Volatility dynamics of crypto-currencies' returns: Evidence from asymmetric and long memory GARCH models
M Fakhfekh, A Jeribi - Research in International Business and Finance, 2020 - Elsevier
The objective of this paper is to select the most optimum model or set of models useful for
modeling sixteen of the most popular crypto-currencies associated volatility. Five GARCH …
modeling sixteen of the most popular crypto-currencies associated volatility. Five GARCH …
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 …
papers that focus on cryptocurrencies. More sophisticated GARCH models are found to …
Volatility estimation for Bitcoin: A comparison of GARCH models
P Katsiampa - Economics letters, 2017 - Elsevier
We explore the optimal conditional heteroskedasticity model with regards to goodness-of-fit
to Bitcoin price data. It is found that the best model is the AR-CGARCH model, highlighting …
to Bitcoin price data. It is found that the best model is the AR-CGARCH model, highlighting …
Cryptocurrencies and stock market indices. Are they related?
In this paper, we investigate the stochastic properties of six major cryptocurrencies and their
bilateral linkages with six stock market indices using fractional integration techniques. From …
bilateral linkages with six stock market indices using fractional integration techniques. From …
GARCH modelling of cryptocurrencies
With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling
of cryptocurrencies. This paper provides the first GARCH modelling of the seven most …
of cryptocurrencies. This paper provides the first GARCH modelling of the seven most …
[HTML][HTML] Persistence in the cryptocurrency market
GM Caporale, L Gil-Alana, A Plastun - Research in International Business …, 2018 - Elsevier
This paper examines persistence in the cryptocurrency market. Two different long-memory
methods (R/S analysis and fractional integration) are used to analyse it in the case of the …
methods (R/S analysis and fractional integration) are used to analyse it in the case of the …
Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis
AS Kumar, S Anandarao - Physica A: statistical mechanics and its …, 2019 - Elsevier
We study the dynamics of volatility spillover across four major cryptocurrency returns namely
Bitcoin, Ethereum, Ripple and Litecoin from 15− 08− 2015 to 18− 01− 2018. In the first step …
Bitcoin, Ethereum, Ripple and Litecoin from 15− 08− 2015 to 18− 01− 2018. In the first step …
Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets
On a univariate setting, this study aims to:(a) model the volatility of Bitcoin, Dash, Monero,
and Stellar,(b) check the eventual existence of structural breaks in their volatility, and (c) …
and Stellar,(b) check the eventual existence of structural breaks in their volatility, and (c) …
The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect
AA Salisu, AE Ogbonna - Global Finance Journal, 2022 - Elsevier
In this paper, we test the role of news in the predictability of return volatility of digital currency
market during the COVID-19 pandemic. We use hourly data for cryptocurrencies and daily …
market during the COVID-19 pandemic. We use hourly data for cryptocurrencies and daily …
Bitcoin research across disciplines
M Holub, J Johnson - The information society, 2018 - Taylor & Francis
Over the last few years, research on Bitcoin and other cryptocurrencies has snowballed
across many disciplines: technical fields, economics, law, public policy, finance, accounting …
across many disciplines: technical fields, economics, law, public policy, finance, accounting …