Is Bitcoin similar to gold? An integrated overview of empirical findings
NA Kyriazis - Journal of Risk and Financial Management, 2020 - mdpi.com
This paper sets out to explore whether Bitcoin can be considered as a globally accepted
asset that has a resemblance to gold, which is widely considered to be the safest choice. An …
asset that has a resemblance to gold, which is widely considered to be the safest choice. An …
Bitcoin is not the New Gold–A comparison of volatility, correlation, and portfolio performance
Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and
are often named the New Gold. This study, however, shows that the two assets could barely …
are often named the New Gold. This study, however, shows that the two assets could barely …
A survey on volatility fluctuations in the decentralized cryptocurrency financial assets
NA Kyriazis - Journal of Risk and Financial Management, 2021 - mdpi.com
This study is an integrated survey of GARCH methodologies applications on 67 empirical
papers that focus on cryptocurrencies. More sophisticated GARCH models are found to …
papers that focus on cryptocurrencies. More sophisticated GARCH models are found to …
Portfolio diversification with virtual currency: Evidence from bitcoin
The paper investigates the proprieties of Bitcoin in the financial markets. Specifically, we
explore the conditional cross effects and volatility spillover between Bitcoin and financial …
explore the conditional cross effects and volatility spillover between Bitcoin and financial …
Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors
Cryptocurrencies are gradually establishing themselves as a new class of assets with
unique features, although there remains skepticism and a lack of understanding of their …
unique features, although there remains skepticism and a lack of understanding of their …
A hybrid deep learning approach by integrating LSTM-ANN networks with GARCH model for copper price volatility prediction
Y Hu, J Ni, L Wen - Physica A: Statistical Mechanics and its Applications, 2020 - Elsevier
Forecasting the copper price volatility is an important yet challenging task. Given the
nonlinear and time-varying characteristics of numerous factors affecting the copper price, we …
nonlinear and time-varying characteristics of numerous factors affecting the copper price, we …
Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach
This paper empirically investigates the contagion effects of the global financial crisis in a
multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic …
multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic …
A hybrid volatility forecasting framework integrating GARCH, artificial neural network, technical analysis and principal components analysis
W Kristjanpoller, MC Minutolo - Expert Systems with Applications, 2018 - Elsevier
Measurement, prediction, and modeling of currency price volatility constitutes an important
area of research at both the national and corporate level. Countries attempt to understand …
area of research at both the national and corporate level. Countries attempt to understand …
COVID-19 pandemic's impact on intraday volatility spillover between oil, gold, and stock markets
This study examines the volatility spillovers between the US stock market (S&P500 index)
and both oil and gold before and during the global health crisis (GHC). We apply the …
and both oil and gold before and during the global health crisis (GHC). We apply the …
Global financial crisis and spillover effects among the US and BRICS stock markets
This article examines the spillover effect between the US market and five of the most
important emerging stock markets namely those of the BRICS (Brazil, Russia, India, China …
important emerging stock markets namely those of the BRICS (Brazil, Russia, India, China …