Volatility cascades in cryptocurrency trading
Tài liệu tham khảo
Adcock, 2019, Non-fundamental, non-parametric Bitcoin forecasting, Physica A, 531, 10.1016/j.physa.2019.121727
Auer, 2018, Regulating cryptocurrencies: Assessing market reactions, BIS Q. Rev., September 2018, 51
Bouri, 2019, Trading volume and the predictability of return and volatility in the cryptocurrency market, Finance Res. Lett., 29, 340, 10.1016/j.frl.2018.08.015
Briere, 2015, Virtual currency, tangible return: Portfolio diversification with Bitcoin, J. Asset Manag., 16, 365, 10.1057/jam.2015.5
Brownlees, 2006, Financial econometric analysis at ultra-high frequency: Data handling concerns, Comput. Statist. Data Anal., 51, 2232, 10.1016/j.csda.2006.09.030
Calvet, 2002, Multifractality in asset returns: Theory and evidence, Rev. Econ. Stat., 84, 381, 10.1162/003465302320259420
Celeste, 2020, Fractal dynamics and wavelet analysis: Deep volatility and return properties of Bitcoin, Ethereum and Ripple, Q. Rev. Econom. Finance, 76, 310, 10.1016/j.qref.2019.09.011
Charfeddine, 2020, Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors, Econ. Model., 85, 198, 10.1016/j.econmod.2019.05.016
Crouse, 1998, Wavelet-based statistical signal processing using hidden Markov models, IEEE Trans. Signal Process., 46, 886, 10.1109/78.668544
Easley, 2019, From mining to markets: The evolution of Bitcoin transaction fees, J. Financ. Econ., 134, 91, 10.1016/j.jfineco.2019.03.004
Gençay, 2010, Asymmetry of information flow between volatilities across time scales, Quant. Finance, 10, 895, 10.1080/14697680903460143
Hu, 2019, Cryptocurrencies: Stylized facts on a new investible instrument, Financ. Manage., 48, 1049, 10.1111/fima.12300
Kristoufek, 2015, What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis, PLoS One, 10, 10.1371/journal.pone.0123923
Liu, 2020, Common risk factors in the returns on cryptocurrencies, Econ. Model., 86, 299, 10.1016/j.econmod.2019.09.035
Makarov, 2020, Trading and arbitrage in cryptocurrency markets, J. Financ. Econ., 135, 293, 10.1016/j.jfineco.2019.07.001
Mandelbrot, 1997
Scaillet, 2020, High-frequency jump analysis of the Bitcoin market, J. Financ. Econometrics, 18, 209