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Bitcoin and gold price returns: A quantile regression and NARDL analysis

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  1. Villanthenkodath, Muhammed Ashiq & Mahalik, Mantu Kumar, 2021. "Does economic growth respond to electricity consumption asymmetrically in Bangladesh? The implication for environmental sustainability," Energy, Elsevier, vol. 233(C).
  2. Ghabri, Yosra & Ben Rhouma, Oussama & Gana, Marjène & Guesmi, Khaled & Benkraiem, Ramzi, 2022. "Information transmission among energy markets, cryptocurrencies, and stablecoins under pandemic conditions," International Review of Financial Analysis, Elsevier, vol. 82(C).
  3. Zhao, Yang & Zhang, Maojun & Pei, Ziting & Nan, Jiangxia, 2023. "The effects of quantitative easing on Bitcoin prices," Finance Research Letters, Elsevier, vol. 57(C).
  4. María de la O González & Francisco Jareño & Frank S. Skinner, 2020. "Nonlinear Autoregressive Distributed Lag Approach: An Application on the Connectedness between Bitcoin Returns and the Other Ten Most Relevant Cryptocurrency Returns," Mathematics, MDPI, vol. 8(5), pages 1-22, May.
  5. Long, Shaobo & Li, Jieyu & Luo, Tianyuan, 2023. "The asymmetric impact of global economic policy uncertainty on international grain prices," Journal of Commodity Markets, Elsevier, vol. 30(C).
  6. Rahman, Mohammad Mafizur & Sultana, Nahid & Velayutham, Eswaran, 2022. "Renewable energy, energy intensity and carbon reduction: Experience of large emerging economies," Renewable Energy, Elsevier, vol. 184(C), pages 252-265.
  7. Pogorelova, Polina, 2024. "Investigation of the impact of uncertainty indices on Bitcoin volatility using the ARDL model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 74, pages 35-50.
  8. Ha, Le Thanh & Nham, Nguyen Thi Hong, 2022. "An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
  9. Hoque, Mohammad Enamul & Soo-Wah, Low & Tiwari, Aviral Kumar & Akhter, Tahmina, 2023. "Time and frequency domain connectedness and spillover among categorical and regional financial stress, gold and bitcoin market," Resources Policy, Elsevier, vol. 85(PA).
  10. Chengying He & Yong Li & Tianqi Wang & Salman Ali Shah, 2024. "Is cryptocurrency a hedging tool during economic policy uncertainty? An empirical investigation," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
  11. Su, Chi-Wei & Yang, Shengjie & Qin, Meng & Lobonţ, Oana-Ramona, 2023. "Gold vs bitcoin: Who can resist panic in the U.S.?," Resources Policy, Elsevier, vol. 85(PA).
  12. Su, Chi-Wei & Qin, Meng & Tao, Ran & Shao, Xue-Feng & Albu, Lucian Liviu & Umar, Muhammad, 2020. "Can Bitcoin hedge the risks of geopolitical events?," Technological Forecasting and Social Change, Elsevier, vol. 159(C).
  13. Virginie Terraza & Aslı Boru İpek & Mohammad Mahdi Rounaghi, 2024. "The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-34, December.
  14. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Cryptocurrency network factors and gold," Finance Research Letters, Elsevier, vol. 46(PB).
  15. González, Maria de la O. & Jareño, Francisco & Skinner, Frank S., 2021. "Asymmetric interdependencies between large capital cryptocurrency and Gold returns during the COVID-19 pandemic crisis," International Review of Financial Analysis, Elsevier, vol. 76(C).
  16. Darko Vukovic & Moinak Maiti & Zoran Grubisic & Elena M. Grigorieva & Michael Frömmel, 2021. "COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave," Sustainability, MDPI, vol. 13(15), pages 1-17, July.
  17. Esparcia, Carlos & Jareño, Francisco & Umar, Zaghum, 2022. "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  18. Ma, Lujia & Zhu, Jiaji & Han, Wei, 2024. "Short-term and long-term effects of Chinese and global economic policy uncertainty and geopolitical risks on Chinese tourism," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1351-1360.
  19. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Market uncertainty and correlation between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 50(C).
  20. Mustafa Tevfik Kartal & Mustafa Kevser & Fatih Ayhan, 2023. "Asymmetric effects of global factors on return of cryptocurrencies by novel nonlinear quantile approaches," Economic Change and Restructuring, Springer, vol. 56(3), pages 1515-1535, June.
  21. Ha, Le Thanh & Bouteska, Ahmed & Mefteh-Wali, Salma & The Anh, Pham, 2023. "Fluctuations in gold prices in Vietnam during the COVID-19 pandemic: Insights from a time-varying parameter autoregression model," Resources Policy, Elsevier, vol. 86(PB).
  22. Bhuiyan, Rubaiyat Ahsan & Husain, Afzol & Zhang, Changyong, 2021. "A wavelet approach for causal relationship between bitcoin and conventional asset classes," Resources Policy, Elsevier, vol. 71(C).
  23. Yousaf, Imran & Jareño, Francisco & Tolentino, Marta, 2023. "Connectedness between Defi assets and equity markets during COVID-19: A sector analysis," Technological Forecasting and Social Change, Elsevier, vol. 187(C).
  24. Clément Landormy, 2024. "An inquiry of Bitcoin price formation: Evidence from Linear and Nonlinear ARDL Frameworks, 2017-2018," Working Papers of BETA 2024-31, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  25. Umar, Zaghum & Jareño, Francisco & González, María de la O, 2021. "The impact of COVID-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies," Technological Forecasting and Social Change, Elsevier, vol. 172(C).
  26. Ahmed Jeribi & Sangram Keshari Jena & Amine Lahiani, 2021. "Are Cryptocurrencies a Backstop for the Stock Market in a COVID-19-Led Financial Crisis? Evidence from the NARDL Approach," IJFS, MDPI, vol. 9(3), pages 1-36, June.
  27. Wang, Mei-Chih & Chang, Tsangyao & Mikhaylov, Alexey & Linyu, Jia, 2024. "A measure of quantile-on-quantile connectedness for the US treasury yield curve spread, the US Dollar, and gold price," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  28. Cong Gu & Benfu Lv & Ying Liu & Geng Peng, 2021. "The Impact of Quantitative Easing on Cryptocurrency," International Journal of Economics and Financial Issues, Econjournals, vol. 11(4), pages 27-34.
  29. Onur Gozbasi & Buket Altinoz & Eyup Ensar Sahin, 2021. "Is Bitcoin a Safe Haven? A Study on the Factors that Affect Bitcoin Prices," International Journal of Economics and Financial Issues, Econjournals, vol. 11(4), pages 35-40.
  30. 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.
  31. Assaf, Ata & Mokni, Khaled & Youssef, Manel, 2023. "COVID-19 and information flow between cryptocurrencies, and conventional financial assets," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 73-81.
  32. Aysu Ahmadova & Taghi Guliyev & Khatai Aliyev, 2024. "The Relationship between Bitcoin and Nasdaq, U.S. Dollar Index and Commodities," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 281-289, January.
  33. Moussa, Wajdi & Mgadmi, Nidhal & Béjaoui, Azza & Regaieg, Rym, 2021. "Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model," Resources Policy, Elsevier, vol. 74(C).
  34. Zhang, Dingxuan & Sun, Yuying & Duan, Hongbo & Hong, Yongmiao & Wang, Shouyang, 2023. "Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin," International Review of Financial Analysis, Elsevier, vol. 88(C).
  35. Cevik, Emrah Ismail & Gunay, Samet & Zafar, Muhammad Wasif & Destek, Mehmet Akif & Bugan, Mehmet Fatih & Tuna, Fatih, 2022. "The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold," Resources Policy, Elsevier, vol. 79(C).
  36. Nezir Köse & Hakan Yildirim & Emre Ünal & Boqiang Lin, 2024. "The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 673-695, April.
  37. Karl Oton Rudolf & Samer Ajour El Zein & Nicola Jackman Lansdowne, 2021. "Bitcoin as an Investment and Hedge Alternative. A DCC MGARCH Model Analysis," Risks, MDPI, vol. 9(9), pages 1-22, August.
  38. Li, Zijian & Meng, Qiaoyu, 2022. "Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  39. Mina Sami & Wael Abdallah, 2022. "Does Cryptocurrency Hurt African Firms?," Risks, MDPI, vol. 10(3), pages 1-17, March.
  40. Burcu Kapar & Jose Olmo, 2021. "Analysis of Bitcoin prices using market and sentiment variables," The World Economy, Wiley Blackwell, vol. 44(1), pages 45-63, January.
  41. Achraf Ghorbel & Ahmed Jeribi, 2021. "Investigating the relationship between volatilities of cryptocurrencies and other financial assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 817-843, December.
  42. Rubaiyat Ahsan Bhuiyan & Afzol Husain & Changyong Zhang, 2023. "Diversification evidence of bitcoin and gold from wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-36, December.
  43. Dias, Ishanka K. & Fernando, J.M. Ruwani & Fernando, P. Narada D., 2022. "Does investor sentiment predict bitcoin return and volatility? A quantile regression approach," International Review of Financial Analysis, Elsevier, vol. 84(C).
  44. Achraf Ghorbel & Ahmed Jeribi, 2021. "Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 449-467, September.
  45. Danilo Petti & Ivan Sergio, 2024. "Bank Crisis Boosts Bitcoin Price," JRFM, MDPI, vol. 17(4), pages 1-16, March.
  46. Francisco Jareño & María-Isabel Martínez-Serna & María Chicharro, 2023. "Government Bonds and COVID-19. An International Evaluation Under Different Market States," Evaluation Review, , vol. 47(3), pages 433-478, June.
  47. Xi, Xian & Gao, Xiangyun & Zhou, Jinsheng & Zheng, Huiling & Ding, Jiazheng & Si, Jingjian, 2021. "Uncovering the impacts of structural similarity of financial indicators on stock returns at different quantile levels," International Review of Financial Analysis, Elsevier, vol. 76(C).
  48. Ghosh, Indranil & Datta Chaudhuri, Tamal & Alfaro-Cortés, Esteban & Gámez Martínez, Matías & García Rubio, Noelia, 2021. "Estimating the relative effects of raw material prices, sectoral outlook and market sentiment on stock prices," Resources Policy, Elsevier, vol. 73(C).
  49. Simran, & Sharma, Anil Kumar, 2023. "Asymmetric impact of economic policy uncertainty on cryptocurrency market: Evidence from NARDL approach," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  50. Kim, Minseong, 2021. "A psychological approach to Bitcoin usage behavior in the era of COVID-19: Focusing on the role of attitudes toward money," Journal of Retailing and Consumer Services, Elsevier, vol. 62(C).
  51. Urom, Christian & Abid, Ilyes & Guesmi, Khaled & Chevallier, Julien, 2020. "Quantile spillovers and dependence between Bitcoin, equities and strategic commodities," Economic Modelling, Elsevier, vol. 93(C), pages 230-258.
  52. Gaies, Brahim & Nakhli, Mohamed Sahbi & Sahut, Jean Michel & Guesmi, Khaled, 2021. "Is Bitcoin rooted in confidence? – Unraveling the determinants of globalized digital currencies," Technological Forecasting and Social Change, Elsevier, vol. 172(C).
  53. Francisco Jareño & Ana Escribano & Monika W. Koczar, 2020. "Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case," Mathematics, MDPI, vol. 9(1), pages 1-21, December.
  54. Yang, Jinxuan & Rizvi, Syed Kumail Abbas & Tan, Zhixiong & Umar, Muhammad & Koondhar, Mansoor Ahmed, 2021. "The competing role of natural gas and oil as fossil fuel and the non-linear dynamics of resource curse in Russia," Resources Policy, Elsevier, vol. 72(C).
  55. Wang, Xuetong & Fang, Fang & Ma, Shiqun & Xiang, Lijin & Xiao, Zumian, 2024. "Dynamic volatility spillover among cryptocurrencies and energy markets: An empirical analysis based on a multilevel complex network," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
  56. Jareño, Francisco & González, María de la O. & López, Raquel & Ramos, Ana Rosa, 2021. "Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic," Resources Policy, Elsevier, vol. 74(C).
  57. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  58. Esparcia, Carlos & Fakhfakh, Tarek & Jareño, Francisco, 2024. "The green, the dirty and the stable: Diversifying equity portfolios by adding tokens of different nature," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
  59. Jareño, Francisco & González, María de la O & Escolástico, Alba M., 2020. "Extension of the Fama and French model: A study of the largest European financial institutions," International Economics, Elsevier, vol. 164(C), pages 115-139.
  60. Nikolaos A. Kyriazis, 2021. "The Nexus of Sophisticated Digital Assets with Economic Policy Uncertainty: A Survey of Empirical Findings and an Empirical Investigation," Sustainability, MDPI, vol. 13(10), pages 1-25, May.
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