This paper takes part in the ongoing debate on the newly emerging field of financial
technology by systematically reviewing 164 articles on cryptocurrency volatility during the …

On a univariate setting, this study aims to:(a) model the volatility of Bitcoin, Dash, Monero,
and Stellar,(b) check the eventual existence of structural breaks in their volatility, and (c) …

Cryptocurrency is a financial innovation that brings many potential benefits, yet it has been
criticized for its negative environmental impacts. To fully reap the benefits from this financial …

This paper analyzes the response of cryptocurrency returns to the movement of economic
policy uncertainty (EPU) and stock market volatility (VIX), as well as a few macroeconomic …

The study investigates the interconnectedness and risk spillover among a diverse range of
financial assets, including thirty-three cryptocurrencies, thirteen sectoral indices, six …

We analyze returns and volatility spillovers among a representative set of crypto and
financial assets. The magnitude of spillovers increases during periods of heightened …

In light of the increasing investor interest in cryptocurrencies (CR) as alternative financial
assets in financial markets, we sought to examine the connection between economic policy …

Geopolitical conflicts significantly impact financial networks and systems, eg, Russia and
Ukraine. Cryptoeconomic blockchains such as Bitcoin and Ethereum were introduced as …

Modeling implied volatility (IV) is important for option pricing, hedging, and risk
management. Previous studies of deterministic implied volatility functions (DIVFs) propose …

In this paper, we consider a random vector X=(X 1, X 2) following a multivariate Elliptical
distribution and we provide an explicit formula for E (X| X≤ X˜), ie, the expected value of the …