5
H index
3
i10 index
87
Citations
University of Birmingham | 5 H index 3 i10 index 87 Citations RESEARCH PRODUCTION: 6 Articles 4 Papers 1 Chapters RESEARCH ACTIVITY: 7 years (2017 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pur103 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Andrew Urquhart. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Post-Print / HAL | 3 |
Year | Title of citing document |
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2024 | A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962. Full description at Econpapers || Download paper |
2023 | Understanding the transmission of crash risk between cryptocurrency and equity markets. (2023). Corbet, Shaen ; Liu, Zhifeng ; Toan, Luu Duc ; Goodell, John W ; Dai, Pengfei. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:539-573. Full description at Econpapers || Download paper |
2023 | Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613. Full description at Econpapers || Download paper |
2023 | Predicting energy futures high-frequency volatility using technical indicators: The role of interaction. (2023). Zhang, Yue ; Ye, Xin ; Gong, Xue. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000312. Full description at Econpapers || Download paper |
2023 | Do clean energy indices outperform using contrarian strategies based on contrarian trading rules?. (2023). Ni, Yensen ; Day, Min-Yuh. In: Energy. RePEc:eee:energy:v:272:y:2023:i:c:s0360544223005078. Full description at Econpapers || Download paper |
2023 | The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns. (2023). Peng, Zhe ; Arkorful, Gideon Bruce ; Ma, Huan ; Zhang, Chuanhai. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000133. Full description at Econpapers || Download paper |
2023 | Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks. (2023). Nichols, Brian ; Jaffri, Ali ; Butt, Hassan Anjum ; Aharon, David Y. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001679. Full description at Econpapers || Download paper |
2023 | Return-volatility relationships in cryptocurrency markets: Evidence from asymmetric quantiles and non-linear ARDL approach. (2023). Yarovaya, Larisa ; Ali, Md Hakim ; Karim, Muhammad Mahmudul ; Hammoudeh, Shawkat ; Uddin, Md Hamid. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004106. Full description at Econpapers || Download paper |
2023 | Machine learning approaches to forecasting cryptocurrency volatility: Considering internal and external determinants. (2023). Martin-Barragan, Belen ; Andreeva, Galina ; Wang, Yijun. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004301. Full description at Econpapers || Download paper |
2024 | The Bitcoin volume-volatility relationship: A high frequency analysis of futures and spot exchanges. (2024). Conlon, Thomas ; Corbet, Shaen ; McGee, Richard J. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300529x. Full description at Econpapers || Download paper |
2024 | Diversification, hedging, and safe-haven characteristics of cryptocurrencies: A structural change approach. (2024). Cheng, Po-Keng ; Yang, Yiwen ; Hsu, Shu-Han. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001431. Full description at Econpapers || Download paper |
2024 | Enhancing cryptocurrency market volatility forecasting with daily dynamic tuning strategy. (2024). Lucey, Brian ; Qi, Jiajun ; Feng, Lingbing. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001716. Full description at Econpapers || Download paper |
2023 | Can altcoins act as hedges or safe-havens for Bitcoin?. (2023). Urquhart, Andrew ; Lucey, Brian ; Li, YI. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005372. Full description at Econpapers || Download paper |
2023 | Optimal mining in proof-of-work blockchain protocols. (2023). Mohazab, Amin ; Moya, Jorge ; Soria, Jorge. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007863. Full description at Econpapers || Download paper |
2024 | Testing the credibility of crypto influencers: An event study on Bitcoin. (2024). Sandner, Philipp ; Welpe, Isabell M ; Meyer, Eva Andrea. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012369. Full description at Econpapers || Download paper |
2024 | Hedging inflation expectations in the cryptocurrency futures market. (2024). Valcarcel, Victor J ; Liu, Jinan. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923001055. Full description at Econpapers || Download paper |
2023 | The role of interpersonal trust in cryptocurrency adoption. (2023). Yarovaya, Larisa ; Urquhart, Andrew ; Matkovskyy, Roman ; Jalan, Akanksha. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122001871. Full description at Econpapers || Download paper |
2024 | The relevance of media sentiment for small and large scale bitcoin investors. (2024). Beckmann, Joscha ; Wustenfeld, Jan ; Geldner, Teo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000295. Full description at Econpapers || Download paper |
2023 | Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market. (2023). Liao, Xiaosai ; Ma, Huan ; Zhang, Chuanhai. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000161. Full description at Econpapers || Download paper |
2023 | How well do investor sentiment and ensemble learning predict Bitcoin prices?. (2023). Sahut, Jean-Michel ; Hikkerova, Lubica ; Hajek, Petr. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002227. Full description at Econpapers || Download paper |
2024 | Investing in cryptocurrency before and during the COVID-19 crisis: Hedge, diversifier or safe haven?. (2024). Jahmane, Abderrahmane ; Bennajma, Amel ; Riahi, Rabeb ; Hammami, Helmi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002283. Full description at Econpapers || Download paper |
2024 | Impacts of bitcoin on monetary system: Is Chinas bitcoin ban necessary?. (2024). Wang, Chen ; Wu, Ruoxi ; Li, Xiao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000291. Full description at Econpapers || Download paper |
2024 | Are crypto and non-crypto investors alike? Evidence from a comprehensive survey in Brazil. (2024). Colombo, Jéfferson ; Yarovaya, Larisa. In: Technology in Society. RePEc:eee:teinso:v:76:y:2024:i:c:s0160791x24000162. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Relations among Bitcoin Futures, Bitcoin Spot, Investor Attention, and Sentiment. (2023). Panta, Humnath ; Narayanasamy, Arun ; Agarwal, Rohit. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:11:p:474-:d:1273906. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | The predictive ability of technical trading rules: an empirical analysis of developed and emerging equity markets. (2023). Rink, Kevin. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00433-2. Full description at Econpapers || Download paper |
2023 | Investigating the Academic Response to Cryptocurrencies: Insights from Research Diversification as Separated by Journal Ranking. (2023). Oxley, Les ; Corbet, Shaen. In: Review of Corporate Finance. RePEc:now:jnlrcf:114.00000049. Full description at Econpapers || Download paper |
2024 | Does the Introduction of US Spot Bitcoin ETFs Affect Spot Returns and Volatility of Major Cryptocurrencies?. (2024). GUPTA, RANGAN ; Bouri, Elie ; Babalos, Vassilios. In: Working Papers. RePEc:pre:wpaper:202416. Full description at Econpapers || Download paper |
2023 | Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies. (2023). Gao, Xiang ; Huang, Weige. In: SAGE Open. RePEc:sae:sagope:v:13:y:2023:i:1:p:21582440231151652. Full description at Econpapers || Download paper |
2023 | Institutions, digital assets, and implications for economic and financial performance. (2023). Guedhami, Omrane ; Glatzer, Zachary ; Cumming, Douglas. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:50:y:2023:i:3:d:10.1007_s40812-023-00276-y. Full description at Econpapers || Download paper |
2023 | Artificial neural network analysis of the day of the week anomaly in cryptocurrencies. (2023). Akkaya, Neslihan Saygili ; Ate, Gizem ; Abaci, Hilal ; Tosunolu, Nuray. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00499-x. Full description at Econpapers || Download paper |
2024 | Informational inefficiency on bitcoin futures. (2024). Wu, Yingying ; Zhai, Jia ; Shi, Shimeng. In: The European Journal of Finance. RePEc:taf:eurjfi:v:30:y:2024:i:6:p:642-667. Full description at Econpapers || Download paper |
2023 | Cryptocurrency factor momentum. (2023). Zaremba, Adam ; Metko, Daniel ; Liedtke, Gerrit ; Fieberg, Christian. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:12:p:1853-1869. Full description at Econpapers || Download paper |
2023 | Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?. (2023). Guo, Yangli ; Bouri, Elie ; Ma, Feng ; Wang, Jiqian. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:970-988. Full description at Econpapers || Download paper |
2023 | Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Tabche, Ibrahim ; Slim, Skander ; Karathanasopoulos, Andreas ; Osman, Mohamed ; Koubaa, Yosra. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1909-1929. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2020 | Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks In: European Financial Management. [Full Text][Citation analysis] | article | 33 |
2024 | The environmental, social, and governance (ESG) aspects of Bitcoin In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
2020 | Do momentum and reversal strategies work in commodity futures? A comprehensive study In: Review of Behavioral Finance. [Full Text][Citation analysis] | article | 2 |
2021 | What effect did the introduction of Bitcoin futures have on the Bitcoin spot market? In: Post-Print. [Citation analysis] | paper | 16 |
2022 | Demand elasticities of Bitcoin and Ethereum In: Post-Print. [Citation analysis] | paper | 0 |
2023 | The role of interpersonal trust in cryptocurrency adoption In: Post-Print. [Citation analysis] | paper | 9 |
2023 | No Cryptocurrency Experience Required: Managerial Characteristics in Cryptocurrency Fund Performance In: Review of Corporate Finance. [Full Text][Citation analysis] | article | 3 |
2024 | Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2017 | Stylized facts of intraday precious metals In: PLOS ONE. [Full Text][Citation analysis] | article | 8 |
2024 | Scoring goals: The impact of English Premier League football teams on local university admissions In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Technical trading and cryptocurrencies In: Annals of Operations Research. [Full Text][Citation analysis] | article | 16 |
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