The relationship between implied volatility and cryptocurrency returns

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buir.contributor.authorŞensoy, Ahmet
dc.citation.epage1012122-1en_US
dc.citation.spage1012122-10en_US
dc.citation.volumeNumber33en_US
dc.contributor.authorAkyıldırım, E.en_US
dc.contributor.authorCorbet, S.en_US
dc.contributor.authorLucey, B.en_US
dc.contributor.authorŞensoy, Ahmeten_US
dc.contributor.authorYarovaya, L.en_US
dc.date.accessioned2020-01-31T19:02:55Z
dc.date.available2020-01-31T19:02:55Z
dc.date.issued2020
dc.departmentDepartment of Managementen_US
dc.description.abstractWe analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. Overall, our results indicate the existence of time-varying positive interrelationships between the conditional correlations of cryptocurrencies and financial market stress. Further, these correlations are found to increase substantially during periods of high financial market stress, indicating that the contagion of significant financial market fear influences these new financial products.en_US
dc.description.provenanceSubmitted by Onur Emek (onur.emek@bilkent.edu.tr) on 2020-01-31T19:02:55Z No. of bitstreams: 1 Bilkent-research-paper.pdf: 268963 bytes, checksum: ad2e3a30c8172b573b9662390ed2d3cf (MD5)en
dc.description.provenanceMade available in DSpace on 2020-01-31T19:02:55Z (GMT). No. of bitstreams: 1 Bilkent-research-paper.pdf: 268963 bytes, checksum: ad2e3a30c8172b573b9662390ed2d3cf (MD5) Previous issue date: 2019en
dc.embargo.release2022-03-01
dc.identifier.doi10.1016/j.frl.2019.06.010en_US
dc.identifier.issn1544-6123
dc.identifier.urihttp://hdl.handle.net/11693/52973
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://dx.doi.org/10.1016/j.frl.2019.06.010en_US
dc.source.titleFinance Research Lettersen_US
dc.subjectCryptocurrenciesen_US
dc.subjectVolatilityen_US
dc.subjectVIXen_US
dc.subjectVSTOXXen_US
dc.subjectGARCHen_US
dc.subjectDCC-GARCHen_US
dc.titleThe relationship between implied volatility and cryptocurrency returnsen_US
dc.typeArticleen_US

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