhaoming & Chen, Hongchen, 2023. "Opportunity knocks but just once: Impact of infrastructure investment decision on climate adaptation to flood events," Omega, Elsevier, vol. 121(C).
    22. Liu, Xiaoran & Ronn, Ehud I., 2020. "Using the binomial model for the valuation of real options in computing optimal subsidies for Chinese renewable energy investments," Energy Economics, Elsevier, vol. 87(C).
    23. Gazheli, Ardjan & van den Bergh, Jeroen, 2018. "Real options analysis of investment in solar vs. wind energy: Diversification strategies under uncertain prices and costs," Renewable and Sustainable Energy Reviews, Elsevier, vol. 82(P3), pages 2693-2704.
    24. Johannes Idsø, 2017. "Small Scale Hydroelectric Power Plants in Norway. Some Microeconomic and Environmental Considerations," Sustainability, MDPI, vol. 9(7), pages 1-19, June.
    25. Tian Zhao & Zhixin Liu, 2023. "Investment Timing Analysis of Hydrogen-Refueling Stations and the Case of China: Independent or Co-Operative Investment?," Energies, MDPI, vol. 16(13), pages 1-17, June.
    26. Kozlova, Mariia, 2017. "Real option valuation in renewable energy literature: Research focus, trends and design," Renewable and Sustainable Energy Reviews, Elsevier, vol. 80(C), pages 180-196.
    27. Li, Jiang-Cheng & Leng, Na & Zhong, Guang-Yan & Wei, Yu & Peng, Jia-Sheng, 2020. "Safe marginal time of crude oil price via escape problem of econophysics," Chaos, Solitons & Fractals, Elsevier, vol. 133(C).
    28. Finjord, Fredrik & Hagspiel, Verena & Lavrutich, Maria & Tangen, Marius, 2018. "The impact of Norwegian-Swedish green certificate scheme on investment behavior: A wind energy case study," Energy Policy, Elsevier, vol. 123(C), pages 373-389.
    29. Briest, Gordon & Lauven, Lars-Peter & Kupfer, Stefan & Lukas, Elmar, 2022. "Leaving well-worn paths: Reversal of the investment-uncertainty relationship and flexible biogas plant operation," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1162-1176.
    30. Lei Zhu & Xing Yao & Xian Zhang, 2020. "Evaluation of cooperative mitigation: captured carbon dioxide for enhanced oil recovery," Mitigation and Adaptation Strategies for Global Change, Springer, vol. 25(7), pages 1261-1285, October.
    31. Zhang, Mingming & Liu, Liyun & Wang, Qunwei & Zhou, Dequn, 2020. "Valuing investment decisions of renewable energy projects considering changing volatility," Energy Economics, Elsevier, vol. 92(C).

  34. Bugge, Sebastian A. & Guttormsen, Haakon J. & Molnár, Peter & Ringdal, Martin, 2016. "Implied volatility index for the Norwegian equity market," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 133-141.

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    1. Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
    2. Murad Samsudin, Najmi Ismail & Mohamad, Azhar & Sifat, Imtiaz Mohammad, 2021. "Implied volatility of structured warrants: Emerging market evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 464-479.
    3. Xu, Wei & Šević, Aleksandar & Šević, Željko, 2022. "Implied volatility surface construction for commodity futures options traded in China," Research in International Business and Finance, Elsevier, vol. 61(C).
    4. Ye, Wuyi & Xia, Wenjing & Wu, Bin & Chen, Pengzhan, 2022. "Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market," International Review of Financial Analysis, Elsevier, vol. 83(C).
    5. Milan Bašta & Peter Molnár, 2019. "Long‐term dynamics of the VIX index and its tradable counterpart VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 322-341, March.
    6. Tuncer Yılmaz & Bülent Yıldız, 2022. "Yatırımcıların Risk İştahı Endeksi İle Korku Endeksleri Arasındaki İlişki: Türkiye’de ARDL İle Ampirik Bir Uygulama," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(3), pages 646-676.
    7. Aalborg, Halvor Aarhus & Molnár, Peter & de Vries, Jon Erik, 2019. "What can explain the price, volatility and trading volume of Bitcoin?," Finance Research Letters, Elsevier, vol. 29(C), pages 255-265.
    8. Sensoy, Ahmet & Omole, John, 2018. "Implied volatility indices: A review and extension in the Turkish case," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 151-161.
    9. Yue, Tian & Ruan, Xinfeng & Gehricke, Sebastian & Zhang, Jin E., 2023. "The volatility index and volatility risk premium in China," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 40-55.
    10. Lyócsa, Štefan & Molnár, Peter, 2017. "The effect of non-trading days on volatility forecasts in equity markets," Finance Research Letters, Elsevier, vol. 23(C), pages 39-49.
    11. Helseth, Marius Aleksander Emblem & Krakstad, Svein Olav & Molnár, Peter & Norlin, Karl-Martin, 2020. "Can policy and financial risk predict stock markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 701-719.
    12. Liang, Chao & Li, Yan & Ma, Feng & Wei, Yu, 2021. "Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information," International Review of Financial Analysis, Elsevier, vol. 75(C).
    13. Bašta, Milan & Molnár, Peter, 2018. "Oil market volatility and stock market volatility," Finance Research Letters, Elsevier, vol. 26(C), pages 204-214.

  35. Stefan Lyocsa & Peter Molnar & Igor Fedorko, 2016. "Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 453-475, October.

    Cited by:

    1. Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017. "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 228-247.
    2. Lyócsa, Štefan & Todorova, Neda & Výrost, Tomáš, 2021. "Predicting risk in energy markets: Low-frequency data still matter," Applied Energy, Elsevier, vol. 282(PA).
    3. Lyócsa, Štefan & Molnár, Peter, 2018. "Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds," Energy, Elsevier, vol. 155(C), pages 462-473.
    4. Victor Shevchuk & Roman Kopych, 2021. "Exchange Rate Volatility, Currency Misalignment, and Risk of Recession in the Central and Eastern European Countries," Risks, MDPI, vol. 9(5), pages 1-19, May.
    5. Milan Bašta & Peter Molnár, 2019. "Long‐term dynamics of the VIX index and its tradable counterpart VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 322-341, March.
    6. Aalborg, Halvor Aarhus & Molnár, Peter & de Vries, Jon Erik, 2019. "What can explain the price, volatility and trading volume of Bitcoin?," Finance Research Letters, Elsevier, vol. 29(C), pages 255-265.
    7. Lyócsa, Štefan & Molnár, Peter, 2017. "The effect of non-trading days on volatility forecasts in equity markets," Finance Research Letters, Elsevier, vol. 23(C), pages 39-49.

  36. Horn, Anders & Kjærland, Frode & Molnár, Peter & Steen, Beate Wollen, 2015. "The use of real option theory in Scandinavia's largest companies," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 74-81.

    Cited by:

    1. Zhang, Hanyu & Assereto, Martina & Byrne, Julie, 2023. "Deferring real options with solar renewable energy certificates," Global Finance Journal, Elsevier, vol. 55(C).
    2. Locatelli, Giorgio & Mancini, Mauro & Lotti, Giovanni, 2020. "A simple-to-implement real options method for the energy sector," Energy, Elsevier, vol. 197(C).
    3. Ishaya Tambari & Pierre Failler, 2020. "Determining If Oil Prices Significantly Affect Renewable Energy Investment in African Countries with Energy Security Concerns," Energies, MDPI, vol. 13(24), pages 1-21, December.
    4. Siziba, Simiso & Hall, John Henry, 2021. "The evolution of the application of capital budgeting techniques in enterprises," Global Finance Journal, Elsevier, vol. 47(C).
    5. Raisa Pérez-Vas & Javier Hervés-Estévez & María Dolores Garza Gil & Raquel Fernández-González, 2024. "Valuation of an innovative investment project using real options approach: A case study of a viticulture company in Spain," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 70(2), pages 91-100.
    6. Bøe, Kristine S. & Jordal, Therese & Mikula, Štepán & Molnár, Peter, 2019. "Do political risks harm development of oil fields?," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 338-358.
    7. Lai, Chun Sing & Locatelli, Giorgio, 2021. "Valuing the option to prototype: A case study with Generation Integrated Energy Storage," Energy, Elsevier, vol. 217(C).
    8. de Andrés, Pablo & de la Fuente, Gabriel & Velasco, Pilar, 2016. "Are real options a missing piece in the diversification-value puzzle?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 261-271.
    9. Nene Lartey Addico & Godfred Amewu & Anthony Owusu‐Ansah, 2022. "The use of investment decision techniques and tools in practice in a frontier market: Evidence from Ghana," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(6), pages 1748-1763, September.

  37. Brandvold, Morten & Molnár, Peter & Vagstad, Kristian & Andreas Valstad, Ole Christian, 2015. "Price discovery on Bitcoin exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 18-35.

    Cited by:

    1. Ross C Phillips & Denise Gorse, 2018. "Cryptocurrency price drivers: Wavelet coherence analysis revisited," PLOS ONE, Public Library of Science, vol. 13(4), pages 1-21, April.
    2. Gina Christelle Pieters, 2017. "Bitcoin Reveals Exchange Rate Manipulation and Detects Capital Controls," 2017 Papers ppi307, Job Market Papers.
    3. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020. "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    4. Νikolaos A. Kyriazis & Paraskevi Prassa, 2019. "Which Cryptocurrencies Are Mostly Traded in Distressed Times?," JRFM, MDPI, vol. 12(3), pages 1-12, August.
    5. Muneer M. Alshater & Mayank Joshipura & Rim El Khoury & Nohade Nasrallah, 2023. "Initial Coin Offerings: a Hybrid Empirical Review," Small Business Economics, Springer, vol. 61(3), pages 891-908, October.
    6. Uhlig, Harald & Schilling, Linda, 2018. "Some simple Bitcoin Economics," CEPR Discussion Papers 12831, C.E.P.R. Discussion Papers.
    7. Tsang, Kwok Ping & Yang, Zichao, 2021. "The market for bitcoin transactions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    8. Jamal Bouoiyour & Refk Selmi, 2017. "Are Trump and Bitcoin Good Partners?," Working Papers hal-01480031, HAL.
    9. Anna Iwona Piotrowska & Dariusz Piotrowski, 2017. "Barriers to the functioning of the bitcoin system ? user assessment," Proceedings of Economics and Finance Conferences 4807736, International Institute of Social and Economic Sciences.
    10. Hau, Liya & Zhu, Huiming & Shahbaz, Muhammad & Sun, Wuqin, 2021. "Does transaction activity predict Bitcoin returns? Evidence from quantile-on-quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    11. Zura Kakushadze & Willie Yu, 2019. "Altcoin-Bitcoin Arbitrage," Papers 1903.06033, arXiv.org, revised Apr 2019.
    12. Gil Cohen & Mahmoud Qadan, 2022. "The Complexity of Cryptocurrencies Algorithmic Trading," Mathematics, MDPI, vol. 10(12), pages 1-11, June.
    13. Pagnottoni, Paolo & Baur, Dirk G. & Dimpfl, Thomas, 2018. "Price Discovery on Bitcoin Markets," IRTG 1792 Discussion Papers 2018-014, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    14. Romi Kher & Siri Terjesen & Chen Liu, 2021. "Blockchain, Bitcoin, and ICOs: a review and research agenda," Small Business Economics, Springer, vol. 56(4), pages 1699-1720, April.
    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. Hu, Yang & Hou, Yang (Greg) & Oxley, Les & Corbet, Shaen, 2021. "Does blockchain patent-development influence Bitcoin risk?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
    17. Gina Pieters & Sofia Vivanco, 2016. "Financial regulations and price inconsistencies across bitcoin markets," Globalization Institute Working Papers 293, Federal Reserve Bank of Dallas.
    18. Su, Chi-Wei & Li, Zheng-Zheng & Tao, Ran & Si, Deng-Kui, 2018. "Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test," Japan and the World Economy, Elsevier, vol. 46(C), pages 56-63.
    19. Balcilar, Mehmet & Bouri, Elie & Gupta, Rangan & Roubaud, David, 2017. "Can volume predict Bitcoin returns and volatility? A quantiles-based approach," Economic Modelling, Elsevier, vol. 64(C), pages 74-81.
    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. 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.
    22. Chuffart, Thomas, 2022. "Interest in cryptocurrencies predicts conditional correlation dynamics," Finance Research Letters, Elsevier, vol. 46(PA).
    23. 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.
    24. Bouri, Elie & Molnár, Peter & Azzi, Georges & Roubaud, David & Hagfors, Lars Ivar, 2017. "On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?," Finance Research Letters, Elsevier, vol. 20(C), pages 192-198.
    25. Eric Ghysels & Giang Nguyen, 2019. "Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange," JRFM, MDPI, vol. 12(4), pages 1-26, October.
    26. Huang, Guan-Ying & Gau, Yin-Feng & Wu, Zhen-Xing, 2022. "Price discovery in fiat currency and cryptocurrency markets," Finance Research Letters, Elsevier, vol. 47(PA).
    27. Elie Bouri & Naji Jalkh & Peter Molnár & David Roubaud, 2017. "Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?," Applied Economics, Taylor & Francis Journals, vol. 49(50), pages 5063-5073, October.
    28. Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2016. "Everything you always wanted to know about bitcoin modelling but were afraid to ask," MPRA Paper 71946, University Library of Munich, Germany, revised 2016.
    29. Wang, Jinghua & Ngene, Geoffrey M., 2020. "Does Bitcoin still own the dominant power? An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    30. Oliver Entrop & Bart Frijns & Marco Seruset, 2020. "The determinants of price discovery on bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 816-837, May.
    31. Katsiampa, Paraskevi & Corbet, Shaen & Lucey, Brian, 2019. "Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis," Finance Research Letters, Elsevier, vol. 29(C), pages 68-74.
    32. Frode Kjærland & Aras Khazal & Erlend A. Krogstad & Frans B. G. Nordstrøm & Are Oust, 2018. "An Analysis of Bitcoin’s Price Dynamics," JRFM, MDPI, vol. 11(4), pages 1-18, October.
    33. Andrzej Sołoma & Karol Spychalski, 2017. "Usability of the Bitcoin in the Contemporary Digital Economy," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 45, pages 227-240.
    34. 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.
    35. Gil Cohen, 2021. "Optimizing Algorithmic Strategies for Trading Bitcoin," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 639-654, February.
    36. 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.
    37. 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.
    38. 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.
    39. Rognone, Lavinia & Hyde, Stuart & Zhang, S. Sarah, 2020. "News sentiment in the cryptocurrency market: An empirical comparison with Forex," International Review of Financial Analysis, Elsevier, vol. 69(C).
    40. 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.
    41. Saggese, Pietro & Belmonte, Alessandro & Dimitri, Nicola & Facchini, Angelo & Böhme, Rainer, 2023. "Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform," Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 251-270.
    42. Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series 413, Sveriges Riksbank (Central Bank of Sweden).
    43. Bergsli, Lykke Øverland & Lind, Andrea Falk & Molnár, Peter & Polasik, Michał, 2022. "Forecasting volatility of Bitcoin," Research in International Business and Finance, Elsevier, vol. 59(C).
    44. Mehmet Balcilar & Elie Bouri & Rangan Gupta & David Roubaud, 2016. "Can Volume Predict Bitcoin Returns and Volatility? A Nonparametric Causality-in-Quantiles Approach," Working Papers 201662, University of Pretoria, Department of Economics.
    45. Fantazzini, Dean & Zimin, Stephan, 2019. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper 95988, University Library of Munich, Germany.
    46. Matthias Schnaubelt & Jonas Rende & Christopher Krauss, 2019. "Testing Stylized Facts of Bitcoin Limit Order Books," JRFM, MDPI, vol. 12(1), pages 1-30, February.
    47. Elie Bouri & Luis A. Gil-Alana & Rangan Gupta & David Roubaud, 2016. "Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks," Working Papers 201654, University of Pretoria, Department of Economics.
    48. 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.
    49. Julián A. Parra & Carlos Arango - Joaquín Bernal & José E. Gómez - Javier Gómez & Carlos León - Clara Machado & Daniel Osorio - Daniel Rojas & Nicolás Suárez - Eduardo Yanquen, 2019. "Criptoactivos: análisis y revisión de literatura," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, issue 92, pages 1-37, November.
    50. Mehmet Levent ERDAS & Abdullah Emre CAGLAR, 2018. "Analysis of the relationships between Bitcoin and exchange rate, commodities and global indexes by asymmetric causality test," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 9, pages 27-45, December.
    51. Kim, S. Thomas, 2020. "Bitcoin dilemma: Is popularity destroying value?," Finance Research Letters, Elsevier, vol. 33(C).
    52. Chen, Wei & Xu, Huilin & Jia, Lifen & Gao, Ying, 2021. "Machine learning model for Bitcoin exchange rate prediction using economic and technology determinants," International Journal of Forecasting, Elsevier, vol. 37(1), pages 28-43.
    53. Sifat, Imtiaz Mohammad & Mohamad, Azhar & Mohamed Shariff, Mohammad Syazwan Bin, 2019. "Lead-Lag relationship between Bitcoin and Ethereum: Evidence from hourly and daily data," Research in International Business and Finance, Elsevier, vol. 50(C), pages 306-321.
    54. Fassas, Athanasios P. & Papadamou, Stephanos & Koulis, Alexandros, 2020. "Price discovery in bitcoin futures," Research in International Business and Finance, Elsevier, vol. 52(C).
    55. Meegan, Andrew & Corbet, Shaen & Larkin, Charles & Lucey, Brian, 2021. "Does cryptocurrency pricing response to regulatory intervention depend on underlying blockchain architecture?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
    56. Su, Fei & Wang, Xinyi & Yuan, Yulin, 2022. "The intraday dynamics and intraday price discovery of bitcoin," Research in International Business and Finance, Elsevier, vol. 60(C).
    57. Sami MESTIRI, 2022. "Modeling the volatility of Bitcoin returns using Nonparametric GARCH models," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(1), pages 2-16, June.
    58. Taurai Muvunza, 2020. "An $\alpha$-Stable Approach to Modelling Highly Speculative Assets and Cryptocurrencies," Papers 2002.09881, arXiv.org, revised Jul 2023.
    59. Zura Kakushadze & Willie Yu, 2019. "Altcoin-Bitcoin Arbitrage," Bulletin of Applied Economics, Risk Market Journals, vol. 6(1), pages 87-110.
    60. 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).
    61. 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).
    62. Jamal Bouoiyour & Refk Selmi & Aviral Kumar Tiwari & Olaolu Richard Olayeni, 2015. "What Determines Bitcoin’s Value?," Working papers of CATT hal-01880330, HAL.
    63. 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.
    64. 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.
    65. Corbet, Shaen & Hou, Yang & Hu, Yang & Oxley, Les, 2020. "The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry," International Review of Financial Analysis, Elsevier, vol. 72(C).
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    67. Xiao Li & Weili Wu, 2020. "A Blockchain Transaction Graph based Machine Learning Method for Bitcoin Price Prediction," Papers 2008.09667, arXiv.org.
    68. Gil Cohen, 2021. "Trading Cryptocurrencies Using Second Order Stochastic Dominance," Mathematics, MDPI, vol. 9(22), pages 1-10, November.
    69. Mark Mizraki, 2015. "Conversation with Mark Mizruchi:“There is Very Little Organizational Theory Left in Sociology Departments”," Journal of Economic Sociology, National Research University Higher School of Economics, vol. 16(3), pages 14-25.
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    71. Zura Kakushadze & Jim Kyung-Soo Liew, 2018. "CryptoRuble: From Russia with Love," Papers 1801.05760, arXiv.org.
    72. Sang Hoon Kang & Seong-Min Yoon & Stelios Bekiros & Gazi S. Uddin, 2020. "Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 529-545, August.
    73. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, September.
    74. Gemayel, Roland & Franus, Tatiana & Bowden, James, 2023. "Price discovery between Bitcoin spot markets and exchange traded products," Economics Letters, Elsevier, vol. 228(C).
    75. Donglian Ma & Pengxiang Zhai, 2021. "The Accuracy of the Tick Rule in the Bitcoin Market," SAGE Open, , vol. 11(2), pages 21582440211, May.
    76. Georgios A. Panos & Tatja Karkkainen & Adele Atkinson, 2020. "Financial Literacy and Attitudes to Cryptocurrencies," Working Papers 2020_26, Business School - Economics, University of Glasgow.
    77. Gil Cohen, 2023. "Trading cryptocurrencies using algorithmic average true range systems," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 212-222, March.
    78. Wen, Zhuzhu & Bouri, Elie & Xu, Yahua & Zhao, Yang, 2022. "Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    79. Canh, Nguyen Phuc & Wongchoti, Udomsak & Thanh, Su Dinh & Thong, Nguyen Trung, 2019. "Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model," Finance Research Letters, Elsevier, vol. 29(C), pages 90-100.
    80. Philippas, Dionisis & Philippas, Nikolaos & Tziogkidis, Panagiotis & Rjiba, Hatem, 2020. "Signal-herding in cryptocurrencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    81. Pietro Saggese & Esther Segalla & Michael Sigmund & Burkhard Raunig & Felix Zangerl & Bernhard Haslhofer, 2023. "Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient?," Papers 2309.16408, arXiv.org.
    82. Md Akther Uddin & Md Hakim Ali & Mansur Masih, 2020. "Bitcoin—A hype or digital gold? Global evidence," Australian Economic Papers, Wiley Blackwell, vol. 59(3), pages 215-231, September.
    83. Klein, Tony & Hien, Pham Thu & Walther, Thomas, 2018. "Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance," QBS Working Paper Series 2018/01, Queen's University Belfast, Queen's Business School.
    84. 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.
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    86. Hio Loi, 2018. "The Liquidity of Bitcoin," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(1), pages 13-22, January.
    87. 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.
    88. Chemkha, Rahma & BenSaïda, Ahmed & Ghorbel, Ahmed, 2021. "Connectedness between cryptocurrencies and foreign exchange markets: Implication for risk management," Journal of Multinational Financial Management, Elsevier, vol. 59(C).
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    98. Maghyereh, Aktham & Abdoh, Hussein, 2020. "Tail dependence between Bitcoin and financial assets: Evidence from a quantile cross-spectral approach," International Review of Financial Analysis, Elsevier, vol. 71(C).
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    101. Christophe Schinckus & Canh Phuc Nguyen & Felicia Chong Hui Ling, 2020. "Crypto-currencies Trading and Energy Consumption," International Journal of Energy Economics and Policy, Econjournals, vol. 10(3), pages 355-364.
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    109. Paolo Giudici & Gloria Polinesi, 2021. "Crypto price discovery through correlation networks," Annals of Operations Research, Springer, vol. 299(1), pages 443-457, April.
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    115. 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.
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    118. Robert Hudson & Andrew Urquhart, 2021. "Technical trading and cryptocurrencies," Annals of Operations Research, Springer, vol. 297(1), pages 191-220, February.
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    120. 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.
    121. Thies, Sven & Molnár, Peter, 2018. "Bayesian change point analysis of Bitcoin returns," Finance Research Letters, Elsevier, vol. 27(C), pages 223-227.
    122. 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.
    123. Guesmi, Khaled & Saadi, Samir & Abid, Ilyes & Ftiti, Zied, 2019. "Portfolio diversification with virtual currency: Evidence from bitcoin," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 431-437.
    124. Lo, Yuen C. & Medda, Francesca, 2020. "Assets on the blockchain: An empirical study of Tokenomics," Information Economics and Policy, Elsevier, vol. 53(C).
    125. Dirk G. Baur & Thomas Dimpfl, 2019. "Price discovery in bitcoin spot or futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 803-817, July.
    126. Geetu Aggarwal & Navdeep Aggarwal, 2021. "Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 79-99, March.
    127. Toan Luu Duc Huynh, 2019. "Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas," JRFM, MDPI, vol. 12(2), pages 1-19, April.
    128. Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2017. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 45, pages 5-28.
    129. Efe Caglar Cagli & Pinar Evrim Mandaci, 2021. "Information transmission between bitcoin derivatives and spot markets: high-frequency causality analysis with Fourier approximation," Economics and Business Letters, Oviedo University Press, vol. 10(4), pages 394-402.
    130. Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
    131. Zheng-Zheng Li & Ran Tao & Chi-Wei Su & Oana-Ramona Lobonţ, 2019. "Does Bitcoin bubble burst?," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(1), pages 91-105, January.
    132. 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.
    133. Beata Szetela & Grzegorz Mentel & Stanislaw Gedek, 2016. "Dependency analysis between Bitcoin and selected global currencies," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 133-144.
    134. Al Mamun, Md & Uddin, Gazi Salah & Suleman, Muhammad Tahir & Kang, Sang Hoon, 2020. "Geopolitical risk, uncertainty and Bitcoin investment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    135. Ante, Lennart & Fiedler, Ingo & Strehle, Elias, 2021. "The impact of transparent money flows: Effects of stablecoin transfers on the returns and trading volume of Bitcoin," Technological Forecasting and Social Change, Elsevier, vol. 170(C).
    136. Dorien Herremans & Kah Wee Low, 2022. "Forecasting Bitcoin volatility spikes from whale transactions and CryptoQuant data using Synthesizer Transformer models," Papers 2211.08281, arXiv.org.
    137. 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.
    138. A. V. Biju & Aparna Merin Mathew & P. P. Nithi Krishna & M. P. Akhil, 2022. "Is the future of bitcoin safe? A triangulation approach in the reality of BTC market through a sentiments analysis," Digital Finance, Springer, vol. 4(4), pages 275-290, December.
    139. Jinghong Wu & Ke Xu & Xinwei Zheng & Jian Chen, 2021. "Fractional cointegration in bitcoin spot and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1478-1494, September.
    140. Dimpfl, Thomas & Peter, Franziska J., 2021. "Nothing but noise? Price discovery across cryptocurrency exchanges," Journal of Financial Markets, Elsevier, vol. 54(C).
    141. Wang, Yaqi & Wang, Chunfeng & Sensoy, Ahmet & Yao, Shouyu & Cheng, Feiyang, 2022. "Can investors’ informed trading predict cryptocurrency returns? Evidence from machine learning," Research in International Business and Finance, Elsevier, vol. 62(C).
    142. Strych, Jan-Oliver, 2022. "The impact of margin trading and short selling by retail investors on market price efficiency: Empirical evidence from bitcoin exchanges," Finance Research Letters, Elsevier, vol. 47(PB).
    143. Yu‐Lun Chen & J. Jimmy Yang, 2024. "Time‐varying price discovery in regular and microbitcoin futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 103-121, January.
    144. 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.
    145. 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.
    146. Claus Dierksmeier & Peter Seele, 2018. "Cryptocurrencies and Business Ethics," Journal of Business Ethics, Springer, vol. 152(1), pages 1-14, September.
    147. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2021. "An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event," Energy Economics, Elsevier, vol. 104(C).
    148. Shanaev, Savva & Sharma, Satish & Ghimire, Binam & Shuraeva, Arina, 2020. "Taming the blockchain beast? Regulatory implications for the cryptocurrency Market," Research in International Business and Finance, Elsevier, vol. 51(C).
    149. Lim, Siok Jin & Masih, Mansur, 2017. "Exploring portfolio diversification opportunities in Islamic capital markets through bitcoin: evidence from MGARCH-DCC and Wavelet approaches," MPRA Paper 79752, University Library of Munich, Germany.
    150. 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.
    151. 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.
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    154. 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.
    155. Agosto, Arianna & Cerchiello, Paola & Pagnottoni, Paolo, 2022. "Sentiment, Google queries and explosivity in the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 605(C).

  38. Birkelund, Ole Henrik & Haugom, Erik & Molnár, Peter & Opdal, Martin & Westgaard, Sjur, 2015. "A comparison of implied and realized volatility in the Nordic power forward market," Energy Economics, Elsevier, vol. 48(C), pages 288-294.

    Cited by:

    1. Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2019. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Center for Mathematical Economics Working Papers 625, Center for Mathematical Economics, Bielefeld University.
    2. Eleftheria Kafousaki & Stavros Degiannakis, 2023. "Forecasting VIX: the illusion of forecast evaluation criteria," Economics and Business Letters, Oviedo University Press, vol. 12(3), pages 231-240.
    3. Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
    4. Uddin, Gazi Salah & Tang, Ou & Sahamkhadam, Maziar & Taghizadeh-Hesary, Farhad & Yahya, Muhammad & Cerin, Pontus & Rehme, Jakob, 2021. "Analysis of Forecasting Models in an Electricity Market under Volatility," ADBI Working Papers 1212, Asian Development Bank Institute.
    5. Štefan Lyócsa & Peter Molnár, 2016. "Volatility forecasting of strategically linked commodity ETFs: gold-silver," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1809-1822, December.
    6. Bergsli, Lykke Øverland & Lind, Andrea Falk & Molnár, Peter & Polasik, Michał, 2022. "Forecasting volatility of Bitcoin," Research in International Business and Finance, Elsevier, vol. 59(C).
    7. Lyócsa, Štefan & Molnár, Peter, 2018. "Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds," Energy, Elsevier, vol. 155(C), pages 462-473.
    8. Xu, Wei & Šević, Aleksandar & Šević, Željko, 2022. "Implied volatility surface construction for commodity futures options traded in China," Research in International Business and Finance, Elsevier, vol. 61(C).
    9. Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
    10. Nikkinen, Jussi & Rothovius, Timo, 2019. "Market specific seasonal trading behavior in NASDAQ OMX electricity options," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 16-29.
    11. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš, 2019. "Central bank announcements and realized volatility of stock markets in G7 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 117-135.
    12. Milan Bašta & Peter Molnár, 2019. "Long‐term dynamics of the VIX index and its tradable counterpart VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 322-341, March.
    13. Stefan Lyocsa & Peter Molnar & Igor Fedorko, 2016. "Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 453-475, October.
    14. Mayer, Klaus & Trück, Stefan, 2018. "Electricity markets around the world," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 77-100.
    15. Aalborg, Halvor Aarhus & Molnár, Peter & de Vries, Jon Erik, 2019. "What can explain the price, volatility and trading volume of Bitcoin?," Finance Research Letters, Elsevier, vol. 29(C), pages 255-265.
    16. Lyócsa, Štefan & Molnár, Peter, 2017. "The effect of non-trading days on volatility forecasts in equity markets," Finance Research Letters, Elsevier, vol. 23(C), pages 39-49.
    17. Helseth, Marius Aleksander Emblem & Krakstad, Svein Olav & Molnár, Peter & Norlin, Karl-Martin, 2020. "Can policy and financial risk predict stock markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 701-719.
    18. Erik Haugom & Peter Molnár & Magne Tysdahl, 2020. "Determinants of the Forward Premium in the Nord Pool Electricity Market," Energies, MDPI, vol. 13(5), pages 1-18, March.
    19. Bašta, Milan & Molnár, Peter, 2018. "Oil market volatility and stock market volatility," Finance Research Letters, Elsevier, vol. 26(C), pages 204-214.

  39. Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.

    Cited by:

    1. Solórzano-Taborga, Pablo & Alonso-Conde, Ana Belén & Rojo-Suárez, Javier, 2018. "Efficiency and Persistence of Spanish Absolute Return Funds || Eficiencia y persistencia de los fondos de retorno absolutos españoles," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 25(1), pages 186-214, Junio.
    2. Scott Bennett & David R. Gallagher & Graham Harman & Geoffrey J. Warren & Yuki Xi, 2018. "A new perspective on performance persistence: evidence using portfolio holdings," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 91-125, March.
    3. Cheraghali, Hamid & Igeh, Sofia Aarstad & Lin, Kuan-Heng & Molnár, Peter & Wijerathne, Iddamalgodage, 2022. "Online attention and mutual fund performance: Evidence from Norway," Finance Research Letters, Elsevier, vol. 49(C).
    4. Chen Su & Hanxiong Zhang & Nathan Lael Joseph, 2022. "The performance of UK stock recommendation revisions: Does brokerage house reputation matter?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3051-3070, July.
    5. Artiga González, Tanja & van Lelyveld, Iman & Lučivjanská, Katarína, 2020. "Pension fund equity performance: Patience, activity or both?," Journal of Banking & Finance, Elsevier, vol. 115(C).
    6. Sonal Babbar & Sanjay Sehgal, 2018. "Mutual Fund Characteristics and Investment Performance in India," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 43(1-2), pages 1-30, February.

  40. Haugom, Erik & Langeland, Henrik & Molnár, Peter & Westgaard, Sjur, 2014. "Forecasting volatility of the U.S. oil market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 1-14.

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    1. Gong, Xu & Lin, Boqiang, 2018. "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, vol. 74(C), pages 370-386.
    2. Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Investor Happiness and Predictability of the Realized Volatility of Oil Price," Working Papers 202009, University of Pretoria, Department of Economics.
    3. Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss," Working Papers 201903, University of Pretoria, Department of Economics.
    4. Demirer, Riza & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2019. "Time-varying risk aversion and realized gold volatility," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    5. Da Fonseca, José & Ignatieva, Katja, 2019. "Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 45-62.
    6. Lai T. Hoang & Dirk G. Baur, 2020. "Forecasting bitcoin volatility: Evidence from the options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1584-1602, October.
    7. Vortelinos, Dimitrios I., 2017. "Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 824-839.
    8. Luo, Xingguo & Ye, Zinan, 2015. "Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?," Finance Research Letters, Elsevier, vol. 15(C), pages 68-77.
    9. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Wang, Jianqiong, 2020. "Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models," Energy, Elsevier, vol. 212(C).
    10. Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019. "Futures-based forecasts: How useful are they for oil price volatility forecasting?," Energy Economics, Elsevier, vol. 81(C), pages 639-649.
    11. Birkelund, Ole Henrik & Haugom, Erik & Molnár, Peter & Opdal, Martin & Westgaard, Sjur, 2015. "A comparison of implied and realized volatility in the Nordic power forward market," Energy Economics, Elsevier, vol. 48(C), pages 288-294.
    12. Štefan Lyócsa & Peter Molnár, 2016. "Volatility forecasting of strategically linked commodity ETFs: gold-silver," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1809-1822, December.
    13. Pérez-Rodríguez, Jorge V. & Andrada-Félix, Julián & Rachinger, Heiko, 2021. "Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    14. Dimitrios I. Vortelinos & Konstantinos Gkillas, 2018. "Intraday realised volatility forecasting and announcements," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 9(1), pages 88-118.
    15. Lv, Wendai, 2018. "Does the OVX matter for volatility forecasting? Evidence from the crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 916-922.
    16. Ma, Feng & Liu, Jing & Huang, Dengshi & Chen, Wang, 2017. "Forecasting the oil futures price volatility: A new approach," Economic Modelling, Elsevier, vol. 64(C), pages 560-566.
    17. Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017. "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 228-247.
    18. Baur, Dirk G. & Dimpfl, Thomas, 2018. "The asymmetric return-volatility relationship of commodity prices," Energy Economics, Elsevier, vol. 76(C), pages 378-387.
    19. Bergsli, Lykke Øverland & Lind, Andrea Falk & Molnár, Peter & Polasik, Michał, 2022. "Forecasting volatility of Bitcoin," Research in International Business and Finance, Elsevier, vol. 59(C).
    20. Gong, Xu & Wen, Fenghua & Xia, X.H. & Huang, Jianbai & Pan, Bin, 2017. "Investigating the risk-return trade-off for crude oil futures using high-frequency data," Applied Energy, Elsevier, vol. 196(C), pages 152-161.
    21. Liu, Jing & Ma, Feng & Yang, Ke & Zhang, Yaojie, 2018. "Forecasting the oil futures price volatility: Large jumps and small jumps," Energy Economics, Elsevier, vol. 72(C), pages 321-330.
    22. Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2022. "Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 73(8), pages 1755-1767, August.
    23. Liu, Zhenhua & Tseng, Hui-Kuan & Wu, Jy S. & Ding, Zhihua, 2020. "Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects," Resources Policy, Elsevier, vol. 66(C).
    24. Mei, Dexiang & Ma, Feng & Liao, Yin & Wang, Lu, 2020. "Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models," Energy Economics, Elsevier, vol. 86(C).
    25. Marfatia, Hardik A. & Gupta, Rangan & Cakan, Esin, 2021. "Dynamic impact of the U.S. monetary policy on oil market returns and volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 159-169.
    26. Jorge V. Pérez-Rodríguez, 2020. "Another look at the implied and realised volatility relation: a copula-based approach," Risk Management, Palgrave Macmillan, vol. 22(1), pages 38-64, March.
    27. Bouri, Elie & Jain, Anshul & Biswal, P.C. & Roubaud, David, 2017. "Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices," Resources Policy, Elsevier, vol. 52(C), pages 201-206.
    28. Horpestad, Jone B. & Lyócsa, Štefan & Molnár, Peter & Olsen, Torbjørn B., 2019. "Asymmetric volatility in equity markets around the world," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 540-554.
    29. Dicle, Mehmet F. & Levendis, John, 2020. "Historic risk and implied volatility," Global Finance Journal, Elsevier, vol. 45(C).
    30. Lyócsa, Štefan & Molnár, Peter, 2018. "Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds," Energy, Elsevier, vol. 155(C), pages 462-473.
    31. Mei, Dexiang & Liu, Jing & Ma, Feng & Chen, Wang, 2017. "Forecasting stock market volatility: Do realized skewness and kurtosis help?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 153-159.
    32. Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian & Shahzad, Syed Jawad Hussain, 2020. "The predictive power of oil price shocks on realized volatility of oil: A note," Resources Policy, Elsevier, vol. 69(C).
    33. Zhang, Yaojie & Wei, Yu & Zhang, Yi & Jin, Daxiang, 2019. "Forecasting oil price volatility: Forecast combination versus shrinkage method," Energy Economics, Elsevier, vol. 80(C), pages 423-433.
    34. Su, Zhi & Mo, Xuan & Yin, Libo, 2021. "Oil market uncertainty and excess returns on currency carry trade," Research in International Business and Finance, Elsevier, vol. 56(C).
    35. Alqahtani, Abdullah & Klein, Tony & Khalid, Ali, 2019. "The impact of oil price uncertainty on GCC stock markets," Resources Policy, Elsevier, vol. 64(C).
    36. Yaojie Zhang & Mengxi He & Danyan Wen & Yudong Wang, 2022. "Forecasting Bitcoin volatility: A new insight from the threshold regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 633-652, April.
    37. Tao, Qizhi & Wei, Yu & Liu, Jiapeng & Zhang, Ting, 2018. "Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 143-153.
    38. Ma, Feng & Li, Yu & Liu, Li & Zhang, Yaojie, 2018. "Are low-frequency data really uninformative? A forecasting combination perspective," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 92-108.
    39. Feng Ma & Chao Liang & Yuanhui Ma & M.I.M. Wahab, 2020. "Cryptocurrency volatility forecasting: A Markov regime‐switching MIDAS approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(8), pages 1277-1290, December.
    40. Wen, Fenghua & Gong, Xu & Cai, Shenghua, 2016. "Forecasting the volatility of crude oil futures using HAR-type models with structural breaks," Energy Economics, Elsevier, vol. 59(C), pages 400-413.
    41. Liu, Zhichao & Ma, Feng & Long, Yujia, 2015. "High and low or close to close prices? Evidence from the multifractal volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 50-61.
    42. Luo, Xingguo & Qin, Shihua & Ye, Zinan, 2016. "The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market," Finance Research Letters, Elsevier, vol. 19(C), pages 105-111.
    43. Zhang, Yaojie & Lei, Likun & Wei, Yu, 2020. "Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    44. Ji, Qiang & Fan, Ying, 2016. "Modelling the joint dynamics of oil prices and investor fear gauge," Research in International Business and Finance, Elsevier, vol. 37(C), pages 242-251.
    45. Stelios Bekiros & Jose Arreola Hernandez & Gazi Salah Uddin & Ahmed Taneem Muzaffar, 2020. "On the predictability of crude oil market: A hybrid multiscale wavelet approach," Post-Print hal-02956380, HAL.
    46. Adam Clements & Yin Liao & Yusui Tang, 2022. "Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 86-99, January.
    47. Dutta, Anupam & Soytas, Ugur & Das, Debojyoti & Bhattacharyya, Asit, 2022. "In search of time-varying jumps during the turmoil periods: Evidence from crude oil futures markets," Energy Economics, Elsevier, vol. 114(C).
    48. Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," MPRA Paper 96276, University Library of Munich, Germany.
    49. Breen, John David & Hu, Liang, 2021. "The predictive content of oil price and volatility: New evidence on exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    50. Lyócsa, Štefan & Todorova, Neda, 2021. "What drives volatility of the U.S. oil and gas firms?," Energy Economics, Elsevier, vol. 100(C).
    51. Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
    52. Yaojie Zhang & Yudong Wang & Feng Ma & Yu Wei, 2022. "To jump or not to jump: momentum of jumps in crude oil price volatility prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
    53. Alizadeh, Amir H. & Huang, Chih-Yueh & Marsh, Ian W., 2021. "Modelling the volatility of TOCOM energy futures: A regime switching realised volatility approach," Energy Economics, Elsevier, vol. 93(C).
    54. Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng & Yin, Libo, 2017. "Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 130-142.
    55. Milan Bašta & Peter Molnár, 2019. "Long‐term dynamics of the VIX index and its tradable counterpart VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 322-341, March.
    56. 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.
    57. Yaojie Zhang & Yudong Wang & Feng Ma, 2021. "Forecasting US stock market volatility: How to use international volatility information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 733-768, August.
    58. Campos, I. & Cortazar, G. & Reyes, T., 2017. "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, vol. 66(C), pages 194-204.
    59. Stefan Lyocsa & Peter Molnar & Igor Fedorko, 2016. "Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 453-475, October.
    60. Jeng-Bau Lin & Wei Tsai, 2019. "The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment," Energies, MDPI, vol. 12(15), pages 1-17, August.
    61. Meng, Fanyi & Liu, Li, 2019. "Analyzing the economic sources of oil price volatility: An out-of-sample perspective," Energy, Elsevier, vol. 177(C), pages 476-486.
    62. Chen, Yu-Fu & Mu, Xiaoyi, 2021. "Asymmetric volatility in commodity markets," Journal of Commodity Markets, Elsevier, vol. 22(C).
    63. Gong, Xu & Lin, Boqiang, 2017. "Forecasting the good and bad uncertainties of crude oil prices using a HAR framework," Energy Economics, Elsevier, vol. 67(C), pages 315-327.
    64. Seema REHMAN & Saqib SHARIF & Wali ULLAH, 2021. "Higher Realized Moments and Stock Return Predictability," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 48-70, December.
    65. Degiannakis, Stavros & Filis, George, 2016. "Forecasting oil price realized volatility: A new approach," MPRA Paper 69105, University Library of Munich, Germany.
    66. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Zhu, Bo, 2021. "Oil shocks and stock market volatility: New evidence," Energy Economics, Elsevier, vol. 103(C).
    67. Libo Yin, 2022. "The role of intermediary capital risk in predicting oil volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 401-416, January.
    68. Tian, Xiao & Duong, Huu Nhan & Kalev, Petko S., 2019. "Information content of the limit order book for crude oil futures price volatility," Energy Economics, Elsevier, vol. 81(C), pages 584-597.
    69. Ji‐Eun Choi & Dong Wan Shin, 2018. "Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(6), pages 691-704, September.
    70. Ma, Feng & Wahab, M.I.M. & Zhang, Yaojie, 2019. "Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 132-146.
    71. Aalborg, Halvor Aarhus & Molnár, Peter & de Vries, Jon Erik, 2019. "What can explain the price, volatility and trading volume of Bitcoin?," Finance Research Letters, Elsevier, vol. 29(C), pages 255-265.
    72. Nikitopoulos, Christina Sklibosios & Squires, Matthew & Thorp, Susan & Yeung, Danny, 2017. "Determinants of the crude oil futures curve: Inventory, consumption and volatility," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 53-67.
    73. Zhao, Yuan & Zhang, Weiguo & Gong, Xue & Wang, Chao, 2021. "A novel method for online real-time forecasting of crude oil price," Applied Energy, Elsevier, vol. 303(C).
    74. Lu, Quanying & Li, Yuze & Chai, Jian & Wang, Shouyang, 2020. "Crude oil price analysis and forecasting: A perspective of “new triangle”," Energy Economics, Elsevier, vol. 87(C).
    75. Chen, Hongtao & Liu, Li & Li, Xiaolei, 2018. "The predictive content of CBOE crude oil volatility index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 837-850.
    76. Zhu, Bo & Lin, Renda & Liu, Jiahao, 2020. "Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective," Energy Economics, Elsevier, vol. 89(C).
    77. Feng Ma & Yu Wei & Wang Chen & Feng He, 2018. "Forecasting the volatility of crude oil futures using high-frequency data: further evidence," Empirical Economics, Springer, vol. 55(2), pages 653-678, September.
    78. Guo, Yangli & He, Feng & Liang, Chao & Ma, Feng, 2022. "Oil price volatility predictability: New evidence from a scaled PCA approach," Energy Economics, Elsevier, vol. 105(C).
    79. Lyócsa, Štefan & Molnár, Peter, 2017. "The effect of non-trading days on volatility forecasts in equity markets," Finance Research Letters, Elsevier, vol. 23(C), pages 39-49.
    80. Zhang, Yaojie & Ma, Feng & Wei, Yu, 2019. "Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches," Energy Economics, Elsevier, vol. 81(C), pages 1109-1120.
    81. Chen, Wang & Ma, Feng & Wei, Yu & Liu, Jing, 2020. "Forecasting oil price volatility using high-frequency data: New evidence," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 1-12.
    82. Helseth, Marius Aleksander Emblem & Krakstad, Svein Olav & Molnár, Peter & Norlin, Karl-Martin, 2020. "Can policy and financial risk predict stock markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 701-719.
    83. Charalampos Stasinakis & Georgios Sermpinis & Ioannis Psaradellis & Thanos Verousis, 2016. "Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1901-1915, December.
    84. Erik Haugom & Peter Molnár & Magne Tysdahl, 2020. "Determinants of the Forward Premium in the Nord Pool Electricity Market," Energies, MDPI, vol. 13(5), pages 1-18, March.
    85. Michel A. Robe & Jonathan Wallen, 2016. "Fundamentals, Derivatives Market Information and Oil Price Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(4), pages 317-344, April.
    86. Panagiotis Delis & Stavros Degiannakis & George Filis, 2022. "What matters when developing oil price volatility forecasting frameworks?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 361-382, March.
    87. Degiannakis, Stavros & Filis, George, 2022. "Oil price volatility forecasts: What do investors need to know?," Journal of International Money and Finance, Elsevier, vol. 123(C).
    88. Xinjie Lu & Feng Ma & Jiqian Wang & Jing Liu, 2022. "Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 853-868, July.
    89. Lyócsa, Štefan & Molnár, Peter & Výrost, Tomáš, 2021. "Stock market volatility forecasting: Do we need high-frequency data?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1092-1110.
    90. Chao Liang & Yu Wei & Likun Lei & Feng Ma, 2022. "Global equity market volatility forecasting: New evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 594-609, January.
    91. Qadan, Mahmoud & Nama, Hazar, 2018. "Investor sentiment and the price of oil," Energy Economics, Elsevier, vol. 69(C), pages 42-58.
    92. Yang, Kun & Wei, Yu & Li, Shouwei & Liu, Liang & Wang, Lei, 2021. "Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics," Energy Economics, Elsevier, vol. 96(C).
    93. Bugge, Sebastian A. & Guttormsen, Haakon J. & Molnár, Peter & Ringdal, Martin, 2016. "Implied volatility index for the Norwegian equity market," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 133-141.
    94. Wu, Xi & Wang, Yudong & Tong, Xinle, 2021. "Cash holdings and oil price uncertainty exposures," Energy Economics, Elsevier, vol. 99(C).
    95. Leandro Maciel & Fernando Gomide & Rosangela Ballini, 2016. "Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 379-398, October.
    96. Balaban, Ercan & Lu, Shan, 2016. "Forecasting the term structure of volatility of crude oil price changes," Economics Letters, Elsevier, vol. 141(C), pages 116-118.
    97. Bašta, Milan & Molnár, Peter, 2018. "Oil market volatility and stock market volatility," Finance Research Letters, Elsevier, vol. 26(C), pages 204-214.
    98. Pablo Cansado-Bravo & Carlos Rodríguez-Monroy, 2018. "Persistence of Oil Prices in Gas Import Prices and the Resilience of the Oil-Indexation Mechanism. The Case of Spanish Gas Import Prices," Energies, MDPI, vol. 11(12), pages 1-17, December.
    99. Ma, Feng & Wahab, M.I.M. & Huang, Dengshi & Xu, Weiju, 2017. "Forecasting the realized volatility of the oil futures market: A regime switching approach," Energy Economics, Elsevier, vol. 67(C), pages 136-145.
    100. Wang, Lu & Ma, Feng & Hao, Jianyang & Gao, Xinxin, 2021. "Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?," International Review of Financial Analysis, Elsevier, vol. 76(C).
    101. Hasanov, Akram Shavkatovich & Poon, Wai Ching & Al-Freedi, Ajab & Heng, Zin Yau, 2018. "Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions," Energy Economics, Elsevier, vol. 70(C), pages 307-333.
    102. Ma, Feng & Zhang, Yaojie & Huang, Dengshi & Lai, Xiaodong, 2018. "Forecasting oil futures price volatility: New evidence from realized range-based volatility," Energy Economics, Elsevier, vol. 75(C), pages 400-409.
    103. Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016. "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 136-149.
    104. Chen, Yixiang & Ma, Feng & Zhang, Yaojie, 2019. "Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets," Energy Economics, Elsevier, vol. 81(C), pages 52-62.
    105. Loïc Maréchal, 2021. "Do economic variables forecast commodity futures volatility?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1735-1774, November.

  41. Peter Molnár & Kjell G. Nyborg, 2013. "Tax†adjusted Discount Rates: a General Formula under Constant Leverage Ratios," European Financial Management, European Financial Management Association, vol. 19(3), pages 419-428, June.

    Cited by:

    1. Fischer, Max & Krause, Marko & Lahmann, Alexander & Stimper, Franziska, 2022. "Firm valuation with state dependent COD taxation," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 550-561.
    2. Nguyen Kim-Duc & Pham Khanh Nam, 2024. "Consistent valuation: extensions from bankruptcy costs and tax integration with time-varying debt," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 719-754, February.
    3. Alexander Lahmann & Maximilian Schreiter & Bernhard Schwetzler, 2018. "Der Einfluss von Insolvenz, Kapitalstruktur und Fremdkapitalfälligkeit auf den Unternehmenswert [The Impact of Default Risk, Capital Structure, and Debt Maturity on Firm Value]," Schmalenbach Journal of Business Research, Springer, vol. 70(1), pages 73-123, March.
    4. Valentin Haag & Christian Koziol, 2023. "Company Cost of Capital and Leverage: A Simplified Textbook Relationship Revisited," Schmalenbach Journal of Business Research, Springer, vol. 75(1), pages 37-69, March.

  42. Molnár, Peter, 2012. "Properties of range-based volatility estimators," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 20-29.

    Cited by:

    1. Jonathan A. Batten & Cetin Ciner & Brian M. Lucey, 2014. "Which Precious Metals Spill Over on Which, When and Why? – Some Evidence," The Institute for International Integration Studies Discussion Paper Series iiisdp460, IIIS.
    2. Aneta Wlodarczyk & Iwona Otola, 2016. "Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 87-116.
    3. Alexandre Aidov & Olesya Lobanova, 2021. "Volatility and Depth in Commodity and FX Futures Markets," JRFM, MDPI, vol. 14(11), pages 1-16, November.
    4. Vortelinos, Dimitrios I., 2014. "Optimally sampled realized range-based volatility estimators," Research in International Business and Finance, Elsevier, vol. 30(C), pages 34-50.
    5. Gerlach, Richard & Wang, Chao, 2020. "Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures," International Journal of Forecasting, Elsevier, vol. 36(2), pages 489-506.
    6. Shi, Yanlin & Ho, Kin-Yip, 2015. "Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 189-204.
    7. Grobys, Klaus, 2023. "Correlation versus co-fractality: Evidence from foreign-exchange-rate variances," International Review of Financial Analysis, Elsevier, vol. 86(C).
    8. Vyrost, Tomas & Baumöhl, Eduard & Lyocsa, Stefan, 2013. "What Drives the Stock Market Integration in the CEE-3?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 61(1), pages 67-81.
    9. Lyócsa, Štefan & Baumöhl, Eduard, 2015. "Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs," Economic Systems, Elsevier, vol. 39(2), pages 253-268.
    10. Fiszeder, Piotr & Fałdziński, Marcin, 2019. "Improving forecasts with the co-range dynamic conditional correlation model," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    11. Roman Horváth & Štefan Lyócsa & Eduard Baumöhl, 2018. "Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance," The European Journal of Finance, Taylor & Francis Journals, vol. 24(5), pages 391-412, March.
    12. Štefan Lyócsa & Roman Horváth, 2018. "Stock Market Contagion: a New Approach," Open Economies Review, Springer, vol. 29(3), pages 547-577, July.
    13. Prateek Sharma & Vipul _, 2015. "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(4), pages 445-463, October.
    14. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
    15. Richard Gerlach & Chao Wang, 2016. "Forecasting risk via realized GARCH, incorporating the realized range," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 501-511, April.
    16. José Luis Miralles-Quirós & María Mar Miralles-Quirós, 2021. "Alternative Financial Methods for Improving the Investment in Renewable Energy Companies," Mathematics, MDPI, vol. 9(9), pages 1-25, May.
    17. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2019. "Range-based DCC models for covariance and value-at-risk forecasting," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 58-76.
    18. Lepori, Gabriele M., 2023. "Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 165-181.
    19. Lyócsa, Štefan, 2014. "Growth-returns nexus: Evidence from three Central and Eastern European countries," Economic Modelling, Elsevier, vol. 42(C), pages 343-355.
    20. Brian M. Lucey & Charles Larkin & Fergal O'Connor, 2014. "Gold markets around the world - who spills over what, to whom, when?," Applied Economics Letters, Taylor & Francis Journals, vol. 21(13), pages 887-892, September.
    21. Tan, Shay-Kee & Ng, Kok-Haur & Chan, Jennifer So-Kuen & Mohamed, Ibrahim, 2019. "Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 537-551.
    22. Peter Arendas & Jana Kotlebova, 2019. "The Turn of the Month Effect on CEE Stock Markets," IJFS, MDPI, vol. 7(4), pages 1-19, October.
    23. Bašta, Milan & Molnár, Peter, 2018. "Oil market volatility and stock market volatility," Finance Research Letters, Elsevier, vol. 26(C), pages 204-214.
    24. Huynh, Nhan & Phan, Hoa, 2023. "Emotions in the crypto market: Do photos really speak?," Finance Research Letters, Elsevier, vol. 55(PB).
    25. Zaremba, Adam, 2019. "Price range and the cross-section of expected country and industry returns," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 174-189.
    26. Kim, Neri & Lučivjanská, Katarína & Molnár, Peter & Villa, Roviel, 2019. "Google searches and stock market activity: Evidence from Norway," Finance Research Letters, Elsevier, vol. 28(C), pages 208-220.
    27. Richard Gerlach & Declan Walpole & Chao Wang, 2017. "Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 199-215, February.
    28. Peter Molnár, 2016. "High-low range in GARCH models of stock return volatility," Applied Economics, Taylor & Francis Journals, vol. 48(51), pages 4977-4991, November.

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