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Volatility and return connectedness of cryptocurrency, gold, and uncertainty : evidence from the cryptocurrency uncertainty indices

Elsayed, Ahmed H.; Gozgor, Giray; Yarovaya, Larisa - In: Finance research letters 47 (2022) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10013553791

Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty : Evidence from the Cryptocurrency Uncertainty Indices

Elsayed, Ahmed H.; Gozgor, Giray; Yarovaya, Larisa - 2022

This paper examines the dynamic connectedness of return- and volatility spillovers among cryptocurrency benchmark index (CRIX), Gold, and uncertainty measures. Apart from traditional uncertainty measures, such as the Volatility Index and the Economic Policy Uncertainty, we also consider two...

Persistent link: https://www.econbiz.de/10013294360

Are Islamic indexes a safe haven for investors? : an analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods

Hkiri, Besma; Hammoudeh, Shawkat; Aloui, Chaker; … - In: Pacific-Basin finance journal 43 (2017), pp. 124-150

Persistent link: https://www.econbiz.de/10011800663

Return-volatility relationships in cryptocurrency markets : evidence from asymmetric quantiles and non-linear ARDL approach

Karim, Muhammad Mahmudul; Ali, Md Hakim; Yarovaya, Larisa; … - In: International review of financial analysis 90 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014470582

Time-varying co-movements between energy market and global financial markets : implication for portfolio diversification and hedging strategies

Elsayed, Ahmed H.; Nasreen, Samia; Tiwari, Aviral Kumar - In: Energy economics 90 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012517574

Volatility spillover across spot and futures markets : evidence from dual financial system

Elsayed, Ahmed; Asutay, Mehmet; Alaoui, Abdelkader O. el; … - In: Research in international business and finance 71 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015062170

Causality and dynamic spillovers among cryptocurrencies and currency markets

Elsayed, Ahmed H.; Gozgor, Giray; Lau, Chi Keung - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2026-2040

Persistent link: https://www.econbiz.de/10013184641

The Volatility Generating Effects of Macroeconomic News on Cryptocurrency Returns

Corbet, Shaen - 2018

This paper examines the relationship between news coverage and Bitcoin returns. Previous studies have provided evidence to suggest that macroeconomic news affects stock returns, commodities and interest rates. We extend the approach developed by Birz and Lott [2011] to examine the hypothesis...

Persistent link: https://www.econbiz.de/10012924762

The relationship between trading volume, volatility and returns of Non-Fungible Tokens : evidence from a quantile approach

Yousaf, Imran; Yarovaya, Larisa - In: Finance research letters 50 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10014234114

Return spillovers between white precious metal ETFs : the role of oil, gold, and global equity

Lau, Chi Keung; Vigne, Samuel A.; Wang, Shixuan; … - In: International review of financial analysis 52 (2017), pp. 316-332

Persistent link: https://www.econbiz.de/10011868764