|
1.Bollerslev . (1986). "Generalised autoregressive conditional heteroscedasticity."
Journal of Econometrics 31:307e27.
2.Baur, D. G., et al. (2018). "Bitcoin: Medium of exchange or speculative assets?" Journal of International Financial Markets Institutions & Money 54: 177-189.
3.Baur, D. G,. et al. (2018). "Bitcoin, gold and the US dollar - A replication and extension." Finance Research Letters 25: 103-110.
4.Chang C-L, Li Y-Y, McAleer M. (2015). " Volatility spillovers between energy and agricultural markets: A critical appraisal of theory and practice." Tinbergen Institute Discussion Paper 077/III.
5.Chang, C. L., et al. (2018). "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices." Renewable & Sustainable Energy Reviews 81: 1002-1018.
6.Conlon, T., et al. (2018). "Is gold a hedge against inflation? A wavelet time-scale perspective." Review of Quantitative Finance & Accounting 51(2): 317-345.
7.Dyhrberg, A. H. (2016). "Bitcoin, gold and the dollar—A GARCH volatility analysis." Finance Research Letters 16:85.
8.Engle RF, Kroner KF. (1995). "Multivariate simultaneous generalized ARCH." Economic Theory 11:122e50.
9.Engle RF.(1982). "Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation." Econometrica 50:987e1007.
10.Engle, R. and C. W. J. Granger. (1987). "Cointegration and error correction:
representation, estimation and testing. " Econometrica 55, 251-276.
11.Granger, C. W. J. and P. Newbold (1974). "Spurious regressions in econometrics. " Journal of Econometrics 2, 111-120.
12.Guesmi, K., et al. (2019). "Portfolio diversification with virtual currency: Evidence from Bitcoin." International Review of Financial Analysis 63: 431-437.
13.Henriques, I., & Sadorsky, P. (2018). "Can bitcoin replace gold in an investment portfolio?" Journal of Risk and Financial Management 11(3)
14.Johansen, S. and K. Juselius. (1990). " Maximum likelihood estimation and inference on cointegration—with applications to the demand for money." Oxford Bulletin of Economics and Statistics 52(2): 169-210.
15.Johansen, S. (1988). "Statistical analysis of cointegration vectors." Journal of Economic Dynamics and Control 12, 231-254.
16.Johansen, S. (1991). "Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models." Econometrica 59, 1551-1580.
17.Jain, A. and P. C. Biswal. (2016). "Dynamic linkages among oil price, gold price, exchange rate, and stock market in India." Resources Policy 49: 179-185.
18.Katsiampa, P. (2017). "Volatility estimation for Bitcoin: A comparison of GARCH models." Economics Letters 158: 3-6.
19.Katsiampa, P. (2019). "Volatility co-movement between Bitcoin and Ether." Finance Research Letters 30: 221-227.
20.Nelson, C. R. and C. I. Plosser. (1982). "Trends versus random walks in macroeconomic time series: Some evidence and implications." Journal of Monetary Economics 10,139-162.
21.Nadarajah, S. and J. Chu. (2017). "On the inefficiency of Bitcoin." Economics Letters 150: 6-9.
22.Parashar, N., & Rasiwala, F. (2019). "Bitcoin – asset or currency? user's perspective about cryptocurrencies." IUP Journal of Management Research 8(1), 102-122.
23.Reboredo, J. C. and M. A. Rivera-Castro. (2014). "Can gold hedge and preserve value when the US dollar depreciates?" Economic Modelling 39: 168.
24.Said, S. E. and D. A. Dickey. (1984). "Tests for unit roots in autoregressive-moving average models of unknown order." Biometrika 71, 599-609.
25.Urquhart. (2016). "The inefficiency of Bitcoin." Economics Letters 148: 80-82.
26.Yan, Z. P. and S. H. Li. (2018). "Hedge ratio on Markov regime-switching diagonal BEKK-Garch model." Finance Research Letters 24: 49-55.
|