Results 51 to 60 of about 39,133 (240)
Shock‐Triggered Asymmetric Response Stochastic Volatility
Journal of Forecasting, EarlyView.ABSTRACT We propose a novel asymmetric stochastic volatility model (STAR‐SV) in which the leverage parameter adjusts to the magnitude of past shocks. This flexible specification captures both the leverage effects and their propagation more effectively than standard asymmetric volatility models.
J. Miguel Marin, Helena Veiga
wiley +1 more source
EnergiesThis study investigates the asymmetric impacts of Bitcoin prices on Bitcoin energy consumption. Two series are shown to be chaotic and non-linear using the BDS Independence test.
Kais Tissaoui +4 more
doaj +1 more source
Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches
Axioms, 2022 This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models.
Kuo-Shing Chen, Shen-Ho Chang
doaj +1 more source
Speed of Adjustment in Digital Assets in a Decentralized Financial World
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates the stability and co‐movement of cryptocurrency assets in Decentralized Finance (DeFi), with a focus on the Speed of Adjustment (SA), the rate at which shocks dissipate, and prices revert to long‐run equilibrium. SA provides a critical measure of market efficiency and portfolio allocation in a highly volatile DeFi ...
Jeremy Eng‐Tuck Cheah +3 more
wiley +1 more source
International Journal of Financial StudiesAmid the growing debate over how cryptocurrencies are reshaping global finance, this study explores the nexus between Bitcoin, Brent Crude Oil, Gold and the U.S. Dollar Index.
Pathairat Pastpipatkul, Htwe Ko
doaj +1 more source
Major Conundrums and Possible Solutions in DeFi Insurance
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper empirically explores the early development of insurance projects in the decentralised finance (DeFi) industry, which is based on disruptive technologies like blockchain and smart contracts. A brief history of DeFi is narrated, stressing four risks of DeFi (volatility risk, cyberattack risk, liquidity risk, and regulation risk) and ...
Peng Zhou, Ying Zhang
wiley +1 more source
Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance
International Review of Financial Analysis, 2018 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 be more different.
Tony Klein, Hien Pham Thu, T. Walther
semanticscholar +1 more source
Noncausal AR‐ARCH Model and Its Applications to Financial Time Series
International Journal of Finance &Economics, EarlyView.ABSTRACT We extend the noncausal autoregressive models by introducing noncausality into the variance component, allowing the volatility to depend on future prices as well. We refer to this model as the noncausal AR‐ARCH model, and it enables us to account for shocks arising from market agents who possess more information and engage in forward‐looking ...
Yaosong Zhan +3 more
wiley +1 more source
Implied volatility estimation of bitcoin options and the stylized facts of option pricing
Financial Innovation, 2021 The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging.
Noshaba Zulfiqar, Saqib Gulzar
doaj +1 more source
Sex, Drugs, and Bitcoin: How Much Illegal Activity Is Financed Through Cryptocurrencies?
The Review of financial studies, 2018 Cryptocurrencies are among the largest unregulated markets in the world. We find that approximately one-quarter of bitcoin users are involved in illegal activity. We estimate that around $\$$76 billion of illegal activity per year involve bitcoin (46% of
Sean Foley +2 more
semanticscholar +1 more source