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Volatility co-movement between Bitcoin and Ether

Citations

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Cited by:

  1. Imran Yousaf & Shoaib Ali, 2020. "Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
  2. Guglielmo Maria Caporale & Woo-Young Kang, 2020. "Bitcoin Price Co-Movements and Culture," CESifo Working Paper Series 8076, CESifo.
  3. Klaus Grobys, 2021. "When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1267-1279, August.
  4. María de la O González & Francisco Jareño & Frank S. Skinner, 2020. "Nonlinear Autoregressive Distributed Lag Approach: An Application on the Connectedness between Bitcoin Returns and the Other Ten Most Relevant Cryptocurrency Returns," Mathematics, MDPI, vol. 8(5), pages 1-22, May.
  5. Thewissen, James & Shrestha, Prabal & Torsin, Wouter & Pastwa, Anna M., 2022. "Unpacking the black box of ICO white papers: A topic modeling approach," Journal of Corporate Finance, Elsevier, vol. 75(C).
  6. Jens Klose, 2022. "Comparing cryptocurrencies and gold - a system-GARCH-approach," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 653-679, December.
  7. Bejaoui, Azza & Frikha, Wajdi & Jeribi, Ahmed & Bariviera, Aurelio F., 2023. "Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
  8. Ha, Le Thanh & Nham, Nguyen Thi Hong, 2022. "An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
  9. Demir, Ender & Simonyan, Serdar & García-Gómez, Conrado-Diego & Lau, Chi Keung Marco, 2021. "The asymmetric effect of bitcoin on altcoins: evidence from the nonlinear autoregressive distributed lag (NARDL) model," Finance Research Letters, Elsevier, vol. 40(C).
  10. Samet Gunay & Kerem Kaskaloglu & Shahnawaz Muhammed, 2021. "Bitcoin and Fiat Currency Interactions: Surprising Results from Asian Giants," Mathematics, MDPI, vol. 9(12), pages 1-18, June.
  11. 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.
  12. 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).
  13. Mokni, Khaled & Ajmi, Ahdi Noomen, 2021. "Cryptocurrencies vs. US dollar: Evidence from causality in quantiles analysis," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 238-252.
  14. Stefano Martinazzi & Daniele Regoli & Andrea Flori, 2020. "A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network," Risks, MDPI, vol. 8(4), pages 1-18, December.
  15. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
  16. 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.
  17. 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.
  18. Bazán-Palomino, Walter, 2021. "How are Bitcoin forks related to Bitcoin?," Finance Research Letters, Elsevier, vol. 40(C).
  19. 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.
  20. Pastwa, Anna M. & Shrestha, Prabal & Thewissen, James & Torsin, Wouter, 2021. "Unpacking the black box of ICO white papers: a topic modeling approach," LIDAM Discussion Papers LFIN 2021018, Université catholique de Louvain, Louvain Finance (LFIN).
  21. Kaya, Orçun & Mostowfi, Mehdi, 2022. "Low-volatility strategies for highly liquid cryptocurrencies," Finance Research Letters, Elsevier, vol. 46(PB).
  22. Kumar, Ashish & Iqbal, Najaf & Mitra, Subrata Kumar & Kristoufek, Ladislav & Bouri, Elie, 2022. "Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  23. Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020. "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
  24. Xu, Qiuhua & Zhang, Yixuan & Zhang, Ziyang, 2021. "Tail-risk spillovers in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
  25. Yousaf, Imran & Jareño, Francisco & Tolentino, Marta, 2023. "Connectedness between Defi assets and equity markets during COVID-19: A sector analysis," Technological Forecasting and Social Change, Elsevier, vol. 187(C).
  26. Assaf, Ata & Charif, Husni & Demir, Ender, 2022. "Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19," Finance Research Letters, Elsevier, vol. 47(PA).
  27. 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).
  28. Klaudia Jarno & Hanna Kołodziejczyk, 2021. "Does the Design of Stablecoins Impact Their Volatility?," JRFM, MDPI, vol. 14(2), pages 1-14, January.
  29. Umar, Zaghum & Jareño, Francisco & González, María de la O, 2021. "The impact of COVID-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies," Technological Forecasting and Social Change, Elsevier, vol. 172(C).
  30. 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).
  31. 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.
  32. Arouxet, M. Belén & Bariviera, Aurelio F. & Pastor, Verónica E. & Vampa, Victoria, 2022. "Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
  33. Pasquale De Rosa & Valerio Schiavoni, 2022. "Understanding Cryptocoins Trends Correlations," Papers 2212.01267, arXiv.org.
  34. Bazán-Palomino, Walter, 2022. "Interdependence, contagion and speculative bubbles in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 49(C).
  35. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Wanas Al-Jarrah, Idries Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? A portfolio risk analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 96-113.
  36. 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.
  37. Beatriz Vaz de Melo Mendes & André Fluminense Carneiro, 2020. "A Comprehensive Statistical Analysis of the Six Major Crypto-Currencies from August 2015 through June 2020," JRFM, MDPI, vol. 13(9), pages 1-21, August.
  38. Lee, Seungju & Lee, Jaewook & Lee, Yunyoung, 2023. "Dissecting the Terra-LUNA crash: Evidence from the spillover effect and information flow," Finance Research Letters, Elsevier, vol. 53(C).
  39. Burggraf, Tobias & Rudolf, Markus, 2021. "Cryptocurrencies and the low volatility anomaly," Finance Research Letters, Elsevier, vol. 40(C).
  40. Hafner, Christian M. & Herwartz, Helmut, 2023. "Correlation impulse response functions," Finance Research Letters, Elsevier, vol. 57(C).
  41. Hsu, Shu-Han & Sheu, Chwen & Yoon, Jiho, 2021. "Risk spillovers between cryptocurrencies and traditional currencies and gold under different global economic conditions," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  42. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Al-Jarrah, Idries Mohammad Wanas & Vo, Xuan Vinh & Kang, Sang Hoon, 2020. "Dynamic volatility transmission and portfolio management across major cryptocurrencies: Evidence from hourly data," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  43. Lin, Zih-Ying, 2021. "Investor attention and cryptocurrency performance," Finance Research Letters, Elsevier, vol. 40(C).
  44. Etienne Harb & Charbel Bassil & Talie Kassamany & Roland Baz, 2024. "Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 951-981, March.
  45. Fung, Kennard & Jeong, Jiin & Pereira, Javier, 2022. "More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies," Finance Research Letters, Elsevier, vol. 47(PA).
  46. 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.
  47. Aslanidis, Nektarios & Bariviera, Aurelio F. & Martínez-Ibañez, Oscar, 2019. "An analysis of cryptocurrencies conditional cross correlations," Finance Research Letters, Elsevier, vol. 31(C), pages 130-137.
  48. Charfeddine, Lanouar & Benlagha, Noureddine & Khediri, Karim Ben, 2022. "An intra-cryptocurrency analysis of volatility connectedness and its determinants: Evidence from mining coins, non-mining coins and tokens," Research in International Business and Finance, Elsevier, vol. 62(C).
  49. Yanzhao Zou & Dorien Herremans, 2022. "PreBit -- A multimodal model with Twitter FinBERT embeddings for extreme price movement prediction of Bitcoin," Papers 2206.00648, arXiv.org, revised Oct 2023.
  50. Merediz-Solà, Ignasi & Bariviera, Aurelio F., 2019. "A bibliometric analysis of bitcoin scientific production," Research in International Business and Finance, Elsevier, vol. 50(C), pages 294-305.
  51. Aslanidis, Nektarios & Fernández Bariviera, Aurelio & Savva, Christos S., 2020. "Weekly dynamic conditional correlations among cryptocurrencies and traditional assets," Working Papers 2072/417680, Universitat Rovira i Virgili, Department of Economics.
  52. Artem Meshcheryakov & Stoyu Ivanov, 2020. "Ethereum as a Hedge: The intraday analysis," Economics Bulletin, AccessEcon, vol. 40(1), pages 101-108.
  53. Ullah, Subhan & Attah-Boakye, Rexford & Adams, Kweku & Zaefarian, Ghasem, 2022. "Assessing the influence of celebrity and government endorsements on bitcoin’s price volatility," Journal of Business Research, Elsevier, vol. 145(C), pages 228-239.
  54. Maurice Omane-Adjepong & Imhotep Paul Alagidede, 2020. "Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 537-585, December.
  55. BRIK, Hatem & El OUAKDI, Jihene & FTITI, Zied, 2022. "Roles of stable versus nonstable cryptocurrencies in Bitcoin market dynamics," Research in International Business and Finance, Elsevier, vol. 62(C).
  56. 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).
  57. 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.
  58. Ferreira, Paulo & Kristoufek, Ladislav & Pereira, Eder Johnson de Area Leão, 2020. "DCCA and DMCA correlations of cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  59. Silahli, Baykar & Dingec, Kemal Dincer & Cifter, Atilla & Aydin, Nezir, 2021. "Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
  60. Demir, Ender & Ersan, Oguz & Popesko, Boris, 2022. "Are Fan Tokens Fan Tokens?," Finance Research Letters, Elsevier, vol. 47(PB).
  61. Jareño, Francisco & González, María de la O. & López, Raquel & Ramos, Ana Rosa, 2021. "Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic," Resources Policy, Elsevier, vol. 74(C).
  62. Assaf, Ata & Bilgin, Mehmet Huseyin & Demir, Ender, 2022. "Using transfer entropy to measure information flows between cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 586(C).
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