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A Statistical Analysis of Cryptocurrencies

Citations

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Cited by:

  1. Peter Fratrič & Giovanni Sileno & Sander Klous & Tom Engers, 2022. "Manipulation of the Bitcoin market: an agent-based study," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-29, December.
  2. Bennett, Donyetta & Mekelburg, Erik & Williams, T.H., 2023. "BeFi meets DeFi: A behavioral finance approach to decentralized finance asset pricing," Research in International Business and Finance, Elsevier, vol. 65(C).
  3. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa B. & Stosic, Tatijana, 2018. "Nonextensive triplets in cryptocurrency exchanges," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 1069-1074.
  4. 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).
  5. Bruno Ferreira Frascaroli, 2020. "Bitcoin's innovative aspects, return volatility and uncertainty shocks," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 7(3), pages 224-245.
  6. Omane-Adjepong, Maurice & Alagidede, Paul & Akosah, Nana Kwame, 2019. "Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 105-120.
  7. Luis Lorenzo & Javier Arroyo, 2022. "Analysis of the cryptocurrency market using different prototype-based clustering techniques," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-46, December.
  8. Eduard Silantyev, 2019. "Order flow analysis of cryptocurrency markets," Digital Finance, Springer, vol. 1(1), pages 191-218, November.
  9. White, Reilly & Marinakis, Yorgos & Islam, Nazrul & Walsh, Steven, 2020. "Is Bitcoin a currency, a technology-based product, or something else?," Technological Forecasting and Social Change, Elsevier, vol. 151(C).
  10. Ramzi Nekhili & Jahangir Sultan, 2020. "Jump Driven Risk Model Performance in Cryptocurrency Market," IJFS, MDPI, vol. 8(2), pages 1-18, April.
  11. 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.
  12. Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation," Papers 1908.05419, arXiv.org.
  13. 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).
  14. Zhang, Yuanyuan & Chan, Stephen & Chu, Jeffrey & Nadarajah, Saralees, 2019. "Stylised facts for high frequency cryptocurrency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 598-612.
  15. Marian Gidea & Daniel Goldsmith & Yuri Katz & Pablo Roldan & Yonah Shmalo, 2018. "Topological recognition of critical transitions in time series of cryptocurrencies," Papers 1809.00695, arXiv.org.
  16. Rodolfo Angelo Magtanggol Iii De Guzman & Mike K. P. So, 2018. "Empirical Analysis Of Bitcoin Prices Using Threshold Time Series Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 1-24, December.
  17. Damian Zięba, 2019. "Lévy processes on the cryptocurrency market," Working Papers 2019-15, Faculty of Economic Sciences, University of Warsaw.
  18. Fulvia Pennoni & Francesco Bartolucci & Gianfranco Forte & Ferdinando Ametrano, 2022. "Exploring the dependencies among main cryptocurrency log‐returns: A hidden Markov model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(1), February.
  19. da Cunha, C.R. & da Silva, R., 2020. "Relevant stylized facts about bitcoin: Fluctuations, first return probability, and natural phenomena," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
  20. Dean Fantazzini & Stephan Zimin, 2020. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 19-69, March.
  21. Paul Gatabazi & Gaëtan Kabera & Jules Clement Mba & Edson Pindza & Sileshi Fanta Melesse, 2022. "Cryptocurrencies and Tokens Lifetime Analysis from 2009 to 2021," Economies, MDPI, vol. 10(3), pages 1-14, March.
  22. Matthias Schnaubelt & Jonas Rende & Christopher Krauss, 2019. "Testing Stylized Facts of Bitcoin Limit Order Books," JRFM, MDPI, vol. 12(1), pages 1-30, February.
  23. Williams Kwasi Peprah & Amos Oppong Afriyie & Joseph A. Abandoh-Sam & Emmanuel Oppong Afriyie, 2018. "Dollarization 2.0 a Cryptocurrency: Impact on Traditional Banks and Fiat Currency," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 8(6), pages 341-349, June.
  24. Chan, Stephen & Chu, Jeffrey & Zhang, Yuanyuan & Nadarajah, Saralees, 2022. "An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
  25. Yi, Eojin & Ahn, Kwangwon & Choi, M.Y., 2022. "Cryptocurrency: Not far from equilibrium," Technological Forecasting and Social Change, Elsevier, vol. 177(C).
  26. 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.
  27. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  28. Jaroslav Mazanec, 2021. "Portfolio Optimalization on Digital Currency Market," JRFM, MDPI, vol. 14(4), pages 1-15, April.
  29. Liebi, Luca J., 2022. "Is there a value premium in cryptoasset markets?," Economic Modelling, Elsevier, vol. 109(C).
  30. Mike Kraehenbuehl & Joerg Osterrieder, 2022. "The Efficient Market Hypothesis for Bitcoin in the context of neural networks," Papers 2208.07254, arXiv.org.
  31. Lorenzo Lucchini & Laura Alessandretti & Bruno Lepri & Angela Gallo & Andrea Baronchelli, 2020. "From code to market: Network of developers and correlated returns of cryptocurrencies," Papers 2004.07290, arXiv.org, revised Dec 2020.
  32. Gregor Dorfleitner & Carina Lung, 2018. "Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 472-494, December.
  33. 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.
  34. Liu, Weiyi, 2019. "Portfolio diversification across cryptocurrencies," Finance Research Letters, Elsevier, vol. 29(C), pages 200-205.
  35. Vladut Faraonel & Alexandra Raluca Jelea & Mara Matcu, 2022. "Romanian Students’ Perception of Cryptocurrency," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 545-551, September.
  36. Tak Kuen Siu, 2023. "Bayesian nonlinear expectation for time series modelling and its application to Bitcoin," Empirical Economics, Springer, vol. 64(1), pages 505-537, January.
  37. Massing, Till & Ramos, Arturo, 2021. "Student’s t mixture models for stock indices. A comparative study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
  38. Gidea, Marian & Goldsmith, Daniel & Katz, Yuri & Roldan, Pablo & Shmalo, Yonah, 2020. "Topological recognition of critical transitions in time series of cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 548(C).
  39. Nils Bundi & Marc Wildi, 2019. "Bitcoin and market-(in)efficiency: a systematic time series approach," Digital Finance, Springer, vol. 1(1), pages 47-65, November.
  40. Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
  41. Punzo, Antonio & Bagnato, Luca, 2021. "Modeling the cryptocurrency return distribution via Laplace scale mixtures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
  42. Yuanyuan Zhang & Stephen Chan & Jeffrey Chu & Hana Sulieman, 2020. "On the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market," JRFM, MDPI, vol. 13(1), pages 1-14, January.
  43. Chika Anastesia Anisiuba & Obiamaka P. Egbo & Felix C. Alio & Chuka Ifediora & Ebele C. Igwemeka & C. O. Odidi & Hillary Chijindu Ezeaku, 2021. "Analysis of Cryptocurrency Dynamics in the Emerging Market Economies: Does Reinforcement or Substitution Effect Prevail?," SAGE Open, , vol. 11(1), pages 21582440211, March.
  44. Saralees Nadarajah & Emmanuel Afuecheta & Stephen Chan, 2021. "Dependence between bitcoin and African currencies," Quality & Quantity: International Journal of Methodology, Springer, vol. 55(4), pages 1203-1218, August.
  45. Ćosić Karlo & Časni Anita Čeh, 2019. "The impact of cryptocurrency on the efficient frontier of emerging markets," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 5(2), pages 64-75, December.
  46. Stephanie Danielle Subramoney & Knowledge Chinhamu & Retius Chifurira, 2021. "Value at Risk estimation using GAS models with heavy tailed distributions for cryptocurrencies," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 10(4), pages 40-54, October.
  47. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa B. & Stosic, Tatijana, 2019. "Exploring disorder and complexity in the cryptocurrency space," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 548-556.
  48. Anastasiadis Panagiotis & Katsaros Efthymios & Koutsioukis Anastasios-Taxiarchis & Pandazis Athanasios, 2020. "GARCH Modelling of High-Capitalization Cryptocurrencies' Impacts During Bearish Markets," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(3), pages 87-106.
  49. Ahmed, Rizwan & Chaudhry, Sajid M. & Kumpamool, Chamaiporn & Benjasak, Chonlakan, 2022. "Tail risk, systemic risk and spillover risk of crude oil and precious metals," Energy Economics, Elsevier, vol. 112(C).
  50. Liu, Weiyi & Liang, Xuan & Cui, Guowei, 2020. "Common risk factors in the returns on cryptocurrencies," Economic Modelling, Elsevier, vol. 86(C), pages 299-305.
  51. Chu, Jeffrey & Zhang, Yuanyuan & Chan, Stephen, 2019. "The adaptive market hypothesis in the high frequency cryptocurrency market," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 221-231.
  52. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa B. & Stosic, Tatijana, 2019. "Multifractal behavior of price and volume changes in the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 54-61.
  53. Jeffrey Chu & Stephen Chan & Saralees Nadarajah & Joerg Osterrieder, 2017. "GARCH Modelling of Cryptocurrencies," JRFM, MDPI, vol. 10(4), pages 1-15, October.
  54. Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2020. "High frequency momentum trading with cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 52(C).
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