This paper takes part in the ongoing debate on the newly emerging field of financial
technology by systematically reviewing 164 articles on cryptocurrency volatility during the …

This study contributes to the unconsolidated cryptocurrency literature, with a systematic
literature review focused on cryptocurrency market microstructure. We searched Web of …

The present study examines the nonlinear relationship between the bitcoin prices and total
bitcoin energy consumption over the period November 2010 and October 2021. A discrete …

The aim of this study is to enhance the understanding of volatility dynamics in commodity
returns, such as gold and cocoa, as well as the financial market index S&P500. It provides a …

We employ alpha-stable distribution to dynamically compute risk exposure measures for the
five most traded cryptocurrencies. Returns are jointly modeled with an ARMA-GARCH …

Commodities are the most volatile markets, and forecasting their volatility is an issue of
paramount importance. We examine the dynamics of commodity markets volatility by …

In this study, we conduct a rolling window approach to wavelet-filtered (denoised) S&P500
returns (2000− 2020) to obtain time-varying Hurst exponents. We discuss implications of …

Volatility and investor sentiment have been factors for the slow adoption rate of Bitcoin (BTC)
that was first recognized in 2008 as a potential store of value, investment vehicle and a …

Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a
modelling approach is known not to be able to reproduce some of the financial stylised facts …

The dynamical evolution of multiscaling in financial time series is investigated using time-
dependent Generalized Hurst Exponents (GHE), H q, for various values of the parameter q …