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Persistent link: https://www.econbiz.de/10012437354

Do 18th century 'bubbles' survive the scrutiny of 21st century time series econometrics?

Hu, Yang; Oxley, Les - 2017

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Do 18th century "bubbles" survive the scrutiny of 21st century time series econometrics?

Hu, Yang; Oxley, Les - In: Economics letters 162 (2018), pp. 131-134

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Temporal-spatial dependencies enhanced deep learning model for time series forecast

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A review of Phillips-type right-tailed unit root bubble detection tests

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Hedging performance of Chinese stock index futures : an empirical analysis using wavelet analysis and flexible bivariate GARCH approaches

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Time-varying information share and autoregressive loading factors : evidence from S&P 500 cash and E-mini futures markets

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MALCOLM : the theory and practice of cointegration analysis in RATS

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Measuring Quantile Dependence and Testing Directional Predictability between Bitcoin, Altcoins and Traditional Financial Assets

Corbet, Shaen; Katsiampa, Paraskevi; Lau, Chi Keung - 2021

This paper studies causal relationships and the potential of improving conditional quantile forecasting between Bitcoin and seven altcoin markets as well as between Bitcoin and three mainstream assets, namely gold, oil, and the S&P500, by applying the Granger-causality in distribution and in...

Persistent link: https://www.econbiz.de/10013242182

Fractal dynamics and wavelet analysis : deep volatility and return properties of Bitcoin, Ethereum and Ripple

Celeste, Valerio; Corbet, Shaen; Gurdgiev, Constantin - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 310-324

Persistent link: https://www.econbiz.de/10012417711