In recent years, the tendency of the number of financial institutions to include
cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital …

The focus on cryptocurrencies in the finance and banking sectors is gaining momentum. In
this paper, we investigate the role of cryptocurrencies in modern finance. We apply a …

In this paper, we investigate the stochastic properties of six major cryptocurrencies and their
bilateral linkages with six stock market indices using fractional integration techniques. From …

In this paper I document a positive relation between the volatility of liquidity and expected
returns. Specifically, I analyze the relationship between the idiosyncratic volatility of market …

We present a multi-scale and time-frequency analysis of the degree of integration and the
lead-lag relationship between six cryptocurrencies (ie, Bitcoin, Bitcoincash, Ethereum …

This study analyzes the lead-lag relationship between the price indices of energy fuels and
each of food, industrial inputs, agriculture raw materials, metals and beverages in the time …

In this paper, we examine comovements between stock market returns and investments that
take into account Environmental, Social, and Governance (ESG) factors by studying the …

In this paper, we use dynamic conditional correlations (DCCs) and wavelet coherence to
examine the hedging and diversification properties of gold futures vis-à-vis Bitcoin prices …

This study uses time-frequency analysis to examine directional connectedness between US
sector equity ETFs, oil, gold, stock market, and uncertainty factors over the short and long …

When cryptocurrency markets generate billions of dollars, it becomes interesting to forecast
variation in volume of transactions for better trading and for better management of …