Roles of stable versus nonstable cryptocurrencies in Bitcoin market dynamics
Tài liệu tham khảo
Baumöhl, E., Vyrost, T., 2020. Stable coins as a crypto safe haven? Not all of them! ZBW – Leibniz Information Centre for Economics, Kiel, Hamburg.
Beneki, 2019, Investigating volatility transmission and hedging properties between Bitcoin and Ethereum, Res. Int. Bus. Financ., 48, 219, 10.1016/j.ribaf.2019.01.001
Bouri, 2019, Trading volume and the predictability of return and volatility in the cryptocurrency market, Financ. Res. Lett., 29, 340, 10.1016/j.frl.2018.08.015
Caporale, 2021, Cyber-attacks, spillovers and contagion in the cryptocurrency markets, J. Int. Financ. Mark. Inst. Money, 10.1016/j.intfin.2021.101298
Celeste, 2020, Fractal dynamics and wavelet analysis: deep volatility and return properties of Bitcoin, Ethereum and Ripple, Q. Rev. Econ. Financ., 76, 310, 10.1016/j.qref.2019.09.011
Ciaian, 2018, Virtual relationships: short-and long-run evidence from bitcoin and altcoin markets, J. Int. Financ. Mark. Inst. Money, 52, 173, 10.1016/j.intfin.2017.11.001
Corbet, 2018, Exploring the dynamic relationships between cryptocurrencies and other financial assets, Econ. Lett., 165, 28, 10.1016/j.econlet.2018.01.004
Corbet, 2018, The volatility generating effects of macroeconomic news on cryptocurrency returns. Working Paper, SSRN, 10.2139/ssrn.3141986
Corbet, 2018, Date stamping the Bitcoin and Ethereum bubbles, Financ. Res. Lett., 26, 81, 10.1016/j.frl.2017.12.006
Fry, 2016, Negative bubbles and shocks in cryptocurrency markets, Int. Rev. Financ. Anal., 47, 10.1016/j.irfa.2016.02.008
Hui-Pei, 2019, The Relationship between the Economic Policy Uncertainty and the Cryptocurrency Market, Financ. Res. Lett., 40
Ji, 2019, Dynamic connectedness and integration in cryptocurrency markets, Int. Rev. Financ. Anal., 63, 257, 10.1016/j.irfa.2018.12.002
Katsiampa, 2019, Volatility co-movement between Bitcoin and Ether, Financ. Res. Lett., 30, 221, 10.1016/j.frl.2018.10.005
Katsiampa, 2019, High frequency volatility co-movements in cryptocurrency markets, J. Int. Financ. Mark. Inst. Money, 62, 35, 10.1016/j.intfin.2019.05.003
Katsiampa, 2019, Volatility spillover effects in leading cryptocurrencies: a BEKK-MGARCH analysis, Financ. Res. Lett., 29, 68, 10.1016/j.frl.2019.03.009
Koutmos, 2018, Return and volatility spillovers among cryptocurrencies, Econ. Lett., 173, 122, 10.1016/j.econlet.2018.10.004
Kroner, 1998, Modelling asymmetric movements of asset prices, Rev. Financ. Study, 11, 844, 10.1093/rfs/11.4.817
Kroner, 1993, Time-varying distributions and dynamic hedging with foreign currency futures, J. Financ. Quant. Ann., 28, 535, 10.2307/2331164
Ling, 2003, Asymptotic theory for a vector ARMA–GARCH model, Econ. Theory, 19, 280, 10.1017/S0266466603192092
Mensi, 2019, Time frequency analysis of the commonalities between Bitcoin and major cryptocurrencies: Portfolio risk management implications, North Am. J. Econ. Financ., 48, 283, 10.1016/j.najef.2019.02.013
Mensi, 2020, Dynamic volatility transmission and portfolio management across major cryptocurrencies: evidence from hourly data, North Am. J. Econ. Financ., 54, 10.1016/j.najef.2020.101285
Nguyen, 2019, Bitcoin return: Impacts from the introduction of new altcoins, Res. Int. Bus. Financ., 48, 420, 10.1016/j.ribaf.2019.02.001
Salisu, 2015, Modeling oil price–US stock nexus: a VARMA–BEKK–AGARCH approach, Energy Econ., 50, 1, 10.1016/j.eneco.2015.03.031
Sifat, 2019, Lead-Lag relationship between Bitcoin and Ethereum: evidence from hourly and daily data, Res. Int. Bus. Financ., 50, 306, 10.1016/j.ribaf.2019.06.012
Wang, 2020, Are stable coins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?, Res. Int. Bus. Financ., 54, 10.1016/j.ribaf.2020.101225
Wang, 2021, The asymmetric contagion effect between stock market and cryptocurrency market. finance research letters, J. Pre proof, 40
Xu, 2021, Tail-risk spillovers in cryptocurrency markets, Financ. Res. Lett., 38, 10.1016/j.frl.2020.101453