Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance
Tài liệu tham khảo
Baillie, 1996, Long memory processes and fractional integration in econometrics, Journal of Econometrics, 73, 5, 10.1016/0304-4076(95)01732-1
Bariviera, 2017, Some stylized facts of the Bitcoin market, Physica A: Statistical Mechanics and its Applications, 484, 82, 10.1016/j.physa.2017.04.159
Baur, 2018, Bitcoin, gold and the US dollar – A replication and extension, Finance Research Letters, 25, 103, 10.1016/j.frl.2017.10.012
Baur, 2010, Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold, Financial Review, 45, 217, 10.1111/j.1540-6288.2010.00244.x
Baur, 2010, Is gold a safe haven? International evidence, Journal of Banking & Finance, 34, 1886, 10.1016/j.jbankfin.2009.12.008
Baur, 2016, Why is gold a safe haven?, Journal of Behavioral and Experimental Finance, 10, 63, 10.1016/j.jbef.2016.03.002
Black, 1976, Studies of stock price volatility changes, 177
Blau, 2017, Price dynamics and speculative trading in bitcoin, Research in International Business and Finance, 41, 493, 10.1016/j.ribaf.2017.05.010
Bollerslev, 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307, 10.1016/0304-4076(86)90063-1
Bollerslev, 1988, A capital asset pricing model with time-varying covariances, Journal of Political Economy, 96, 116, 10.1086/261527
Bollerslev, 1996, Modeling and pricing long memory in stock market volatility, Journal of Econometrics, 73, 151, 10.1016/0304-4076(95)01736-4
Bouri, 2017, Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions, Finance Research Letters, 23, 87, 10.1016/j.frl.2017.02.009
Bouri, 2017, On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?, Finance Research Letters, 20, 192, 10.1016/j.frl.2016.09.025
Brandvold, 2015, Price discovery on Bitcoin exchanges, Journal of International Financial Markets, Institutions and Money, 36, 18, 10.1016/j.intfin.2015.02.010
Campbell, 1992, No news is good news. An asymmetric model of changing volatility in stock returns, Journal of Financial Economics, 31, 281, 10.1016/0304-405X(92)90037-X
Capie, 2005, Gold as a hedge against the dollar, Journal of International Financial Markets, Institutions and Money, 15, 343, 10.1016/j.intfin.2004.07.002
Catania, 2017
Cheah, 2015, Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin, Economics Letters, 130, 32, 10.1016/j.econlet.2015.02.029
Cheung, 2015, Crypto-currency bubbles: An application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices, Applied Economics, 47, 2348, 10.1080/00036846.2015.1005827
Chkili, 2014, Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory, Energy Economics, 41, 1, 10.1016/j.eneco.2013.10.011
Christie, 1982, The stochastic behavior of common stock variances. Value, leverage and interest rate effects, Journal of Financial Economics, 10, 407, 10.1016/0304-405X(82)90018-6
Chu, 2017, GARCH modelling of cryptocurrencies, Journal of Risk and Financial Management, 10, 17, 10.3390/jrfm10040017
2015
Ciaian, 2017, Virtual relationships: Short- and long-run evidence from bitcoin and altcoin markets, Journal of International Financial Markets, Institutions and Money, 6, 467
Conrad, 2018, Long- and short-term cryptocurrency volatility components: A GARCH-MIDAS analysis, Journal of Risk and Financial Management, 11, 1, 10.3390/jrfm11020023
Corbet, 2018, Exploring the dynamic relationships between cryptocurrencies and other financial assets, Economics Letters, 165, 28, 10.1016/j.econlet.2018.01.004
Davidson, 2004, Moment and memory properties of linear conditional heteroscedasticity models, and a new model, Journal of Business & Economic Statistics, 22, 16, 10.1198/073500103288619359
Demir, 2018, Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation, Finance Research Letters, 10.1016/j.frl.2018.01.005
Ding, 1993, A long memory property of stock market returns and a new model, Journal of Empirical Finance, 1, 83, 10.1016/0927-5398(93)90006-D
Dwyer, 2015, The economics of Bitcoin and similar private digital currencies, Journal of Financial Stability, 17, 81, 10.1016/j.jfs.2014.11.006
Dyhrberg, 2016, Bitcoin, gold and the dollar – A GARCH volatility analysis, Finance Research Letters, 16, 85, 10.1016/j.frl.2015.10.008
Elendner, 2018, The cross-section of crypto-currencies as financial assets, Volume 1, Vol.649, 145
Engle, 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987, 10.2307/1912773
Engle, 2002, Dynamic conditional correlation, A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models, 20, 339
Engle, 1995, Multivariate simultaneous generalized arch, Econometric Theory, 11, 122, 10.1017/S0266466600009063
Engle, 1993, Measuring and testing the impact of news on volatility, The Journal of Finance, 48, 1749, 10.1111/j.1540-6261.1993.tb05127.x
Guesmi, 2018, Portfolio diversification with virtual currency: Evidence from bitcoin, International Review of Financial Analysis, 10.1016/j.irfa.2018.03.004
Hammoudeh, 2010, Precious metals-exchange rate volatility transmissions and hedging strategies, International Review of Economics & Finance, 19, 633, 10.1016/j.iref.2010.02.003
Härdle, 2018, Understanding Cryptocurrencies, Journal of Financial Economics
Katsiampa, 2017, Volatility estimation for Bitcoin: A comparison of GARCH models, Economics Letters, 158, 3, 10.1016/j.econlet.2017.06.023
Klein, 2017, Fast fractional differencing in modeling long memory of conditional variance for high-frequency data, Finance Research Letters, 22C, 274, 10.1016/j.frl.2016.12.020
Klein, 2017, Dynamic correlation of precious metals and flight-to-quality in developed markets, Finance Research Letters, 23, 283, 10.1016/j.frl.2017.05.002
Kruse, 2018, Bias-corrected estimation for speculative bubbles in stock prices, Economic Modelling, 1
Nakamoto, 2008
Savitzky, 1964, Smoothing and differentiation of data by simplified least squares procedures., Analytical Chemistry, 36, 1627, 10.1021/ac60214a047
Trimborn, 2017
Tse, 1998, The conditional heteroscedasticity of the yen-dollar exchange rate, Journal of Applied Econometrics, 13, 49, 10.1002/(SICI)1099-1255(199801/02)13:1<49::AID-JAE459>3.0.CO;2-O
Walther, 2017, True or spurious long memory in European non-EMU currencies, Research in International Business and Finance, 40C, 217, 10.1016/j.ribaf.2017.01.003
Zakoian, 1994, Threshold heteroskedastic models, Journal of Economic Dynamics and Control, 18, 931, 10.1016/0165-1889(94)90039-6