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Modelling Crypto-Currencies Financial Time-Series

Citations

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Cited by:

  1. Donato Masciandaro, 2018. "Central Bank Digital Cash and Cryptocurrencies: Insights from a New Baumol–Friedman Demand for Money," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(4), pages 540-550, December.
  2. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro, 2018. "Between Cash, Deposit And Bitcoin: Would We Like A Central Bank Digital Currency? Money Demand And Experimental Economics," BAFFI CAREFIN Working Papers 1875, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  3. Ardia, David & Bluteau, Keven & Rüede, Maxime, 2019. "Regime changes in Bitcoin GARCH volatility dynamics," Finance Research Letters, Elsevier, vol. 29(C), pages 266-271.
  4. Catania, Leopoldo & Grassi, Stefano & Ravazzolo, Francesco, 2019. "Forecasting cryptocurrencies under model and parameter instability," International Journal of Forecasting, Elsevier, vol. 35(2), pages 485-501.
  5. Mawuli Segnon & Stelios Bekiros, 2020. "Forecasting volatility in bitcoin market," Annals of Finance, Springer, vol. 16(3), pages 435-462, September.
  6. Gidea, Marian & Goldsmith, Daniel & Katz, Yuri & Roldan, Pablo & Shmalo, Yonah, 2020. "Topological recognition of critical transitions in time series of cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 548(C).
  7. Leopoldo Catania & Mads Sandholdt, 2019. "Bitcoin at High Frequency," JRFM, MDPI, vol. 12(1), pages 1-20, February.
  8. Klein, Tony & Pham Thu, Hien & Walther, Thomas, 2018. "Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 105-116.
  9. Camilla Muglia & Luca Santabarbara & Stefano Grassi, 2019. "Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?," JRFM, MDPI, vol. 12(2), pages 1-10, May.
  10. Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca, 2020. "Market attention and Bitcoin price modeling: theory, estimation and option pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 187-228, June.
  11. 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).
  12. Phillip, Andrew & Chan, Jennifer & Peiris, Shelton, 2020. "On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin," Econometrics and Statistics, Elsevier, vol. 16(C), pages 69-90.
  13. Thomas Walther & Tony Klein, 2018. "Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting," Working Papers on Finance 1815, University of St. Gallen, School of Finance.
  14. 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).
  15. Walther, Thomas & Klein, Tony & Bouri, Elie, 2019. "Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  16. Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
  17. Leopoldo Catania & Stefano Grassi & Francesco Ravazzolo, 2018. "Predicting the Volatility of Cryptocurrency Time Series," Working Papers No 3/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  18. Luisa Corrado & Tobias Schuler, 2018. "Financial Bubbles in Interbank Lending," CEIS Research Paper 427, Tor Vergata University, CEIS, revised 06 Apr 2018.
  19. Cheikh, Nidhaleddine Ben & Zaied, Younes Ben & Chevallier, Julien, 2020. "Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models," Finance Research Letters, Elsevier, vol. 35(C).
  20. Tranberg, Bo & Hansen, Rasmus Thrane & Catania, Leopoldo, 2020. "Managing volumetric risk of long-term power purchase agreements," Energy Economics, Elsevier, vol. 85(C).
  21. Marian Gidea & Daniel Goldsmith & Yuri Katz & Pablo Roldan & Yonah Shmalo, 2018. "Topological recognition of critical transitions in time series of cryptocurrencies," Papers 1809.00695, arXiv.org.
  22. Shan Wu, 2021. "Co-movement and return spillover: evidence from Bitcoin and traditional assets," SN Business & Economics, Springer, vol. 1(10), pages 1-16, October.
  23. Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Persistence in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 46(C), pages 141-148.
  24. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro, 2017. "Beyond Bitcoin And Cash: Do We Like A Central Bank Digital Currency? A Financial And Political Economics Approach," BAFFI CAREFIN Working Papers 1765, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  25. Gil-Alana, Luis Alberiko & Abakah, Emmanuel Joel Aikins & Rojo, María Fátima Romero, 2020. "Cryptocurrencies and stock market indices. Are they related?," Research in International Business and Finance, Elsevier, vol. 51(C).
  26. Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
  27. Stephanie Danielle Subramoney & Knowledge Chinhamu & Retius Chifurira, 2021. "Value at Risk estimation using GAS models with heavy tailed distributions for cryptocurrencies," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 10(4), pages 40-54, October.
  28. Jin-Bom Han & Sun-Hak Kim & Myong-Hun Jang & Kum-Sun Ri, 2020. "Using Genetic Algorithm and NARX Neural Network to Forecast Daily Bitcoin Price," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 337-353, August.
  29. Amélie Charles & Olivier Darné, 2019. "Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks," Economics Bulletin, AccessEcon, vol. 39(2), pages 954-968.
  30. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro & Giovanno Rabitti, 2018. "Cryptocurrencies, central bank digital cash, traditional money: does privacy matter?," BAFFI CAREFIN Working Papers 1895, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  31. Cross, Jamie L. & Hou, Chenghan & Trinh, Kelly, 2021. "Returns, volatility and the cryptocurrency bubble of 2017–18," Economic Modelling, Elsevier, vol. 104(C).
  32. Leopoldo Catania & Stefano Grassi & Francesco Ravazzolo, 2018. "Forecasting Cryptocurrencies Financial Time Series," Working Papers No 5/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  33. Mawuli Segnon & Stelios Bekiros, 2019. "Forecasting Volatility in Cryptocurrency Markets," CQE Working Papers 7919, Center for Quantitative Economics (CQE), University of Muenster.
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