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Volatility estimation for Bitcoin: A comparison of GARCH models

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Cited by:

  1. Saha, Kunal, 2018. "An investigation into the dependence structure of major cryptocurrencies," EconStor Preprints 181878, ZBW - Leibniz Information Centre for Economics.
  2. Boako, Gideon & Tiwari, Aviral Kumar & Roubaud, David, 2019. "Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market," International Economics, Elsevier, vol. 158(C), pages 77-90.
  3. Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2022. "On the volatility of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 62(C).
  4. 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.
  5. 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.
  6. Afees A. Salisu & Aviral Kumar Tiwari & Ibrahim D. Raheem, 2018. "Analysing the distribution properties of Bitcoin returns," Working Papers 058, Centre for Econometric and Allied Research, University of Ibadan.
  7. Urquhart, Andrew, 2018. "What causes the attention of Bitcoin?," Economics Letters, Elsevier, vol. 166(C), pages 40-44.
  8. Haffar, Adlane & Le Fur, Éric, 2022. "Time-varying dependence of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 211-220.
  9. Koutmos, Dimitrios, 2018. "Return and volatility spillovers among cryptocurrencies," Economics Letters, Elsevier, vol. 173(C), pages 122-127.
  10. 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).
  11. Νikolaos A. Kyriazis & Paraskevi Prassa, 2019. "Which Cryptocurrencies Are Mostly Traded in Distressed Times?," JRFM, MDPI, vol. 12(3), pages 1-12, August.
  12. Christie Smith & Aaron Kumar, 2018. "Crypto‐Currencies – An Introduction To Not‐So‐Funny Moneys," Journal of Economic Surveys, Wiley Blackwell, vol. 32(5), pages 1531-1559, December.
  13. 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.
  14. Kurka, Josef, 2019. "Do cryptocurrencies and traditional asset classes influence each other?," Finance Research Letters, Elsevier, vol. 31(C), pages 38-46.
  15. 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.
  16. Vidal-Tomás, David, 2021. "The entry and exit dynamics of the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 58(C).
  17. 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).
  18. Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
  19. 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).
  20. 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).
  21. Li, Yi & Lucey, Brian & Urquhart, Andrew, 2023. "Can altcoins act as hedges or safe-havens for Bitcoin?," Finance Research Letters, Elsevier, vol. 52(C).
  22. Matkovskyy, Roman, 2019. "Centralized and decentralized bitcoin markets: Euro vs USD vs GBP," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 270-279.
  23. Lin Xie & Jiahua Liao & Haiting Chen & Xuefei Yan & Xinyan Hu, 2021. "Is Futurization the Culprit for the Violent Fluctuation in China’s Apple Spot Price?," Agriculture, MDPI, vol. 11(4), pages 1-14, April.
  24. Tiwari, Aviral Kumar & Jana, R.K. & Das, Debojyoti & Roubaud, David, 2018. "Informational efficiency of Bitcoin—An extension," Economics Letters, Elsevier, vol. 163(C), pages 106-109.
  25. Symitsi, Efthymia & Chalvatzis, Konstantinos J., 2019. "The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks," Research in International Business and Finance, Elsevier, vol. 48(C), pages 97-110.
  26. Kim, Wonse & Lee, Junseok & Kang, Kyungwon, 2020. "The effects of the introduction of Bitcoin futures on the volatility of Bitcoin returns," Finance Research Letters, Elsevier, vol. 33(C).
  27. Yhlas Sovbetov, 2018. "Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 2(2), pages 1-27.
  28. 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.
  29. Ardia, David & Bluteau, Keven & Rüede, Maxime, 2019. "Regime changes in Bitcoin GARCH volatility dynamics," Finance Research Letters, Elsevier, vol. 29(C), pages 266-271.
  30. Duan, Kun & Li, Zeming & Urquhart, Andrew & Ye, Jinqiang, 2021. "Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
  31. 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).
  32. 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.
  33. Cheikh, Nidhaleddine Ben & Zaied, Younes Ben & Chevallier, Julien, 2020. "Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models," Finance Research Letters, Elsevier, vol. 35(C).
  34. Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen, 2018. "Some stylized facts of the cryptocurrency market," Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5950-5965, November.
  35. Ozdamar, Melisa & Sensoy, Ahmet & Akdeniz, Levent, 2022. "Retail vs institutional investor attention in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  36. Kraaijeveld, Olivier & De Smedt, Johannes, 2020. "The predictive power of public Twitter sentiment for forecasting cryptocurrency prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
  37. Dehua Shen & Andrew Urquhart & Pengfei Wang, 2020. "Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks," European Financial Management, European Financial Management Association, vol. 26(5), pages 1294-1323, November.
  38. Białkowski, Jędrzej, 2020. "Cryptocurrencies in institutional investors’ portfolios: Evidence from industry stop-loss rules," Economics Letters, Elsevier, vol. 191(C).
  39. 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.
  40. Anastasiou, Dimitrios & Ballis, Antonis & Drakos, Konstantinos, 2021. "Cryptocurrencies’ Price Crash Risk and Crisis Sentiment," Finance Research Letters, Elsevier, vol. 42(C).
  41. Ren, Yi-Shuai & Ma, Chao-Qun & Kong, Xiao-Lin & Baltas, Konstantinos & Zureigat, Qasim, 2022. "Past, present, and future of the application of machine learning in cryptocurrency research," Research in International Business and Finance, Elsevier, vol. 63(C).
  42. Vahidin Jeleskovic & Mirko Meloni & Zahid Irshad Younas, 2020. "Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations," MAGKS Papers on Economics 202034, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  43. Marthinsen, John E. & Gordon, Steven R., 2022. "The price and cost of bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 280-288.
  44. Javier Cabello S'anchez & Juan Antonio Fern'andez Torvisco & Mariano R. Arias, 2024. "TAC Method for Fitting Exponential Autoregressive Models and Others: Applications in Economy and Finance," Papers 2402.04138, arXiv.org.
  45. Afees A. Salisu & Idris Adediran, 2018. "Testing for time-varying stochastic volatility in Bitcoin returns," Working Papers 060, Centre for Econometric and Allied Research, University of Ibadan.
  46. Viviane Naimy & Omar Haddad & Gema Fernández-Avilés & Rim El Khoury, 2021. "The predictive capacity of GARCH-type models in measuring the volatility of crypto and world currencies," PLOS ONE, Public Library of Science, vol. 16(1), pages 1-17, January.
  47. Wu, Wanshan & Tiwari, Aviral Kumar & Gozgor, Giray & Leping, Huang, 2021. "Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures," Research in International Business and Finance, Elsevier, vol. 58(C).
  48. 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.
  49. Apopo, Natalay & Phiri, Andrew, 2019. "On the (in)efficiency of cryptocurrencies: Have they taken daily or weekly random walks?," MPRA Paper 94712, University Library of Munich, Germany.
  50. Pietro Saggese & Alessandro Belmonte & Nicola Dimitri & Angelo Facchini & Rainer Bohme, 2021. "Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform," Papers 2109.10958, arXiv.org.
  51. Lian, Yu-Min & Chen, Jun-Home, 2021. "Pricing virtual currency-linked derivatives with time-inhomogeneity," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 424-439.
  52. Noshaba Zulfiqar & Saqib Gulzar, 2021. "Implied volatility estimation of bitcoin options and the stylized facts of option pricing," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-30, December.
  53. Sebastião, Helder & Godinho, Pedro, 2020. "Bitcoin futures: An effective tool for hedging cryptocurrencies," Finance Research Letters, Elsevier, vol. 33(C).
  54. 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.
  55. Syed Zwick, Hélène & Syed, Sarfaraz Ali Shah, 2019. "Bitcoin and gold prices: A fledging long-term relationship," MPRA Paper 92512, University Library of Munich, Germany.
  56. 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.
  57. 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).
  58. Wei Jiang & Yanyu Zhang, 2023. "Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1183-1203, September.
  59. Samuel Asante Gyamerah, 2019. "Estimating the volatility of Bitcoin using GARCH models," Papers 1909.04903, arXiv.org, revised Oct 2019.
  60. 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.
  61. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2021. "How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques," Resources Policy, Elsevier, vol. 70(C).
  62. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Olubusoye, Olusanya E., 2019. "How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 531(C).
  63. Lahmiri, Salim & Bekiros, Stelios & Salvi, Antonio, 2018. "Long-range memory, distributional variation and randomness of bitcoin volatility," Chaos, Solitons & Fractals, Elsevier, vol. 107(C), pages 43-48.
  64. Yokoyama, Kazuki, 2023. "Whispers of Chaos: Intervention on the Mexican Dollar Quotes in Japan, 1869-1885," MPRA Paper 118586, University Library of Munich, Germany.
  65. Kislay Kumar Jha & Dirk G. Baur, 2020. "Regime-Dependent Good and Bad Volatility of Bitcoin," JRFM, MDPI, vol. 13(12), pages 1-16, December.
  66. 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.
  67. 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.
  68. 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).
  69. Ballis, Antonis & Drakos, Konstantinos, 2020. "Testing for herding in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 33(C).
  70. Corbet, Shaen & Katsiampa, Paraskevi & Lau, Chi Keung Marco, 2020. "Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets," International Review of Financial Analysis, Elsevier, vol. 71(C).
  71. Sokic, Alexandre, 2018. "Bitcoin and hyperdeflation : an optimizing monetary approach," MPRA Paper 90603, University Library of Munich, Germany.
  72. Klein, Tony & Pham Thu, Hien & Walther, Thomas, 2018. "Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 105-116.
  73. Sheng‐Tun Li & Kuei‐Chen Chiu & Chien‐Chang Wu, 2023. "Apply big data analytics for forecasting the prices of precious metals futures to construct a hedging strategy for industrial material procurement," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 44(2), pages 942-959, March.
  74. Aggarwal, Divya & Chandrasekaran, Shabana & Annamalai, Balamurugan, 2020. "A complete empirical ensemble mode decomposition and support vector machine-based approach to predict Bitcoin prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
  75. Shaw, Charles, 2018. "Conditional heteroskedasticity in crypto-asset returns," MPRA Paper 90437, University Library of Munich, Germany.
  76. 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.
  77. Vidal-Tomás, David & Ibañez, Ana, 2018. "Semi-strong efficiency of Bitcoin," Finance Research Letters, Elsevier, vol. 27(C), pages 259-265.
  78. Wang Guizhou & Zhang Si & Yu Tao & Ning Yu, 2021. "A Systematic Overview of Blockchain Research," Journal of Systems Science and Information, De Gruyter, vol. 9(3), pages 205-238, June.
  79. Burke, Matt & Fry, John & Kemp, Sean & Woodhouse, Drew, 2022. "Attention to Authority: The behavioural finance of Covid-19," Finance Research Letters, Elsevier, vol. 49(C).
  80. Koutmos, Dimitrios, 2018. "Bitcoin returns and transaction activity," Economics Letters, Elsevier, vol. 167(C), pages 81-85.
  81. 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).
  82. Köchling, Gerrit & Schmidtke, Philipp & Posch, Peter N., 2020. "Volatility forecasting accuracy for Bitcoin," Economics Letters, Elsevier, vol. 191(C).
  83. Tapia, Sebastian & Kristjanpoller, Werner, 2022. "Framework based on multiplicative error and residual analysis to forecast bitcoin intraday-volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
  84. Turattia, Douglas Eduardo & Mendes, Fernando Henrique P.S. & Caldeira, João Frois, 2020. "Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization," Finance Research Letters, Elsevier, vol. 34(C).
  85. 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).
  86. George Milunovich, 2018. "Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(4), pages 551-563, December.
  87. Tetsuya Takaishi & Takanori Adachi, 2019. "Market efficiency, liquidity, and multifractality of Bitcoin: A dynamic study," Papers 1902.09253, arXiv.org.
  88. Tu, Zhiyong & Xue, Changyong, 2019. "Effect of bifurcation on the interaction between Bitcoin and Litecoin," Finance Research Letters, Elsevier, vol. 31(C).
  89. Christian Masiak & Joern H. Block & Tobias Masiak & Matthias Neuenkirch & Katja N. Pielen, 2020. "Initial coin offerings (ICOs): market cycles and relationship with bitcoin and ether," Small Business Economics, Springer, vol. 55(4), pages 1113-1130, December.
  90. Koray Caliskan, 2022. "The Elephant in the Dark: A New Framework for Cryptocurrency Taxation and Exchange Platform Regulation in the US," JRFM, MDPI, vol. 15(3), pages 1-18, March.
  91. 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.
  92. Achraf Ghorbel & Wajdi Frikha & Yasmine Snene Manzli, 2022. "Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 387-425, September.
  93. Das, Debojyoti & Dutta, Anupam, 2020. "Bitcoin’s energy consumption: Is it the Achilles heel to miner’s revenue?," Economics Letters, Elsevier, vol. 186(C).
  94. Umar, Muhammad & Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2021. "Dance with the devil? The nexus of fourth industrial revolution, technological financial products and volatility spillovers in global financial system," Technological Forecasting and Social Change, Elsevier, vol. 163(C).
  95. Gianna Figà-Talamanca & Marco Patacca, 2020. "Disentangling the relationship between Bitcoin and market attention measures," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 71-91, March.
  96. Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
  97. Grobys, Klaus & Junttila, Juha, 2021. "Speculation and lottery-like demand in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
  98. Roy Cerqueti & Massimiliano Giacalone & Raffaele Mattera, 2020. "Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling," Papers 2004.11674, arXiv.org.
  99. Tim Leung & Theodore Zhao, 2022. "Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-23, March.
  100. Yi, Eojin & Ahn, Kwangwon & Choi, M.Y., 2022. "Cryptocurrency: Not far from equilibrium," Technological Forecasting and Social Change, Elsevier, vol. 177(C).
  101. Gronwald, Marc, 2019. "Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 86-92.
  102. 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.
  103. Pritpal Singh BHULLAR & Dyal BHATNAGAR, 2020. "Bitcoins as a determinant of stock market movements: A comparison of Indian and Chinese Stock Markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(624), A), pages 193-202, Autumn.
  104. 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.
  105. Platanakis, Emmanouil & Urquhart, Andrew, 2020. "Should investors include Bitcoin in their portfolios? A portfolio theory approach," The British Accounting Review, Elsevier, vol. 52(4).
  106. Leonardo Ieracitano Vieira & Márcio Poletti Laurini, 2023. "Time-varying higher moments in Bitcoin," Digital Finance, Springer, vol. 5(2), pages 231-260, June.
  107. 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).
  108. Bazán-Palomino, Walter, 2021. "How are Bitcoin forks related to Bitcoin?," Finance Research Letters, Elsevier, vol. 40(C).
  109. Jihed Majdoub & Salim Ben Sassi & Azza Bejaoui, 2021. "Can fiat currencies really hedge Bitcoin? Evidence from dynamic short-term perspective," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 789-816, December.
  110. Walid Chkili, 2021. "Modeling Bitcoin price volatility: long memory vs Markov switching," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 433-448, September.
  111. Tzouvanas, Panagiotis & Kizys, Renatas & Tsend-Ayush, Bayasgalan, 2020. "Momentum trading in cryptocurrencies: Short-term returns and diversification benefits," Economics Letters, Elsevier, vol. 191(C).
  112. Kosc, Krzysztof & Sakowski, Paweł & Ślepaczuk, Robert, 2019. "Momentum and contrarian effects on the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 691-701.
  113. Gkillas, Konstantinos & Katsiampa, Paraskevi, 2018. "An application of extreme value theory to cryptocurrencies," Economics Letters, Elsevier, vol. 164(C), pages 109-111.
  114. Aniruddha Dutta & Saket Kumar & Meheli Basu, 2019. "A Gated Recurrent Unit Approach to Bitcoin Price Prediction," Papers 1912.11166, arXiv.org.
  115. Jingxuan Liu & Ping Qiao & Jian Ding & Luke Hankinson & Elodie H. Harriman & Edward M. Schiller & Ieva Ramanauskaite & Haowei Zhang, 2020. "Will the Aviation Industry Have a Bright Future after the COVID-19 Outbreak? Evidence from Chinese Airport Shipping Sector," JRFM, MDPI, vol. 13(11), pages 1-14, November.
  116. Yu-Min Lian & Jia-Ling Chen & Hsueh-Chien Cheng, 2022. "Predicting Bitcoin Prices via Machine Learning and Time Series Models," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(5), pages 1-2.
  117. Köchling, Gerrit & Müller, Janis & Posch, Peter N., 2019. "Does the introduction of futures improve the efficiency of Bitcoin?," Finance Research Letters, Elsevier, vol. 30(C), pages 367-370.
  118. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2022. "Cryptocurrency returns under empirical asset pricing," International Review of Financial Analysis, Elsevier, vol. 82(C).
  119. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David, 2019. "Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 37-51.
  120. Mawuli Segnon & Stelios Bekiros, 2020. "Forecasting volatility in bitcoin market," Annals of Finance, Springer, vol. 16(3), pages 435-462, September.
  121. 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.
  122. 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.
  123. George Tzagkarakis & Frantz Maurer, 2023. "Horizon-Adaptive Extreme Risk Quantification for Cryptocurrency Assets," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1251-1286, October.
  124. Chappell, Daniel, 2018. "Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models," MPRA Paper 90682, University Library of Munich, Germany.
  125. 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).
  126. Shi, Yongjing & Tiwari, Aviral Kumar & Gozgor, Giray & Lu, Zhou, 2020. "Correlations among cryptocurrencies: Evidence from multivariate factor stochastic volatility model," Research in International Business and Finance, Elsevier, vol. 53(C).
  127. Liu, Weiyi, 2019. "Portfolio diversification across cryptocurrencies," Finance Research Letters, Elsevier, vol. 29(C), pages 200-205.
  128. Skander Slim & Ibrahim Tabche & Yosra Koubaa & Mohamed Osman & Andreas Karathanasopoulos, 2023. "Forecasting realized volatility of Bitcoin: The informative role of price duration," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1909-1929, November.
  129. Antonis Ballis & Konstantinos Drakos, 2021. "The explosion in cryptocurrencies: a black hole analogy," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-8, December.
  130. 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.
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