A time–frequency comovement and causality relationship between Bitcoin hashrate and energy commodity markets
Tài liệu tham khảo
Aguiar-Conraria, 2014, The continuous wavelet transform: Moving beyond uni-and bivariate analysis, Journal of Economic Surveys, 28, 344, 10.1111/joes.12012
Al-Yahyaee, 2019, Can uncertainty indices predict Bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches, The North American Journal of Economics and Finance, 49, 47, 10.1016/j.najef.2019.03.019
Aune, 2017, Footprints on a blockchain: Trading and information leakage in distributed ledgers, The Journal of Trading, 12, 5, 10.3905/jot.2017.12.3.005
Balcilar, 2016, The role of news-based uncertainty indices in predicting oil markets: A hybrid nonparametric quantile causality method, Empirical Economics, 53, 879, 10.1007/s00181-016-1150-0
Baruník, 2016, Gold, oil, and stocks: Dynamic correlations, International Review of Economics & Finance, 42, 186, 10.1016/j.iref.2015.08.006
Baur, 2017, Bitcoin, gold and the US dollar–A replication and extension, Finance Research Letters, 25, 103, 10.1016/j.frl.2017.10.012
Bekiros, 2016, Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis, Finance Research Letters, 18, 291, 10.1016/j.frl.2016.01.012
Bekiros, 2015, Oil price forecastability and economic uncertainty, Economics Letters, 132, 125, 10.1016/j.econlet.2015.04.023
Bouri, 2017, Bitcoin for energy commodities before and after the December 2013 crash: Diversifier, hedge or safe haven?, Applied Economics, 49, 1, 10.1080/00036846.2017.1299102
Chakrabarty, 2015, Investment horizon heterogeneity and wavelet: Overview and further research directions, Physica A, 429, 45, 10.1016/j.physa.2014.10.097
Delgado-Mohatar, 2019, The Bitcoin mining breakdown: Is mining still profitable?, Economics Letters, 184, 108492, 10.1016/j.econlet.2019.05.044
Dyhrberg, 2016, Bitcoin, gold and the dollar–A GARCH volatility analysis, Finance Research Letters, 16, 85, 10.1016/j.frl.2015.10.008
Easley, 2019, From mining to markets: The evolution of Bitcoin transaction fees, Journal of Financial Economics, 134, 91, 10.1016/j.jfineco.2019.03.004
Gallegati, 2010, A wavelet-based approach to test for financial market contagion, Computational Statistics & Data Analysis, 56, 3491, 10.1016/j.csda.2010.11.003
Gandal, 2016, Can we predict the winner in a market with network effects? Competition in cryptocurrency market, Games, 7, 1, 10.3390/g7030016
Garcia, 2014, The digital traces of bubbles: Feedback cycles between socio-economic signals in the Bitcoin economy, Journal of the Royal Society Interface, 11, 1, 10.1098/rsif.2014.0623
Gençay, 2002, Real-time trading models and the statistical properties of foreign exchange rates, International Economic Review, 43, 463, 10.1111/1468-2354.t01-2-00023
Gençay, 2001
Grinsted, 2004, Application of the cross wavelet transform and wavelet coherence to geophysical time series, Nonlinear Processes in Geophysics, 11, 561, 10.5194/npg-11-561-2004
Hileman
Jeong, 2012, A consistent nonparametric test for causality in quantile, Econometric Theory, 28, 861, 10.1017/S0266466611000685
Mensi, 2020, Time-frequency co-movements between oil prices and interest rates: Evidence from a wavelet-based approach, The North American Journal of Economics and Finance, 51, 100836, 10.1016/j.najef.2018.08.019
Mensi, 2019, Time frequency analysis of the commonalities between Bitcoin and major cryptocurrencies: Portfolio risk management implications, The North American Journal of Economics and Finance, 48, 283, 10.1016/j.najef.2019.02.013
Mensi, 2020, Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach, Research in International Business and Finance, 53, 101230, 10.1016/j.ribaf.2020.101230
Mihanović, 2009, Diurnal thermocline oscillation driven by tidal flows around an island in the Middle Adriatic, Journal of Maritime System, 78, 157, 10.1016/j.jmarsys.2009.01.021
Nishiyama, 2011, A consistent nonparametric test for nonlinear causality–specification in time series regression, Journal of Econometrics, 165, 112, 10.1016/j.jeconom.2011.05.010
Rehman, 2019, Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests, Resources Policy, 61, 603, 10.1016/j.resourpol.2018.08.015
Rehman, 2020, Do Islamic indices provide diversification to bitcoin? A time-varying copulas and value at risk application, Pacific-Basin Finance Journal, 61, 101326, 10.1016/j.pacfin.2020.101326
Rehman, 2020, Cryptocurrencies and precious metals: A closer look from diversification perspective, Resources Policy, 66, 101652, 10.1016/j.resourpol.2020.101652
Rua, 2009, International comovement of stock market returns: A wavelet analysis, Journal of Empirical Finance, 16, 632, 10.1016/j.jempfin.2009.02.002
Samles, 2019, Bitcoin as a safe haven: Is it even worth considering?, Finance Research Letters, 30, 385, 10.1016/j.frl.2018.11.002
Shahzad, 2019, Is Bitcoin a better safe-haven investment than gold and commodities?, International Review of Financial Analysis, 63, 322, 10.1016/j.irfa.2019.01.002
Torrence, 1998, A practical guide to wavelet analysis, Bulletin of the American Meteorological Society, 79, 61, 10.1175/1520-0477(1998)079<0061:APGTWA>2.0.CO;2
Torrence, 1999, Interdecadal changes in the ENSO–monsoon system, Journal of Climate, 12, 2679, 10.1175/1520-0442(1999)012<2679:ICITEM>2.0.CO;2
