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Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets

We analyse, in the time and frequency domains, the relationships between three popular cryptocurrencies and a variety of other financial assets. We find evidence of the relative isolation of these…
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The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies

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Cryptocurrencies as a Financial Asset: A Systematic Analysis

This paper provides a systematic review of the empirical literature based on the major topics that have been associated with the market for cryptocurrencies since their development as a financial…
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Datestamping the Bitcoin and Ethereum Bubbles

We examine the existence and dates of pricing bubbles in Bitcoin and Ethereum, two popular cryptocurrencies using the (Phillips et al., 2011) methodology. In contrast to previous papers, we examine…
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Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic

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Bitcoin Futures - What Use are They?

Early analysis of Bitcoin concluded that it did not meet the economic conditions to be classified as a currency. Since this conclusion, interest in Bitcoin has increased substantially. We investigate…
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Any port in a storm: Cryptocurrency safe-havens during the COVID-19 pandemic

Evidence of significant growth in both returns and volumes traded is found, indicating that large cryptocurrencies acted as a store of value during this period of exceptional financial market stress, and results suggest that these digital assets acting as a safe-haven similar to that of precious metals during historic crises.
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Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19

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Volatility Spillover Effects in Leading Cryptocurrencies: A BEKK-MGARCH Analysis

Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility dynamics along with interlinkages and conditional correlations between three pairs of…
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High Frequency Volatility Co-Movements in Cryptocurrency Markets

Through the application of Diagonal BEKK and Asymmetric Diagonal BEKK methodologies to intra-day data for eight cryptocurrencies, this paper investigates not only conditional volatility dynamics of…
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