Can volume predict Bitcoin returns and volatility? A quantiles-based approach
By M. Balcılar, Elie Bouri, Rangan Gupta, David Roubaud. 2017
658 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Information Systems
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Brian M. Lucey
- Andrew Urquhart
- Elie Bouri
- Shaen Corbet
- L. Yarovaya
- David Roubaud
- Pengfei Wang
- Rangan Gupta
In Information Systems
- Andrew Urquhart
- Brian M. Lucey
- Shaen Corbet
- Elie Bouri
- Pengfei Wang
- L. Yarovaya
- Dehua Shen
- Emmanouil Platanakis
Citations in the corpus
- Some stylized facts of the cryptocurrency market (2018, background): “The third focuses on the long-range dependence of Bitcoin returns (Balcilar et al. 2017; Lahmiri and Bekiros 2018; Lahmiri, Bekiros, and Salvi 2018; Urquhart 2017).”
- An empirical investigation of volatility dynamics in the cryptocurrency market (2019, neutral): “For instance, while Blau (2017) showed that the level of speculative trading is not directly linked to Bitcoin's level of volatility, Balcilar et al. (2017) found evidence of strong dependence between Bitcoin price fluctuations and transaction volume levels. Furthermore, Koutmos (2018) found evidenc”
- Spillovers between Bitcoin and other assets during bear and bull markets (2018, background): “Balcilar et al. (2017) provided evidence of the nonlinear effect of trading volume on Bitcoin’s returns and volatility while differentiating between bull and bear market conditions.”
- Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, background): “Cheah and Fry (2015) show that, over the period July 2010 to July 2014, Bitcoin is prone to substantial speculative bubbles, while Balcilar et al (2017) show that Bitcoin volume can predict returns except in bear and bull market regimes.”
- Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis (2018, neutral): “Recall that Balcilar et al. (2017) analyze the causal relation between trading volume and Bitcoin returns and volatility.”
- Return, volatility and shock spillovers of Bitcoin with energy and technology companies (2018, background): “, 2018) and explore Bitcoin returns and volatility (Balcilar et al., 2017; Katsiampa, 2017).”