Achieving Portfolio Diversification through Cryptocurrencies in European Markets

1. Arnerić J. (2007), “Ekonometrijsko modeliranje rizika na hrvatskom tržištu kapitala” (Econometric approach to risk modelling at Croatian capital market), Master’s Thesis, Zagreb, Faculty of Economics and Business.Search in Google Scholar

2. Bauwens, L., Laurent, S., Rombouts, J. V. K. (2006), “Multivariate GARCH models: A survey”, Journal of Applied Econometrics, Vol. 21, No. 1, pp. 79-109.10.1002/jae.842Search in Google Scholar

3. Bouri, E., Jalkh, N., Molnár, P., Roubaud, D. (2017a), “Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?”, Applied Economics, Vol. 49, No. 50, pp. 5063-5073.10.1080/00036846.2017.1299102Search in Google Scholar

4. Bouri, E., Molnár, P., Azzi, G., Roubaud, D., Hagfors L. I. (2017b), “On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?”, Finance Research Letters, Vol. 20, pp. 192-198.10.1016/j.frl.2016.09.025Search in Google Scholar

5. Bouri, E., Gupta, R., Tiwari, A. K., Roubaud, D. (2017c), “Does Bitcoin hedge global uncertainty? Evidence from Wavelet-based quantile-in-quantile regressions”, Finance Research Letters, Vol. 23, pp. 87-95.10.1016/j.frl.2017.02.009Search in Google Scholar

6. Brière, M., Oosterlinck, K., Szafarz, A. (2015), “Virtual currency, tangible return: Portfolio diversification with Bitcoin”, Journal of Asset Management, Vol. 16, No. 6, pp. 365-373.10.1057/jam.2015.5Search in Google Scholar

7. Cermak, V. (2017), “Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin's Volatility Based on a GARCH Model”, available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2961405 (19 August 2018).10.2139/ssrn.2961405Search in Google Scholar

8. Chu, J., Chan, S., Nadarajah, S., Osterrieder, J. (2017), “GARCH Modelling of Cryptocurrencies”, Journal of Risk and Financial Management, Vol. 10, No. 4.10.3390/jrfm10040017Search in Google Scholar

9. CNN Money Stock Market Data (N/A), available at: https://money.cnn.com/data/markets (18 August 2018).Search in Google Scholar

10. Croatian Financial Services Supervisory Agency (N/A), “Capital market”, available at: https://www.hanfa.hr/trziste-kapitala/ (20 August 2018).Search in Google Scholar

11. Dhyrberg, A. H. (2015), “Hedging Capabilities of Bitcoin. Is it the virtual gold?”, available at: https://researchrepository.ucd.ie/handle/10197/7169 (19 August 2018).Search in Google Scholar

12. Eisl, A., Gasser, S. M., Weinmayer, K. (2015), “Caveat emptor: Does Bitcoin improve portfolio diversification?”, available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2408997 (18 August 2018).10.2139/ssrn.2408997Search in Google Scholar

13. Engle, R. F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models”, Journal of Business & Economic Statistics, Vol. 20, No. 3, pp. 339-350.10.1198/073500102288618487Search in Google Scholar

14. Engle, R. F., Sheppard, K. (2001), “Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH”, NBER Working Paper 8554, National Bureau of Economic Research.10.3386/w8554Search in Google Scholar

15. ESMA (2018), “ESMA, EBA, and EIOPA warn consumers on the risks of Virtual Currencies”, available at: https://www.esma.europa.eu/press-news/esma-news/esas-warn-consumers-risks-in-buying-virtual-currencies (18 August 2018).Search in Google Scholar

16. European Central Bank (2012), “Virtual Currency Schemes”, available at: http://www.ecb.int/pub/pdf/other/virtualcurrencyschemes201210en.pdf (18 August 2018).Search in Google Scholar

17. European Central Bank (2018), available at: https://www.ecb.europa.eu/home/html/index.en.html (20 August 2018).Search in Google Scholar

18. European Commission (2018), available at https://ec.europa.eu/ (20 August 2018).Search in Google Scholar

19. Hajba, M. (2009), “Wavelet (valić) transformacija” (Wavelet Transform), Hrvatski matematički elektronički časopis (math.e), Vol. 28, available at: http://e.math.hr/vol28/Hajba (17 August 2018).Search in Google Scholar

20. Halaburda, H., Gandal, N. (2016), “Competition in the Cryptocurrency Market”, NET Institute Working Paper, pp. 14-17.Search in Google Scholar

21. Hayes, A. (2015), “The Decision to Produce Altcoins: Miners' Arbitrage in Cryptocurrency Markets”, The New School for Social Research Working Paper, 04/2015.10.2139/ssrn.2579448Search in Google Scholar

22. Jurić, M. (2014), “Analiza optimalnog portfelja odabranih dionica na hrvatskom tržištu kapitala GARCH modelom” (Analysis of the Optimal Portfolio of Selected Stocks on the Croatian Capital Market Using GARCH Model), Graduate Thesis, Zagreb, Faculty of Economics and Business.Search in Google Scholar

23. Katsiampa, P. (2017), “Volatility estimation for Bitcoin: A comparison of GARCH models”, Economics Letters, Vol. 158, pp. 3-6.10.1016/j.econlet.2017.06.023Search in Google Scholar

24. Kristoufek, L. (2015), “What Are the Main Drivers of the Bitcoin Price?, Evidence from Wavelet Coherence Analysis”, PLoS ONE, Vol. 10, No. 4.10.1371/journal.pone.0123923Search in Google Scholar

25. Lim, S. J., Masih, M. (2017), “Exploring portfolio diversification opportunities in Islamic capital markets through bitcoin: evidence from MGARCH-DCC and Wavelet approaches”, MPRA Paper, 79752.Search in Google Scholar

26. Madaleno, M., Pinho, C. (2012), “International stock market indices comovements: a new look”, International Journal of Finance & Economics, Vol. 17, No. 1, pp. 89-102.10.1002/ijfe.448Search in Google Scholar

27. Penrose, K. L. (2014), “Banking on Bitcoin: Applying Anti-Money Laundering and Money Transmitter Laws”, North Carolina Banking Institute, Vol. 18, pp. 529-551.Search in Google Scholar

28. Poyser, O. (2017), “Exploring the determinants of Bitcoin's price: an application of Bayesian Structural Time Series”, Ph.D. Thesis, New York: Cornell University.Search in Google Scholar

29. Rahim, A. M., Masih, M. (2016), “Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches”, Economic Modelling, Vol. 54, pp. 425-438.10.1016/j.econmod.2015.12.033Search in Google Scholar

30. Stavroyiannis, S., Babalos V. (2017), “Dynamic properties of the Bitcoin and the US market”, available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2966998 (20 August 2018).10.2139/ssrn.2966998Search in Google Scholar

31. Tillier, M. (2015), “Accept That Bitcoin is a Currency and Stop Blaming the Victims of Crime”, NASDAQ, available at: http://www.nasdaq.com/article/accept-that-bitcoin-is-acurrency-and-stopblaming-the-victims-of-crime-cm442726 (21 August 2018).Search in Google Scholar

32. Tse, Y. K., Tsui, A. K. C. (2002), “A Multivariate GARCH Model with Time-Varying Correlations”, Journal of Business and Economic Statistics, Vol. 20, No. 3, pp. 351-362.10.1198/073500102288618496Search in Google Scholar

33. Urquhart, A. (2017), “The volatility of Bitcoin”, available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2921082 (20 August 2018).10.2139/ssrn.2921082Search in Google Scholar

34. Velde, F. R. (2013), “Bitcoin: A primer”, The Federal Reserve Bank of Chicago, available at: https://www.chicagofed.org/~/media/publications/chicago-fed-letter/2013/cfldecember2013-317-pdf.pdf (20 August 2018).Search in Google Scholar