A survey on volatility fluctuations in the decentralized cryptocurrency financial assets

NA Kyriazis - Journal of Risk and Financial Management, 2021 - mdpi.com
This study is an integrated survey of GARCH methodologies applications on 67 empirical
papers that focus on cryptocurrencies. More sophisticated GARCH models are found to …

The spillover effect between Chinese crude oil futures market and Chinese green energy stock market

J Li, M Umar, J Huo - Energy Economics, 2023 - Elsevier
With the increasing severe pollution, the new energy industry is greatly favored by the
government and investors. Using the static network connectedness method of Diebold and …

[HTML][HTML] Performance evaluation of deep learning and boosted trees for cryptocurrency closing price prediction

AA Oyedele, AO Ajayi, LO Oyedele, SA Bello… - Expert Systems with …, 2023 - Elsevier
The emergence of cryptocurrencies has drawn significant investment capital in recent years
with an exponential increase in market capitalization and trade volume. However, the …

Asymmetric dynamic spillover effect between cryptocurrency and China's financial market: Evidence from TVP-VAR based connectedness approach

G Cao, W Xie - Finance Research Letters, 2022 - Elsevier
In this paper, we constructed a volatility spillover index based on the time-varying parameter
vector autoregressions (TVP-VAR) model to study the asymmetric volatility spillover effect …

Cryptocurrency market microstructure: a systematic literature review

J Almeida, TC Gonçalves - Annals of Operations Research, 2024 - Springer
This study contributes to the unconsolidated cryptocurrency literature, with a systematic
literature review focused on cryptocurrency market microstructure. We searched Web of …

“Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet

TLD Huynh, MA Nasir, XV Vo, TT Nguyen - The North American Journal of …, 2020 - Elsevier
The cryptocurrencies with small market capitalization are often overlooked despite they can
potentially be the source of shocks to other cryptocurrencies in the market. To address this …

[HTML][HTML] The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: Evidence from the VAR-DCC-GARCH approach

I Yousaf, S Ali - Borsa Istanbul Review, 2020 - Elsevier
Using intraday data, this study employs the VAR-DCC-GARCH model to examine return and
volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and …

Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic

I Yousaf, S Ali - Financial Innovation, 2020 - Springer
Through the application of the VAR-AGARCH model to intra-day data for three
cryptocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and …

Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis

O Özdemir - Financial Innovation, 2022 - Springer
This study investigates the dynamic mechanism of financial markets on volatility spillovers
across eight major cryptocurrency returns, namely Bitcoin, Ethereum, Stellar, Ripple, Tether …

The transaction behavior of cryptocurrency and electricity consumption

M Zheng, GF Feng, X Zhao, CP Chang - Financial Innovation, 2023 - Springer
Rapidly increasing cryptocurrency prices have encouraged cryptocurrency miners to
participate in cryptocurrency production, increasing network hashrates and electricity …