Are cryptocurrencies connected to forex? A quantile cross-spectral approach
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DOI: 10.1016/j.frl.2018.09.002
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- Baumöhl, Eduard, 2018. "Are cryptocurrencies connected to forex? A quantile cross-spectral approach," EconStor Preprints 174884, ZBW - Leibniz Information Centre for Economics.
References listed on IDEAS
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Citations
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Cited by:
- 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).
- 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.
- Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019.
"Quantile coherency networks of international stock markets,"
Finance Research Letters, Elsevier, vol. 31(C), pages 119-129.
- Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019. "Quantile coherency networks of international stock markets," EconStor Preprints 194568, ZBW - Leibniz Information Centre for Economics.
- 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.
- Aurelio F. Bariviera & Ignasi Merediz-Sol`a, 2020. "Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis," Papers 2003.09723, arXiv.org.
- Khanh Hoang & Cuong C. Nguyen & Kongchheng Poch & Thang X. Nguyen, 2020. "Does Bitcoin Hedge Commodity Uncertainty?," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(6), pages 1-14, June.
- Umar, Zaghum & Gubareva, Mariya, 2020. "A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
- Wen, Tiange & Wang, Gang-Jin, 2020. "Volatility connectedness in global foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 54(C).
- Nino Antulov-Fantulin & Tian Guo & Fabrizio Lillo, 2020. "Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange markets," Papers 2005.09356, arXiv.org, revised Dec 2020.
- 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.
- 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).
- Paulo Ferreira & Éder Pereira, 2019. "Contagion Effect in Cryptocurrency Market," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(3), pages 1-8, July.
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More about this item
Keywords
Cryptocurrencies; Forex; Quantile dependence; Cross-spectral; Diversification;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F31 - International Economics - - International Finance - - - Foreign Exchange
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