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Are shocks on the returns and volatility of cryptocurrencies really persistent?

Citations

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Cited by:

  1. 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.
  2. Silky Vigg Kushwah & Shab Hundal & Payal Goel, 2024. "Unveiling Interconnectedness and Volatility Transmission: A Novel GARCH Analysis of Leading Global Cryptocurrencies," International Journal of Economics and Financial Issues, Econjournals, vol. 14(3), pages 132-139, May.
  3. 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.
  4. Hu, Yang & Valera, Harold Glenn A. & Oxley, Les, 2019. "Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework," Finance Research Letters, Elsevier, vol. 31(C), pages 138-145.
  5. Aslan, Aylin & Sensoy, Ahmet, 2020. "Intraday efficiency-frequency nexus in the cryptocurrency markets," Finance Research Letters, Elsevier, vol. 35(C).
  6. Khaled Mokni & Ghassen El Montasser & Ahdi Noomen Ajmi & Elie Bouri, 2025. "On the Efficiency and Its Drivers in the Cryptocurrency Market: The Case of Bitcoin and Ethereum," Springer Books, in: Gang Kou & Yongqiang Li & Zongyi Zhang & J. Leon Zhao & Zhi Zhuo (ed.), Blockchain, Crypto Assets, and Financial Innovation, pages 162-191, Springer.
  7. 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.
  8. Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
  9. Panpan Zhu & Xing Zhang & You Wu & Hao Zheng & Yinpeng Zhang, 2021. "Investor attention and cryptocurrency: Evidence from the Bitcoin market," PLOS ONE, Public Library of Science, vol. 16(2), pages 1-28, February.
  10. 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.
  11. Leonardo Ieracitano Vieira & Márcio Poletti Laurini, 2023. "Time-varying higher moments in Bitcoin," Digital Finance, Springer, vol. 5(2), pages 231-260, June.
  12. Balcilar, Mehmet & Ozdemir, Huseyin & Agan, Busra, 2022. "Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  13. Lahmiri, Salim & Bekiros, Stelios, 2021. "The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).
  14. Toshiyuki Yam awake & Joseph Sheely & Roberto Serrano & Jiro Hodoshima, 2022. "Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness," Working Papers 2022-007, Brown University, Department of Economics.
  15. 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.
  16. Esther Cabezas-Rivas & Felipe S'anchez-Coll & Isaac Tormo-Xaixo, 2023. "Chance or Chaos? Fractal geometry aimed to inspect the nature of Bitcoin," Papers 2309.00390, arXiv.org.
  17. 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.
  18. 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.
  19. Carmen López-Martín & Sonia Benito Muela & Raquel Arguedas, 2021. "Efficiency in cryptocurrency markets: new evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 403-431, September.
  20. Alessio Brini & Jimmie Lenz, 2024. "A comparison of cryptocurrency volatility-benchmarking new and mature asset classes," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-38, December.
  21. Fayssal Jamhamed & Franck Martin & Fabien Rondeau & Josué Thélissaint & Stéphane Tufféry, 2024. "Regime-Specific Dynamics and Informational Efficiency in Cryptomarkets: Evidence from Gaussian Mixture Models," Economics Working Paper Archive (University of Rennes & University of Caen) 2024-13, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
  22. Huthaifa Alqaralleh & Alaa Adden Abuhommous & Ahmad Alsaraireh, 2020. "Modelling and Forecasting the Volatility of Cryptocurrencies: A Comparison of Nonlinear GARCH-Type Models," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(4), pages 346-356, July.
  23. Lee, Seungho & Meslmani, Nabil El & Switzer, Lorne N., 2020. "Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets," Research in International Business and Finance, Elsevier, vol. 53(C).
  24. Ahmed, Mohamed Shaker & El-Masry, Ahmed A. & Al-Maghyereh, Aktham I. & Kumar, Satish, 2024. "Cryptocurrency volatility: A review, synthesis, and research agenda," Research in International Business and Finance, Elsevier, vol. 71(C).
  25. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
  26. 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).
  27. Daeyun Kang & Doojin Ryu & Robert I. Webb, 2025. "Bitcoin as a financial asset: a survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-28, December.
  28. Brajaballav Kar & Chandrabhanu Das, 2022. "Cryptocurrency Response to COVID-19: A Test of Efficient Market Hypothesis," Springer Proceedings in Business and Economics, in: Rabi Narayan Subudhi & Sumita Mishra & Abu Saleh & Dariush Khezrimotlagh (ed.), Future of Work and Business in Covid-19 Era, pages 9-18, Springer.
  29. 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).
  30. Kristjanpoller, Werner & Nekhili, Ramzi & Bouri, Elie, 2024. "Blockchain ETFs and the cryptocurrency and Nasdaq markets: Multifractal and asymmetric cross-correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 637(C).
  31. 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).
  32. 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).
  33. Didik Susilo & Sugeng Wahyudi & Irene Rini Demi Pangestuti & Bayu Adi Nugroho & Robiyanto Robiyanto, 2020. "Cryptocurrencies: Hedging Opportunities From Domestic Perspectives in Southeast Asia Emerging Markets," SAGE Open, , vol. 10(4), pages 21582440209, November.
  34. 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).
  35. Pedro Chaim & Márcio Poletti Laurini, 2024. "Bayesian Inference for Long Memory Stochastic Volatility Models," Econometrics, MDPI, vol. 12(4), pages 1-28, November.
  36. Derick Quintino & Jessica Campoli & Heloisa Burnquist & Paulo Ferreira, 2020. "Efficiency of the Brazilian Bitcoin: A DFA Approach," IJFS, MDPI, vol. 8(2), pages 1-9, April.
  37. 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.
  38. José Almeida & Tiago Cruz Gonçalves, 2024. "Cryptocurrency market microstructure: a systematic literature review," Annals of Operations Research, Springer, vol. 332(1), pages 1035-1068, January.
  39. Pradipta Kumar Sahoo & Dinabandhu Sethi, 2024. "Market efficiency of the cryptocurrencies: Some new evidence based on price–volume relationship," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1569-1580, April.
  40. Huynh, Toan Luu Duc & Nasir, Muhammad Ali & Vo, Xuan Vinh & Nguyen, Thong Trung, 2020. "“Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  41. Kerolly Kedma Felix do Nascimento & Fábio Sandro dos Santos & Jader Silva Jale & Silvio Fernando Alves Xavier Júnior & Tiago A. E. Ferreira, 2023. "Extracting Rules via Markov Chains for Cryptocurrencies Returns Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 61(3), pages 1095-1114, March.
  42. Nikolaos A. Kyriazis, 2019. "A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets," JRFM, MDPI, vol. 12(2), pages 1-17, April.
  43. Amélie Charles & Olivier Darné, 2019. "Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks," Economics Bulletin, AccessEcon, vol. 39(2), pages 954-968.
  44. Alessio Brini & Jimmie Lenz, 2024. "A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes," Papers 2404.04962, arXiv.org.
  45. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2022. "Hedging the extreme risk of cryptocurrency," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  46. Yaman Omer Erzurumlu & Tunc Oygur & Alper Kirik, 2020. "One size does not fit all: external driver of the cryptocurrency world," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 37(3), pages 545-560, June.
  47. 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.
  48. Helder Sebastião & Pedro Godinho, 2021. "Forecasting and trading cryptocurrencies with machine learning under changing market conditions," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-30, December.
  49. 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).
  50. 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.
  51. Walid Ben Omrane & Khaled Guesmi & Qi Qianru & Samir Saadi, 2023. "The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets," Annals of Operations Research, Springer, vol. 330(1), pages 177-209, November.
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