Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak?
Sign Up to like & getrecommendations! Published in 2021 at "Annals of Operations Research"
DOI: 10.1007/s10479-021-04116-x
Abstract: This study aims to examine the issue of cryptocurrency volatility modelling and forecasting based on high-frequency data. More specifically, this study assesses whether crisis periods, particularly the coronavirus disease pandemic, influence the dynamic of cryptocurrency… read more here.
Keywords: volatility; cryptocurrency volatility; volatility forecasting; cryptocurrency ... See more keywords
Any port in a storm: Cryptocurrency safe-havens during the COVID-19 pandemic
Sign Up to like & getrecommendations! Published in 2020 at "Economics Letters"
DOI: 10.1016/j.econlet.2020.109377
Abstract: Abstract Controlling for the polarity and subjectivity of social media data based on the development of the COVID-19 outbreak, we analyse the relationships between the largest cryptocurrencies and such time-varying realisation as to the scale… read more here.
Keywords: cryptocurrency safe; safe havens; havens covid; storm cryptocurrency ... See more keywords
The relationship between the economic policy uncertainty and the cryptocurrency market
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2019.101308
Abstract: Abstract In this paper, we investigate whether the economic policy uncertainty (EPU) index provided by Baker et al. (2016) can predict cryptocurrency returns. We show that the EPU index of China can predict the Bitcoin… read more here.
Keywords: policy uncertainty; cryptocurrency; economic policy; epu index ... See more keywords
Who raised from the abyss? A comparison between cryptocurrency and stock market dynamics during the COVID-19 pandemic
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DOI: 10.1016/j.frl.2021.101954
Abstract: Abstract This research examines the behaviour of cryptocurrencies and stock markets during the COVID-19 pandemic through the wavelet coherence approach and Markov switching autoregressive model. Our results show a financial contagion in March, since both… read more here.
Keywords: cryptocurrency; raised abyss; cryptocurrency stock; stock ... See more keywords
The asymmetric contagion effect between stock market and cryptocurrency market
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DOI: 10.1016/j.frl.2021.102345
Abstract: Abstract This paper studies asymmetric contagion effects between stock and cryptocurrency markets. We implement the time-varying symmetrized Joe-Clayton copula GARCH model and Bai-Perron breakpoint test to explore dynamic correlations between the daily log-returns of the… read more here.
Keywords: cryptocurrency; asymmetric contagion; contagion effect; market ... See more keywords
A new key protocol design for cryptocurrency wallet
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DOI: 10.1016/j.icte.2021.08.002
Abstract: Abstract The majority of hacking accidents in cryptocurrency occur when the information of a cryptocurrency wallet is stolen. Since the cryptocurrency wallet is simply used for a key storage, when connecting to a transaction network,… read more here.
Keywords: cryptocurrency wallet; protocol design; key protocol; cryptocurrency ... See more keywords
Momentum and contrarian effects on the cryptocurrency market
Sign Up to like & getrecommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2019.02.057
Abstract: We report the results of investigation of the momentum and contrarian effects on cryptocurrency markets. The investigated investment strategies involve 100 (amongst over 1200 present as of date Nov 2017) cryptocurrencies with the largest market… read more here.
Keywords: cryptocurrency; momentum; momentum contrarian; effects cryptocurrency ... See more keywords
An approach to predict and forecast the price of constituents and index of cryptocurrency using machine learning
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DOI: 10.1016/j.physa.2020.124569
Abstract: At present, cryptocurrencies have become a global phenomenon in financial sectors as it is one of the most traded financial instruments worldwide. Cryptocurrency is not only one of the most complicated and abstruse fields among… read more here.
Keywords: machine learning; index; cryptocurrency; predict forecast ... See more keywords
Investor attention and cryptocurrency: Evidence from wavelet-based quantile Granger causality analysis
Sign Up to like & getrecommendations! Published in 2021 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2021.101389
Abstract: Abstract This paper investigates the relationship between investor attention and the major cryptocurrency markets by wavelet-based quantile Granger causality. The wavelet analysis illustrates the interdependence between investor attention and the cryptocurrency returns. Multi-scale quantile Granger… read more here.
Keywords: granger causality; cryptocurrency; investor attention; investor ... See more keywords
Convenience Theory of Cryptocurrency Crime: A Content Analysis of U.S. Federal Court Decisions
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DOI: 10.1080/01639625.2019.1706706
Abstract: ABSTRACT This article examines cryptocurrency cases decided in the U.S. District and Circuit Courts to determine the applicability of Gottschalk’s convenience theory of white-collar crime to cryptocurrency crime litigation and to empirically analyze whether the… read more here.
Keywords: convenience theory; cryptocurrency; cryptocurrency crime;
Data money: The socio-technical infrastructure of cryptocurrency blockchains
Sign Up to like & getrecommendations! Published in 2020 at "Economy and Society"
DOI: 10.1080/03085147.2020.1774258
Abstract: Abstract Drawing on an empirical study of cryptocurrency white papers, this paper proposes an actor-based taxonomy of cryptocurrency blockchains. First, it describes the evolution of blockchain architecture with reference to the economic services that blockchains… read more here.
Keywords: cryptocurrency blockchains; infrastructure; socio technical; cryptocurrency ... See more keywords