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Conditional tail-risk in cryptocurrency markets

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Cited by:

  1. Nguyen, Linh Hoang & Chevapatrakul, Thanaset & Yao, Kai, 2020. "Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 333-355.
  2. Klaus Grobys, 2021. "When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1267-1279, August.
  3. De Pace, Pierangelo & Rao, Jayant, 2023. "Comovement and instability in cryptocurrency markets," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 173-200.
  4. Odusami, Babatunde O. & Akinsomi, Omokolade, 2024. "Diversifying and hedging REIT portfolios with cryptocurrencies: Evidence from global and regional REIT indices," International Review of Financial Analysis, Elsevier, vol. 94(C).
  5. Huang, Xiaoran & Lin, Juan & Wang, Peng, 2022. "Are institutional investors marching into the crypto market?," Economics Letters, Elsevier, vol. 220(C).
  6. Tim Schmitz & Ingo Hoffmann, 2020. "Re-evaluating cryptocurrencies' contribution to portfolio diversification -- A portfolio analysis with special focus on German investors," Papers 2006.06237, arXiv.org, revised Aug 2020.
  7. Duan, Kun & Li, Zeming & Urquhart, Andrew & Ye, Jinqiang, 2021. "Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
  8. Schuler, Katrin & Nadler, Matthias & Schär, Fabian, 2023. "Contagion and loss redistribution in crypto asset markets," Economics Letters, Elsevier, vol. 231(C).
  9. Fousekis, Panos & Grigoriadis, Vasilis, 2022. "Conditional tail price risk spillovers in coffee markets across quality, physical space, and time: Empirical analysis with penalized quantile regressions," Economic Modelling, Elsevier, vol. 106(C).
  10. V. Sasidevan & Nils Bertschinger, 2019. "Systemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches," Papers 1912.05273, arXiv.org.
  11. Duan, Kun & Zhang, Liya & Urquhart, Andrew & Yao, Kai & Peng, Long, 2024. "Do clean and dirty cryptocurrencies connect financial assets differently? The perspective of market inefficiency," Research in International Business and Finance, Elsevier, vol. 70(PB).
  12. Bondatti, Massimiliano & Rillo, Giovanni, 2022. "Commodity tail-risk and exchange rates," Finance Research Letters, Elsevier, vol. 47(PA).
  13. Cole, Benjamin M. & Dyhrberg, Anne H. & Foley, Sean & Svec, Jiri, 2022. "Can Bitcoin be Trusted? Quantifying the economic value of blockchain transactions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  14. Sapkota, Niranjan & Grobys, Klaus, 2021. "Asset market equilibria in cryptocurrency markets: Evidence from a study of privacy and non-privacy coins," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  15. Naeem, Muhammad Abubakr & Lucey, Brian M. & Karim, Sitara & Ghafoor, Abdul, 2022. "Do financial volatilities mitigate the risk of cryptocurrency indexes?," Finance Research Letters, Elsevier, vol. 50(C).
  16. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Olubusoye, Olusanya E., 2019. "How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 531(C).
  17. Damian Zięba, 2019. "Lévy processes on the cryptocurrency market," Working Papers 2019-15, Faculty of Economic Sciences, University of Warsaw.
  18. Fulvia Pennoni & Francesco Bartolucci & Gianfranco Forte & Ferdinando Ametrano, 2022. "Exploring the dependencies among main cryptocurrency log‐returns: A hidden Markov model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(1), February.
  19. Fakhfekh, Mohamed & Bejaoui, Azza & Bariviera, Aurelio F. & Jeribi, Ahmed, 2024. "Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times: An Archimax copula approach," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  20. Jalan, Akanksha & Matkovskyy, Roman, 2023. "Systemic risks in the cryptocurrency market: Evidence from the FTX collapse," Finance Research Letters, Elsevier, vol. 53(C).
  21. Panos Fousekis & Dimitra Tzaferi, 2022. "Tail price risk spillovers along the US beef and pork supply chains," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(2), pages 383-399, April.
  22. Mensi, Walid & El Khoury, Rim & Ali, Syed Riaz Mahmood & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Quantile dependencies and connectedness between the gold and cryptocurrency markets: Effects of the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 65(C).
  23. Hasan, Mudassar & Naeem, Muhammad Abubakr & Arif, Muhammad & Yarovaya, Larisa, 2021. "Higher moment connectedness in cryptocurrency market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
  24. Zhengyang Bao & Andreas Leibbrandt & ple391, 2019. "Thar she resurges: The case of assets that lack positive fundamental value," Monash Economics Working Papers 12-19, Monash University, Department of Economics.
  25. Smales, L.A., 2022. "Investor attention in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 79(C).
  26. Bampinas, Georgios & Panagiotidis, Theodore, 2024. "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," Research in International Business and Finance, Elsevier, vol. 70(PA).
  27. Jalal Etesami & Ali Habibnia & Negar Kiyavash, 2023. "Modeling Systemic Risk: A Time-Varying Nonparametric Causal Inference Framework," Papers 2312.16707, arXiv.org.
  28. Grobys, Klaus & Junttila, Juha, 2021. "Speculation and lottery-like demand in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
  29. Neto, David, 2022. "Examining interconnectedness between media attention and cryptocurrency markets: A transfer entropy story," Economics Letters, Elsevier, vol. 214(C).
  30. Bonaccolto, Giovanni & Caporin, Massimiliano & Maillet, Bertrand B., 2022. "Dynamic large financial networks via conditional expected shortfalls," European Journal of Operational Research, Elsevier, vol. 298(1), pages 322-336.
  31. Şoiman, Florentina & Dumas, Jean-Guillaume & Jimenez-Garces, Sonia, 2023. "What drives DeFi market returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  32. Grobys, Klaus, 2023. "A Fractal and Comparative View of the Memory of Bitcoin and S&P 500 Returns," Research in International Business and Finance, Elsevier, vol. 66(C).
  33. Chen, Bin-xia & Sun, Yan-lin, 2024. "Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
  34. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
  35. Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: investigating the crypto-market," Quantitative Finance, Taylor & Francis Journals, vol. 22(9), pages 1731-1745, September.
  36. Ali, Fahad & Khurram, Muhammad Usman & Sensoy, Ahmet & Vo, Xuan Vinh, 2024. "Green cryptocurrencies and portfolio diversification in the era of greener paths," Renewable and Sustainable Energy Reviews, Elsevier, vol. 191(C).
  37. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
  38. Mercik, Aleksander & Słoński, Tomasz & Karaś, Marta, 2024. "Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies," International Review of Financial Analysis, Elsevier, vol. 92(C).
  39. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Market uncertainty and correlation between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 50(C).
  40. He Siyun & Ibragimov Rustam, 2022. "Predictability of cryptocurrency returns: evidence from robust tests," Dependence Modeling, De Gruyter, vol. 10(1), pages 191-206, January.
  41. Zhang, Xu & Naeem, Muhammad Abubakr & Du, Yuting & Rauf, Abdul, 2024. "Examining the bidirectional ripple effects in the NFT markets: Risky center or hedging center?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
  42. George Tzagkarakis & Frantz Maurer, 2023. "Horizon-Adaptive Extreme Risk Quantification for Cryptocurrency Assets," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1251-1286, October.
  43. Mei-jun, Ling & Guang-xi, Cao, 2024. "Dynamics of asymmetric multifractal cross-correlations between cryptocurrencies and global stock markets: Role of gold and portfolio implications," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
  44. Cao, Guangxi & Xie, Wenhao, 2021. "The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  45. Zhao, Yingxiu & Goodell, John W. & Shen, Dehua, 2024. "Spillover effects according to classification of cryptocurrency," Finance Research Letters, Elsevier, vol. 65(C).
  46. Pham, Linh & Nguyen, Canh Phuc, 2021. "Asymmetric tail dependence between green bonds and other asset classes," Global Finance Journal, Elsevier, vol. 50(C).
  47. Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020. "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
  48. Xu, Qiuhua & Zhang, Yixuan & Zhang, Ziyang, 2021. "Tail-risk spillovers in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
  49. Dai, Yun-Shi & Dai, Peng-Fei & Zhou, Wei-Xing, 2023. "Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  50. Fakhfekh, Mohamed & Jeribi, Ahmed, 2020. "Volatility dynamics of crypto-currencies’ returns: Evidence from asymmetric and long memory GARCH models," Research in International Business and Finance, Elsevier, vol. 51(C).
  51. Caferra, Rocco & Morone, Andrea & Potì, Valerio, 2022. "Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour," Economics Letters, Elsevier, vol. 218(C).
  52. Ouandlous, Arav & Barkoulas, John T. & Pantos, Themis D., 2022. "Extremity in bitcoin market activity," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
  53. Fernando E. Alvarez & David Argente & Diana Van Patten, 2022. "Are Cryptocurrencies Currencies? Bitcoin as Legal Tender in El Salvador," NBER Working Papers 29968, National Bureau of Economic Research, Inc.
  54. Dobrynskaya, Victoria, 2024. "Is downside risk priced in cryptocurrency market?," International Review of Financial Analysis, Elsevier, vol. 91(C).
  55. Leong, Minhao & Kwok, Simon, 2023. "The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns," Journal of Empirical Finance, Elsevier, vol. 74(C).
  56. Arief Hakim & Khreshna Syuhada, 2023. "Formulating MCoVaR to Quantify Joint Transmissions of Systemic Risk across Crypto and Non-Crypto Markets: A Multivariate Copula Approach," Risks, MDPI, vol. 11(2), pages 1-45, February.
  57. Osman, Myriam Ben & Galariotis, Emilios & Guesmi, Khaled & Hamdi, Haykel & Naoui, Kamel, 2023. "Diversification in financial and crypto markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
  58. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022. "Semi-nonparametric risk assessment with cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
  59. Donglian Ma & Pengxiang Zhai, 2021. "The Accuracy of the Tick Rule in the Bitcoin Market," SAGE Open, , vol. 11(2), pages 21582440211, May.
  60. Yuzhi Cai & Thanaset Chevapatrakul & Danilo V. Mascia, 2021. "How is price explosivity triggered in the cryptocurrency markets?," Annals of Operations Research, Springer, vol. 307(1), pages 37-51, December.
  61. Lahmiri, Salim & Bekiros, Stelios, 2020. "Intelligent forecasting with machine learning trading systems in chaotic intraday Bitcoin market," Chaos, Solitons & Fractals, Elsevier, vol. 133(C).
  62. Georgiana-Iulia Lazea & Ovidiu-Constantin Bunget & Cristian Lungu, 2024. "Cryptocurrencies’ Impact on Accounting: Bibliometric Review," Risks, MDPI, vol. 12(6), pages 1-39, June.
  63. Li, Leon & Miu, Peter, 2023. "Are cryptocurrencies a safe haven for stock investors? A regime-switching approach," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 367-385.
  64. Bojaj, Martin M. & Muhadinovic, Milica & Bracanovic, Andrej & Mihailovic, Andrej & Radulovic, Mladen & Jolicic, Ivan & Milosevic, Igor & Milacic, Veselin, 2022. "Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach," Economic Modelling, Elsevier, vol. 109(C).
  65. Qiu, Yue & Wang, Zongrun & Xie, Tian & Zhang, Xinyu, 2021. "Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 179-201.
  66. Yang, Boyu & Sun, Yuying & Wang, Shouyang, 2020. "A novel two-stage approach for cryptocurrency analysis," International Review of Financial Analysis, Elsevier, vol. 72(C).
  67. Yukun Liu & Aleh Tsyvinski & Xi Wu, 2019. "Common Risk Factors in Cryptocurrency," NBER Working Papers 25882, National Bureau of Economic Research, Inc.
  68. Angerer, Martin & Hoffmann, Christian Hugo & Neitzert, Florian & Kraus, Sascha, 2021. "Objective and subjective risks of investing into cryptocurrencies," Finance Research Letters, Elsevier, vol. 40(C).
  69. Abdollah Ah Mand, 2025. "Cryptocurrency returns and cryptocurrency uncertainty: a time–frequency analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-29, December.
  70. Adam Baybutt, 2024. "Empirical Crypto Asset Pricing," Papers 2405.15716, arXiv.org.
  71. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2021. "Cyber-attacks, spillovers and contagion in the cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  72. Roy, Preeti & Ahmad, Wasim & Sadorsky, Perry & Phani, B.V., 2022. "What do we know about the idiosyncratic risk of clean energy equities?," Energy Economics, Elsevier, vol. 112(C).
  73. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Wanas Al-Jarrah, Idries Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? A portfolio risk analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 96-113.
  74. Sonia Arsi & Soumaya Ben Khelifa & Yosra Ghabri & Hela Mzoughi, 2021. "Cryptocurrencies: Key Risks and Challenges," World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi & Samir Saadi (ed.), Cryptofinance A New Currency for a New Economy, chapter 7, pages 121-145, World Scientific Publishing Co. Pte. Ltd..
  75. Sakkas, Athanasios & Urquhart, Andrew, 2024. "Blockchain factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
  76. Namryoung Lee, 2023. "The Relationship between a Company’s Cryptocurrency Holdings and Its Sustainable Performance—With a Focus on External and Internal Financial Issues and Cash," Sustainability, MDPI, vol. 15(23), pages 1-15, November.
  77. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  78. Ahmed, Mohamed Shaker & El-Masry, Ahmed A. & Al-Maghyereh, Aktham I. & Kumar, Satish, 2024. "Cryptocurrency volatility: A review, synthesis, and research agenda," Research in International Business and Finance, Elsevier, vol. 71(C).
  79. Fieberg, Christian & Liedtke, Gerrit & Zaremba, Adam, 2024. "Cryptocurrency anomalies and economic constraints," International Review of Financial Analysis, Elsevier, vol. 94(C).
  80. Fieberg, Christian & Günther, Steffen & Poddig, Thorsten & Zaremba, Adam, 2024. "Non-standard errors in the cryptocurrency world," International Review of Financial Analysis, Elsevier, vol. 92(C).
  81. Kalyvas, Antonios & Papakyriakou, Panayiotis & Sakkas, Athanasios & Urquhart, Andrew, 2020. "What drives Bitcoin’s price crash risk?," Economics Letters, Elsevier, vol. 191(C).
  82. Pascal Bruhn & Dietmar Ernst, 2022. "Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach," JRFM, MDPI, vol. 15(8), pages 1-28, August.
  83. Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021. "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 483-499.
  84. Moreno, David & Antoli, Marcos & Quintana, David, 2022. "Benefits of investing in cryptocurrencies when liquidity is a factor," Research in International Business and Finance, Elsevier, vol. 63(C).
  85. Jinxin Cui & Aktham Maghyereh, 2022. "Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
  86. Scharnowski, Matthias & Scharnowski, Stefan & Zimmermann, Lukas, 2023. "Fan tokens: Sports and speculation on the blockchain," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
  87. Fahad Mostafa & Pritam Saha & Mohammad Rafiqul Islam & Nguyet Nguyen, 2021. "GJR-GARCH Volatility Modeling under NIG and ANN for Predicting Top Cryptocurrencies," JRFM, MDPI, vol. 14(9), pages 1-22, September.
  88. Walid Mensi & Mariya Gubareva & Hee-Un Ko & Xuan Vinh Vo & Sang Hoon Kang, 2023. "Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
  89. Davidovic, Milivoje, 2021. "From pandemic to financial contagion: High-frequency risk metrics and Bayesian volatility analysis," Finance Research Letters, Elsevier, vol. 42(C).
  90. Luo, Di & Mishra, Tapas & Yarovaya, Larisa & Zhang, Zhuang, 2021. "Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  91. Li, Yi & Urquhart, Andrew & Wang, Pengfei & Zhang, Wei, 2021. "MAX momentum in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 77(C).
  92. Borri, Nicola & Shakhnov, Kirill, 2020. "Regulation spillovers across cryptocurrency markets," Finance Research Letters, Elsevier, vol. 36(C).
  93. Esparcia, Carlos & Díaz, Antonio, 2024. "The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study," Research in International Business and Finance, Elsevier, vol. 71(C).
  94. Yulin Liu & Luyao Zhang, 2022. "Cryptocurrency Valuation: An Explainable AI Approach," Papers 2201.12893, arXiv.org, revised Jul 2023.
  95. Danial Saef & Odett Nagy & Sergej Sizov & Wolfgang Karl Härdle, 2024. "Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data," Digital Finance, Springer, vol. 6(4), pages 605-638, December.
  96. Maghyereh, Aktham & Abdoh, Hussein, 2021. "Time–frequency quantile dependence between Bitcoin and global equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  97. Ahmed, Shaker & Grobys, Klaus & Sapkota, Niranjan, 2020. "Profitability of technical trading rules among cryptocurrencies with privacy function," Finance Research Letters, Elsevier, vol. 35(C).
  98. Gambarelli, Luca & Marchi, Gianluca & Muzzioli, Silvia, 2023. "Hedging effectiveness of cryptocurrencies in the European stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  99. A. Can Inci & Rachel Lagasse, 2019. "Cryptocurrencies: applications and investment opportunities," Journal of Capital Markets Studies, Emerald Group Publishing Limited, vol. 3(2), pages 98-112, October.
  100. Algieri, Bernardina & Lawuobahsumo, Kokulo & Leccadito, Arturo, 2024. "Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets," LIDAM Discussion Papers LFIN 2024001, Université catholique de Louvain, Louvain Finance (LFIN).
  101. Borgards, Oliver & Czudaj, Robert L., 2020. "The prevalence of price overreactions in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
  102. Costantini, Mauro & Maaitah, Ahmad & Mishra, Tapas & Sousa, Ricardo M., 2023. "Bitcoin market networks and cyberattacks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
  103. Charfeddine, Lanouar & Benlagha, Noureddine & Khediri, Karim Ben, 2022. "An intra-cryptocurrency analysis of volatility connectedness and its determinants: Evidence from mining coins, non-mining coins and tokens," Research in International Business and Finance, Elsevier, vol. 62(C).
  104. Griffin Msefula & Tony Chieh-Tse Hou & Tina Lemesi, 2024. "Financial and market risks of bitcoin adoption as legal tender: evidence from El Salvador," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-15, December.
  105. Gradojevic, Nikola & Tsiakas, Ilias, 2021. "Volatility cascades in cryptocurrency trading," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 252-265.
  106. Bei, Zeyun & Lin, Juan & Zhou, Yinggang, 2024. "No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic," Journal of International Money and Finance, Elsevier, vol. 143(C).
  107. Ko, Hyungjin & Son, Bumho & Lee, Jaewook, 2024. "Portfolio insurance strategy in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 67(PA).
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  109. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors?," Research in International Business and Finance, Elsevier, vol. 64(C).
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  111. Ma, Yechi & Ahmad, Ferhana & Liu, Miao & Wang, Zilong, 2020. "Portfolio optimization in the era of digital financialization using cryptocurrencies," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
  112. Joubert, Thomas H.A., 2024. "Unraveling Bitcoin price unpredictability: The role of hard forks," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  113. López-Martín, Carmen & Arguedas-Sanz, Raquel & Muela, Sonia Benito, 2022. "A cryptocurrency empirical study focused on evaluating their distribution functions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 387-407.
  114. Marten Risius & Christoph F. Breidbach & Mathieu Chanson & Ruben Krannichfeldt & Felix Wortmann, 2023. "On the performance of blockchain-based token offerings," Electronic Markets, Springer;IIM University of St. Gallen, vol. 33(1), pages 1-19, December.
  115. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  116. Ji Ho Kwon, 2021. "On the factors of Bitcoin’s value at risk," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
  117. Fousekis, Panos, 2022. "Price risk connectedness in the principal olive oil markets of the EU," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
  118. Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Raheem, Ibrahim D., 2020. "Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches," Energy Economics, Elsevier, vol. 86(C).
  119. Aslanidis, Nektarios & Fernández Bariviera, Aurelio & Savva, Christos S., 2020. "Weekly dynamic conditional correlations among cryptocurrencies and traditional assets," Working Papers 2072/417680, Universitat Rovira i Virgili, Department of Economics.
  120. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2020. "Do Cryptocurrency Prices Camouflage Latent Economic Effects? A Bayesian Hidden Markov Approach," Future Internet, MDPI, vol. 12(3), pages 1-19, March.
  121. Rehman, Mobeen Ur & Katsiampa, Paraskevi & Zeitun, Rami & Vo, Xuan Vinh, 2023. "Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies," Emerging Markets Review, Elsevier, vol. 55(C).
  122. Cheng, Hui-Pei & Yen, Kuang-Chieh, 2020. "The relationship between the economic policy uncertainty and the cryptocurrency market," Finance Research Letters, Elsevier, vol. 35(C).
  123. Anwer, Zaheer & Farid, Saqib & Khan, Ashraf & Benlagha, Noureddine, 2023. "Cryptocurrencies versus environmentally sustainable assets: Does a perfect hedge exist?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 418-431.
  124. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  125. Zhang, Wei & Li, Yi & Xiong, Xiong & Wang, Pengfei, 2021. "Downside risk and the cross-section of cryptocurrency returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
  126. Pho, Kim Hung & Ly, Sel & Lu, Richard & Hoang, Thi Hong Van & Wong, Wing-Keung, 2021. "Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China," International Review of Financial Analysis, Elsevier, vol. 74(C).
  127. Liu, Bing-Yue & Fan, Ying & Ji, Qiang & Hussain, Nazim, 2022. "High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system," Energy Economics, Elsevier, vol. 105(C).
  128. Wang, Yifu & Lu, Wanbo & Lin, Min-Bin & Ren, Rui & Härdle, Wolfgang Karl, 2024. "Cross-exchange crypto risk: A high-frequency dynamic network perspective," International Review of Financial Analysis, Elsevier, vol. 94(C).
  129. Naeem, Muhammad Abubakr & Gul, Raazia & Shafiullah, Muhammad & Karim, Sitara & Lucey, Brian M., 2024. "Tail risk spillovers between Shanghai oil and other markets," Energy Economics, Elsevier, vol. 130(C).
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