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When bitcoin lost its position : cryptocurrency uncertainty and the dynamic spillover among cryptocurrencies before and during the COVID-19 pandemic

Al-Shboul, Mohammad; Assaf, Ata; Mokni, Khaled - In: International review of financial analysis 83 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013460859

Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness

Serrano, Roberto; Yamawake, Toshiyuki; Hodoshima, Jiro; … - 2023

We present comparative performance of cryptocurrencies by the performance index based on the Aumann-Serrano –henceforth …, AS– economic index of riskiness. We consider three cryptocurrencies: Bitcoin, Ethereum and Binance-coin, which have the … as good as Bitcoin when we evaluate them by the AS performance index. Therefore, Bitcoin is rated quite poorly –much …

Persistent link: https://www.econbiz.de/10014355388

COVID-19 vaccine confidence index and economic uncertainty indices : empirical evidence from the payment-based system cryptocurrency market

Havidz, Shinta Amalina Hazrati; Anastasia, Esperanza Vera; … - In: International journal of social economics 51 (2024) 11, pp. 1370-1387

Persistent link: https://www.econbiz.de/10015198714

The Cryptocurrency Uncertainty Index

Lucey, Brian M.; Vigne, Samuel; Yarovaya, Larisa; Wang, … - 2021

We develop and make available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index … (UCRY Policy). We show that the constructed index has distinct movements around major events in cryptocurrency space. We … suggest that this index captures uncertainty beyond Bitcoin, and can be used for academic, policy, and practice …

Persistent link: https://www.econbiz.de/10013239046

A Machine Learning Based Regulatory Risk Index for Cryptocurrencies

Ni, Xinwen - 2020

Regulatory Risk IndeX (CRRIX) is constructed based on policy-related news coverage frequency. The unlabelled news data are … movements for both the VCRIX, a market volatility index, and the CRRIX are synchronous, meaning that the CRRIX could be helpful …

Persistent link: https://www.econbiz.de/10012822480

Revisiting the financial market interdependence during COVID-19 times : a study of green bonds, cryptocurrency, commodities and other financial markets

Rao, Amar; Gupta, Mansi; Sharma, Gagan Deep; Mahendru, … - In: International journal of managerial finance : IJMF 18 (2022) 4, pp. 725-755

Persistent link: https://www.econbiz.de/10013365212

Dynamic frequency relationships between bitcoin, oil, gold and economic policy uncertainty index

Hazgui, Samah; Sebai, Saber; Mensi, Walid - In: Studies in economics and finance 39 (2022) 3, pp. 419-443

Persistent link: https://www.econbiz.de/10013355177

Measuring global macroeconomic uncertainty

Moramarco, Graziano - 2020

This paper provides new indices of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The indices measure the dispersion of forecasts that results from parameter uncertainty in the GVAR. Relying on...

Persistent link: https://www.econbiz.de/10012233069

Uncertainty index and stock volatility prediction : evidence from international markets

Gong, Xue; Zhang, Weiguo; Xu, Weijun; Li, Zhe - In: Financial innovation : FIN 8 (2022), pp. 1-44

This study investigates the predictability of a fixed uncertainty index (UI) for realized variances (volatility) in the …

Persistent link: https://www.econbiz.de/10013272632

Can COVID-19 deaths and confirmed cases predict the uncertainty indexes? : a multiscale analysis

Mensi, Walid; Vo Xuan Vinh; Kang, Sang Hoon - In: Studies in economics and finance 40 (2023) 3, pp. 569-587

Persistent link: https://www.econbiz.de/10014252637