This paper examines the volatility of Bitcoin as well as shedding light on the forecasting ability of GARCH models and … HAR models in the Bitcoin market. We find no evidence of the leverage effect in Bitcoin and that the HAR models are … superior in modelling Bitcoin volatility to traditional GARCH models. We also find that the inclusion of the jumps and the …

Despite recent studies focused on comparing the dynamics of market efficiency between Bitcoin and other traditional … assets, there is a lack of knowledge about whether Bitcoin and emerging markets efficiency behave similarly. This paper aims … to compare the market efficiency dynamics between Bitcoin and the emerging stock markets. In particular, this study …

This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple …, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile … deliver valuable insights for deploying volatility-based financial instruments that can potentially provide cryptocurrency …

This study examines the connectedness in high-order moments between cryptocurrency, major stock (U.S., U.K., Eurozone …. Our results show that the cryptocurrency, stock, and commodity markets are highly connected in terms of volatility and in … information for designing effective portfolio management and cryptocurrency regulations. …

This paper examines the behaviour of Bitcoin returns and those of several other cryptocurrencies in the pre and post … period of the introduction of the Bitcoin futures market. We use the principal component-guided sparse regression (PC … important variable for Bitcoin for all periods, whereas for the other cryptocurrencies there are other variables that seem more …

, EURO, Japan, and the UK) and the leading cryptocurrency, the Bitcoin. Results of the static analysis show that the level …. Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve's level, slope …, and curvature, and from any main currency investigated. These findings hint that Bitcoin might provide hedging benefits …

This study shows that changes in bitcoin exchange reserves are negatively related to contemporaneous and future bitcoin … returns, consistent with the hypothesis that the transfer of bitcoin on exchanges implies increased price pressure and vice … versa. We further identify an asymmetry between positive and negative reserve changes on bitcoin returns and volatility …

This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional … Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction demand and …, our empirical results confirm that both the BitCoin transaction demand and speculative demand have a statistically …

This study investigates the extreme connectedness between Bitcoin and crypto-mining stocks using the quantile …, with Bitcoin among the net transmitters of the shocks. RIOT and MARA are the major net transmitters, while GREE and NILE …

Bitcoin plunged by 30% on May 19, 2021. We examine the outage the largest crypto exchange Binance experienced during … back-filled these missing transactions with data that does not conform to Benford‘s Law. The Bitcoin futures price …