874
Views
27
CrossRef citations to date
0
Altmetric
Research Article

Connectedness of cryptocurrencies and prevailing uncertainties

, , &

References

  • Baker, S. R., N. Bloom, and S. J. Davis. 2016. “Measuring Economic Policy Uncertainty.” The Quarterly Journal of Economics 131 (4): 1593–1636. doi:10.1093/qje/qjw024.
  • Baruník, J., and T. Křehlík. 2018. “Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk.” Journal of Financial Econometrics 16 (2): 271–296. doi:10.1093/jjfinec/nby001.
  • Bouri, E., G. Azzi, and A. H. Dyhrberg. 2016. On the Return-volatility Relationship in the Bitcoin Market around the Price Crash of 2013. Available at SSRN 2869855. doi:10.5018/economics-ejournal.ja.2017-2.
  • Bouri, E., R. Gupta, and D. Roubaud. 2019a. “Herding Behaviour in Cryptocurrencies.” Finance Research Letters 29: 216–221. doi:10.1016/j.frl.2018.07.008.
  • Bouri, E., B. Lucey, and D. Roubaud. 2019b. “The Volatility Surprise of Leading Cryptocurrencies: Transitory and Permanent Linkages.” Finance Research Letters. doi:10.1016/j.frl.2019.05.006.
  • Bouri, E., S. J. H. Shahzad, and D. Roubaud. 2018. “Co-Explosivity in the Cryptocurrency Market.” Finance Research Letters. doi:10.1016/j.frl.2018.07.005.
  • Corbet, S., A. Meegan, C. Larkin, B. Lucey, and L. Yarovaya. 2018. “Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets.” Economics Letters 165: 28–34. doi:10.1016/j.econlet.2018.01.004.
  • Demir, E., G. Gozgor, C. K. M. Lau, and S. A. Vigne. 2018. “Does Economic Policy Uncertainty Predict the Bitcoin Returns? An Empirical Investigation.” Finance Research Letters. doi:10.1016/j.frl.2018.01.005.
  • Diebold, F. X., and K. Yılmaz. 2014. “On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.” Journal of Econometrics 182 (1): 119–134. doi:10.1016/j.jeconom.2014.04.012.
  • Fang, L., E. Bouri, R. Gupta, and D. Roubaud. 2019. “Does Global Economic Uncertainty Matter for the Volatility and Hedging Effectiveness of Bitcoin?” International Review of Financial Analysis 61: 29–36. doi:10.1016/j.irfa.2018.12.010.
  • Grinsted, A., J. C. Moore, and S. Jevrejeva. 2004. “Application of the Cross Wavelet Transform and Wavelet Coherence to Geophysical Time Series.” Nonlinear Processes in Geophysics 11 (5/6): 561–566. doi:10.5194/npg-11-561-2004.
  • Ji, Q., E. Bouri, C. K. M. Lau, and D. Roubaud. 2019. “Dynamic Connectedness and Integration in Cryptocurrency Markets.” International Review of Financial Analysis 63: 257–272. doi:10.1016/j.irfa.2018.12.002.
  • Katsiampa, P. 2017. “Volatility Estimation for Bitcoin: A Comparison of GARCH Models.” Economics Letters 158: 3–6. doi:10.1016/j.econlet.2017.06.023.
  • Kristjanpoller, W., and E. Bouri. 2019. “Asymmetric Multifractal Cross-correlations between the Main World Currencies and the Main Cryptocurrencies.” Physica A: Statistical Mechanics and Its Applications 523: 1057–1071. doi:10.1016/j.physa.2019.04.115.
  • Lahmiri, S., and S. Bekiros. 2019. “Cryptocurrency Forecasting with Deep Learning Chaotic Neural Networks.” Chaos, Solitons & Fractals 118: 35–40. doi:10.1016/j.chaos.2018.11.014.
  • Polanco-Martínez, J. M., J. Fernández-Macho, M. Neumann, and S. H. Faria. 2018. “A Pre-Crisis Vs. Crisis Analysis of Peripheral EU Stock Markets by Means of Wavelet Transform and A Nonlinear Causality Test.” Physica A: Statistical Mechanics and Its Applications 490: 1211–1227. doi:10.1016/j.physa.2017.08.065.
  • Selmi, R., W. Mensi, S. Hammoudeh, and J. Bouoiyour. 2018. “Is Bitcoin A Hedge, A Safe Haven or A Diversifier for Oil Price Movements? A Comparison with Gold.” Energy Economics. doi:10.1016/j.eneco.2018.07.007.
  • Torrence, C., and G. P. Compo. 1998. “A Practical Guide to Wavelet Analysis.” Bulletin of the American Meteorological Society 79 (1): 61–78. doi:10.1175/1520-0477(1998)079<0061:APGTWA>2.0.CO;2.
  • Zięba, D., R. Kokoszczyński, and K. Śledziewska. 2019. “Shock Transmission in the Cryptocurrency Market. Is Bitcoin the Most Influential?” International Review of Financial Analysis 64: 102–125. doi:10.1016/j.irfa.2019.04.009.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.