This article analyzes asymmetric volatility effects for the 20 largest cryptocurrencies and
reports a very different asymmetry compared to equity markets: positive shocks increase the …

Literature suggests assets become more correlated during economic downturns. The COVID-
19 crisis provides an unprecedented opportunity to investigate this considerably further …

We present a multi-scale and time-frequency analysis of the degree of integration and the
lead-lag relationship between six cryptocurrencies (ie, Bitcoin, Bitcoincash, Ethereum …

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This study investigates the dynamic mechanism of financial markets on volatility spillovers
across eight major cryptocurrency returns, namely Bitcoin, Ethereum, Stellar, Ripple, Tether …

This paper analyzes the Bitcoin price discovery process. We collect data on futures and spot
prices for the period December 2017 to May 2018 and compute Hasbrouck's information …

We analyse minute-level multi-dimensional information flows within and between bitcoin
spot and derivatives. We show that perpetual swaps and futures traded on the unregulated …

We examine the volume-volatility relationship across Bitcoin futures and spot markets, using
daily realised volatility measures estimated from high frequency intraday data. We estimate …

This paper adds to the growing literature of cryptocurrency and behavioral finance.
Specifically, we investigate the relationships between the novel investor attention and …

This paper provides a review of the literature on key matters related to the popular
cryptocurrency Bitcoin. Another key motivation of this paper is to understand the underlying …