Concepedia

Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles

Elie Bouri, Rangan Gupta, Chi Keung Marco Lau, David Roubaud, Shixuan Wang

The Quarterly Review of Economics and Finance · 2018 · 197 citations · 22 references

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Concepts

References

22

Regression Quantiles

Roger Koenker, Gilbert W. Bassett · Econometrica · 1978 · 12.9K citations

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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews · 1992 · 3.3K citations

, , +16

The Stationary Bootstrap

Dimitris N. Politis, Joseph P. Romano · Journal of the American Statistical Association · 1994 · 2.4K citations

, , +13

Bitcoin, gold and the dollar – A GARCH volatility analysis

Anne Haubo Dyhrberg · Finance research letters · 2015 · 1.5K citations

, , +12

On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?

Elie Bouri, Péter Molnár, Georges Azzi et al. · Finance research letters · 2016 · 1.4K citations

, , +10