% ============================================================================
% UQO Working Paper No. 6 -- references.bib
% Every entry verified against Crossref on 2026-10-17 (editorial-board revision);
% DOIs recorded. See docs/CHANGELOG-REVISION.md for the verification log.
% ============================================================================

% ---------------------------------------------------------------- realized volatility
@article{Andersen1997,
  author  = {Andersen, Torben G. and Bollerslev, Tim},
  title   = {Intraday Periodicity and Volatility Persistence in Financial Markets},
  journal = {Journal of Empirical Finance},
  year    = {1997},
  volume  = {4},
  number  = {2--3},
  pages   = {115--158},
  doi     = {10.1016/S0927-5398(97)00004-2}
}

@article{Andersen1998,
  author  = {Andersen, Torben G. and Bollerslev, Tim},
  title   = {Deutsche Mark--Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies},
  journal = {Journal of Finance},
  year    = {1998},
  volume  = {53},
  number  = {1},
  pages   = {219--265},
  doi     = {10.1111/0022-1082.85732}
}

@article{Andersen2001,
  author  = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Labys, Paul},
  title   = {The Distribution of Realized Exchange Rate Volatility},
  journal = {Journal of the American Statistical Association},
  year    = {2001},
  volume  = {96},
  number  = {453},
  pages   = {42--55},
  doi     = {10.1198/016214501750332965}
}

@article{Andersen2003,
  author  = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Labys, Paul},
  title   = {Modeling and Forecasting Realized Volatility},
  journal = {Econometrica},
  year    = {2003},
  volume  = {71},
  number  = {2},
  pages   = {579--625},
  doi     = {10.1111/1468-0262.00418}
}

@article{Andersen2007,
  author  = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X.},
  title   = {Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility},
  journal = {Review of Economics and Statistics},
  year    = {2007},
  volume  = {89},
  number  = {4},
  pages   = {701--720},
  doi     = {10.1162/rest.89.4.701}
}

@article{AitSahalia2005,
  author  = {A{\"i}t-Sahalia, Yacine and Mykland, Per A. and Zhang, Lan},
  title   = {How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise},
  journal = {Review of Financial Studies},
  year    = {2005},
  volume  = {18},
  number  = {2},
  pages   = {351--416},
  doi     = {10.1093/rfs/hhi016}
}

@article{BarndorffNielsen2002,
  author  = {Barndorff-Nielsen, Ole E. and Shephard, Neil},
  title   = {Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models},
  journal = {Journal of the Royal Statistical Society: Series B},
  year    = {2002},
  volume  = {64},
  number  = {2},
  pages   = {253--280},
  doi     = {10.1111/1467-9868.00336}
}

@article{Bollerslev2016,
  author  = {Bollerslev, Tim and Patton, Andrew J. and Quaedvlieg, Rogier},
  title   = {Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting},
  journal = {Journal of Econometrics},
  year    = {2016},
  volume  = {192},
  number  = {1},
  pages   = {1--18},
  doi     = {10.1016/j.jeconom.2015.10.007}
}

@article{Corsi2009,
  author  = {Corsi, Fulvio},
  title   = {A Simple Approximate Long-Memory Model of Realized Volatility},
  journal = {Journal of Financial Econometrics},
  year    = {2009},
  volume  = {7},
  number  = {2},
  pages   = {174--196},
  doi     = {10.1093/jjfinec/nbp001}
}

@article{HansenLunde2006,
  author  = {Hansen, Peter R. and Lunde, Asger},
  title   = {Realized Variance and Market Microstructure Noise},
  journal = {Journal of Business \& Economic Statistics},
  year    = {2006},
  volume  = {24},
  number  = {2},
  pages   = {127--161},
  doi     = {10.1198/073500106000000071}
}

@article{Liu2015,
  author  = {Liu, Lily Y. and Patton, Andrew J. and Sheppard, Kevin},
  title   = {Does Anything Beat 5-Minute {RV}? {A} Comparison of Realized Measures Across Multiple Asset Classes},
  journal = {Journal of Econometrics},
  year    = {2015},
  volume  = {187},
  number  = {1},
  pages   = {293--311},
  doi     = {10.1016/j.jeconom.2015.02.008}
}

@article{Zhang2005,
  author  = {Zhang, Lan and Mykland, Per A. and A{\"i}t-Sahalia, Yacine},
  title   = {A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High-Frequency Data},
  journal = {Journal of the American Statistical Association},
  year    = {2005},
  volume  = {100},
  number  = {472},
  pages   = {1394--1411},
  doi     = {10.1198/016214505000000169}
}

% ---------------------------------------------------------------- connectedness
@article{Antonakakis2020,
  author  = {Antonakakis, Nikolaos and Chatziantoniou, Ioannis and Gabauer, David},
  title   = {Refined Measures of Dynamic Connectedness Based on Time-Varying Parameter Vector Autoregressions},
  journal = {Journal of Risk and Financial Management},
  year    = {2020},
  volume  = {13},
  number  = {4},
  pages   = {84},
  doi     = {10.3390/jrfm13040084}
}

@article{Barunik2016,
  author  = {Barun{\'i}k, Jozef and Ko{\v{c}}enda, Ev{\v{z}}en and V{\'a}cha, Luk{\'a}{\v{s}}},
  title   = {Asymmetric Connectedness on the {U.S.} Stock Market: Bad and Good Volatility Spillovers},
  journal = {Journal of Financial Markets},
  year    = {2016},
  volume  = {27},
  pages   = {55--78},
  doi     = {10.1016/j.finmar.2015.09.003}
}

@article{Barunik2017,
  author  = {Barun{\'i}k, Jozef and Ko{\v{c}}enda, Ev{\v{z}}en and V{\'a}cha, Luk{\'a}{\v{s}}},
  title   = {Asymmetric Volatility Connectedness on the Forex Market},
  journal = {Journal of International Money and Finance},
  year    = {2017},
  volume  = {77},
  pages   = {39--56},
  doi     = {10.1016/j.jimonfin.2017.06.003}
}

@article{Barunik2018,
  author  = {Barun{\'i}k, Jozef and K{\v{r}}ehl{\'i}k, Tom{\'a}{\v{s}}},
  title   = {Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk},
  journal = {Journal of Financial Econometrics},
  year    = {2018},
  volume  = {16},
  number  = {2},
  pages   = {271--296},
  doi     = {10.1093/jjfinec/nby001}
}

@article{Demirer2018,
  author  = {Demirer, Mert and Diebold, Francis X. and Liu, Laura and Yilmaz, Kamil},
  title   = {Estimating Global Bank Network Connectedness},
  journal = {Journal of Applied Econometrics},
  year    = {2018},
  volume  = {33},
  number  = {1},
  pages   = {1--15},
  doi     = {10.1002/jae.2585}
}

@article{DieboldYilmaz2009,
  author  = {Diebold, Francis X. and Yilmaz, Kamil},
  title   = {Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets},
  journal = {Economic Journal},
  year    = {2009},
  volume  = {119},
  number  = {534},
  pages   = {158--171},
  doi     = {10.1111/j.1468-0297.2008.02208.x}
}

@article{DieboldYilmaz2012,
  author  = {Diebold, Francis X. and Yilmaz, Kamil},
  title   = {Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers},
  journal = {International Journal of Forecasting},
  year    = {2012},
  volume  = {28},
  number  = {1},
  pages   = {57--66},
  doi     = {10.1016/j.ijforecast.2011.02.006}
}

@article{DieboldYilmaz2014,
  author  = {Diebold, Francis X. and Yilmaz, Kamil},
  title   = {On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms},
  journal = {Journal of Econometrics},
  year    = {2014},
  volume  = {182},
  number  = {1},
  pages   = {119--134},
  doi     = {10.1016/j.jeconom.2014.04.012}
}

@article{DieboldYilmaz2016,
  author  = {Diebold, Francis X. and Yilmaz, Kamil},
  title   = {Trans-Atlantic Equity Volatility Connectedness: {U.S.} and {European} Financial Institutions, 2004--2014},
  journal = {Journal of Financial Econometrics},
  year    = {2016},
  volume  = {14},
  number  = {1},
  pages   = {81--127},
  doi     = {10.1093/jjfinec/nbv021}
}

@article{GreenwoodNimmo2016,
  author  = {Greenwood-Nimmo, Matthew and Nguyen, Viet Hoang and Rafferty, Barry},
  title   = {Risk and Return Spillovers among the {G10} Currencies},
  journal = {Journal of Financial Markets},
  year    = {2016},
  volume  = {31},
  pages   = {43--62},
  doi     = {10.1016/j.finmar.2016.05.001}
}

@article{Koop1996,
  author  = {Koop, Gary and Pesaran, M. Hashem and Potter, Simon M.},
  title   = {Impulse Response Analysis in Nonlinear Multivariate Models},
  journal = {Journal of Econometrics},
  year    = {1996},
  volume  = {74},
  number  = {1},
  pages   = {119--147},
  doi     = {10.1016/0304-4076(95)01753-4}
}

@article{Lastrapes2021,
  author  = {Lastrapes, William D. and Wiesen, Thomas F. P.},
  title   = {The Joint Spillover Index},
  journal = {Economic Modelling},
  year    = {2021},
  volume  = {94},
  pages   = {681--691},
  doi     = {10.1016/j.econmod.2020.02.010}
}

@article{Pesaran1998,
  author  = {Pesaran, M. Hashem and Shin, Yongcheol},
  title   = {Generalized Impulse Response Analysis in Linear Multivariate Models},
  journal = {Economics Letters},
  year    = {1998},
  volume  = {58},
  number  = {1},
  pages   = {17--29},
  doi     = {10.1016/S0165-1765(97)00214-0}
}

% ---------------------------------------------------------------- time-series econometrics
@article{DickeyFuller1979,
  author  = {Dickey, David A. and Fuller, Wayne A.},
  title   = {Distribution of the Estimators for Autoregressive Time Series with a Unit Root},
  journal = {Journal of the American Statistical Association},
  year    = {1979},
  volume  = {74},
  number  = {366},
  pages   = {427--431},
  doi     = {10.2307/2286348}
}

@article{Granger1969,
  author  = {Granger, Clive W. J.},
  title   = {Investigating Causal Relations by Econometric Models and Cross-Spectral Methods},
  journal = {Econometrica},
  year    = {1969},
  volume  = {37},
  number  = {3},
  pages   = {424--438},
  doi     = {10.2307/1912791}
}

@article{Kilian1998,
  author  = {Kilian, Lutz},
  title   = {Small-Sample Confidence Intervals for Impulse Response Functions},
  journal = {Review of Economics and Statistics},
  year    = {1998},
  volume  = {80},
  number  = {2},
  pages   = {218--230},
  doi     = {10.1162/003465398557465}
}

@book{KilianLutkepohl2017,
  author    = {Kilian, Lutz and L{\"u}tkepohl, Helmut},
  title     = {Structural Vector Autoregressive Analysis},
  publisher = {Cambridge University Press},
  address   = {Cambridge},
  year      = {2017},
  doi       = {10.1017/9781108164818}
}

@article{Kwiatkowski1992,
  author  = {Kwiatkowski, Denis and Phillips, Peter C. B. and Schmidt, Peter and Shin, Yongcheol},
  title   = {Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root},
  journal = {Journal of Econometrics},
  year    = {1992},
  volume  = {54},
  number  = {1--3},
  pages   = {159--178},
  doi     = {10.1016/0304-4076(92)90104-Y}
}

@book{Lutkepohl2005,
  author    = {L{\"u}tkepohl, Helmut},
  title     = {New Introduction to Multiple Time Series Analysis},
  publisher = {Springer},
  address   = {Berlin},
  year      = {2005},
  doi       = {10.1007/978-3-540-27752-1}
}

@article{NeweyWest1987,
  author  = {Newey, Whitney K. and West, Kenneth D.},
  title   = {A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix},
  journal = {Econometrica},
  year    = {1987},
  volume  = {55},
  number  = {3},
  pages   = {703--708},
  doi     = {10.2307/1913610}
}

% ---------------------------------------------------------------- volatility transmission, contagion, multivariate GARCH
@article{Ang2002,
  author  = {Ang, Andrew and Bekaert, Geert},
  title   = {International Asset Allocation with Regime Shifts},
  journal = {Review of Financial Studies},
  year    = {2002},
  volume  = {15},
  number  = {4},
  pages   = {1137--1187},
  doi     = {10.1093/rfs/15.4.1137}
}

@article{Baele2005,
  author  = {Baele, Lieven},
  title   = {Volatility Spillover Effects in {European} Equity Markets},
  journal = {Journal of Financial and Quantitative Analysis},
  year    = {2005},
  volume  = {40},
  number  = {2},
  pages   = {373--401},
  doi     = {10.1017/S0022109000002350}
}

@article{Engle2002,
  author  = {Engle, Robert},
  title   = {Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models},
  journal = {Journal of Business \& Economic Statistics},
  year    = {2002},
  volume  = {20},
  number  = {3},
  pages   = {339--350},
  doi     = {10.1198/073500102288618487}
}

@article{Fama1965,
  author  = {Fama, Eugene F.},
  title   = {The Behavior of Stock-Market Prices},
  journal = {Journal of Business},
  year    = {1965},
  volume  = {38},
  number  = {1},
  pages   = {34--105},
  doi     = {10.1086/294743}
}

@article{Forbes2002,
  author  = {Forbes, Kristin J. and Rigobon, Roberto},
  title   = {No Contagion, Only Interdependence: Measuring Stock Market Comovements},
  journal = {Journal of Finance},
  year    = {2002},
  volume  = {57},
  number  = {5},
  pages   = {2223--2261},
  doi     = {10.1111/0022-1082.00494}
}

@article{Hamao1990,
  author  = {Hamao, Yasushi and Masulis, Ronald W. and Ng, Victor},
  title   = {Correlations in Price Changes and Volatility across International Stock Markets},
  journal = {Review of Financial Studies},
  year    = {1990},
  volume  = {3},
  number  = {2},
  pages   = {281--307},
  doi     = {10.1093/rfs/3.2.281}
}

@article{King1990,
  author  = {King, Mervyn A. and Wadhwani, Sushil},
  title   = {Transmission of Volatility between Stock Markets},
  journal = {Review of Financial Studies},
  year    = {1990},
  volume  = {3},
  number  = {1},
  pages   = {5--33},
  doi     = {10.1093/rfs/3.1.5}
}

@article{Lin1994,
  author  = {Lin, Wen-Ling and Engle, Robert F. and Ito, Takatoshi},
  title   = {Do Bulls and Bears Move across Borders? {International} Transmission of Stock Returns and Volatility},
  journal = {Review of Financial Studies},
  year    = {1994},
  volume  = {7},
  number  = {3},
  pages   = {507--538},
  doi     = {10.1093/rfs/7.3.507}
}

@article{Longin2001,
  author  = {Longin, Fran{\c{c}}ois and Solnik, Bruno},
  title   = {Extreme Correlation of International Equity Markets},
  journal = {Journal of Finance},
  year    = {2001},
  volume  = {56},
  number  = {2},
  pages   = {649--676},
  doi     = {10.1111/0022-1082.00340}
}

@article{Mandelbrot1963,
  author  = {Mandelbrot, Benoit},
  title   = {The Variation of Certain Speculative Prices},
  journal = {Journal of Business},
  year    = {1963},
  volume  = {36},
  number  = {4},
  pages   = {394--419},
  doi     = {10.1086/294632}
}

% ---------------------------------------------------------------- FX, commodities, VIX
@article{Arouri2011,
  author  = {Arouri, Mohamed El Hedi and Jouini, Jamel and Nguyen, Duc Khuong},
  title   = {Volatility Spillovers between Oil Prices and Stock Sector Returns: Implications for Portfolio Management},
  journal = {Journal of International Money and Finance},
  year    = {2011},
  volume  = {30},
  number  = {7},
  pages   = {1387--1405},
  doi     = {10.1016/j.jimonfin.2011.07.008}
}

@article{Baur2010,
  author  = {Baur, Dirk G. and Lucey, Brian M.},
  title   = {Is Gold a Hedge or a Safe Haven? {An} Analysis of Stocks, Bonds and Gold},
  journal = {Financial Review},
  year    = {2010},
  volume  = {45},
  number  = {2},
  pages   = {217--229},
  doi     = {10.1111/j.1540-6288.2010.00244.x}
}

@article{BekaertHoerova2014,
  author  = {Bekaert, Geert and Hoerova, Marie},
  title   = {The {VIX}, the Variance Premium and Stock Market Volatility},
  journal = {Journal of Econometrics},
  year    = {2014},
  volume  = {183},
  number  = {2},
  pages   = {181--192},
  doi     = {10.1016/j.jeconom.2014.05.008}
}

@article{Habib2012,
  author  = {Habib, Maurizio M. and Stracca, Livio},
  title   = {Getting beyond Carry Trade: What Makes a Safe Haven Currency?},
  journal = {Journal of International Economics},
  year    = {2012},
  volume  = {87},
  number  = {1},
  pages   = {50--64},
  doi     = {10.1016/j.jinteco.2011.12.005}
}

@article{Kang2017,
  author  = {Kang, Sang Hoon and McIver, Ron and Yoon, Seong-Min},
  title   = {Dynamic Spillover Effects among Crude Oil, Precious Metal, and Agricultural Commodity Futures Markets},
  journal = {Energy Economics},
  year    = {2017},
  volume  = {62},
  pages   = {19--32},
  doi     = {10.1016/j.eneco.2016.12.011}
}

@article{Mensi2013,
  author  = {Mensi, Walid and Beljid, Makram and Boubaker, Adel and Managi, Shunsuke},
  title   = {Correlations and Volatility Spillovers across Commodity and Stock Markets: Linking Energies, Food, and Gold},
  journal = {Economic Modelling},
  year    = {2013},
  volume  = {32},
  pages   = {15--22},
  doi     = {10.1016/j.econmod.2013.01.023}
}

@article{Ranaldo2010,
  author  = {Ranaldo, Angelo and S{\"o}derlind, Paul},
  title   = {Safe Haven Currencies},
  journal = {Review of Finance},
  year    = {2010},
  volume  = {14},
  number  = {3},
  pages   = {385--407},
  doi     = {10.1093/rof/rfq007}
}

@article{Reboredo2013,
  author  = {Reboredo, Juan C.},
  title   = {Is Gold a Safe Haven or a Hedge for the {US} Dollar? {Implications} for Risk Management},
  journal = {Journal of Banking \& Finance},
  year    = {2013},
  volume  = {37},
  number  = {8},
  pages   = {2665--2676},
  doi     = {10.1016/j.jbankfin.2013.03.020}
}

@article{Vivian2012,
  author  = {Vivian, Andrew and Wohar, Mark E.},
  title   = {Commodity Volatility Breaks},
  journal = {Journal of International Financial Markets, Institutions and Money},
  year    = {2012},
  volume  = {22},
  number  = {2},
  pages   = {395--422},
  doi     = {10.1016/j.intfin.2011.12.003}
}

@article{Whaley2009,
  author  = {Whaley, Robert E.},
  title   = {Understanding the {VIX}},
  journal = {Journal of Portfolio Management},
  year    = {2009},
  volume  = {35},
  number  = {3},
  pages   = {98--105},
  doi     = {10.3905/jpm.2009.35.3.098}
}

% ---------------------------------------------------------------- cryptocurrencies
@article{Baur2018,
  author  = {Baur, Dirk G. and Hong, KiHoon and Lee, Adrian D.},
  title   = {Bitcoin: Medium of Exchange or Speculative Assets?},
  journal = {Journal of International Financial Markets, Institutions and Money},
  year    = {2018},
  volume  = {54},
  pages   = {177--189},
  doi     = {10.1016/j.intfin.2017.12.004}
}

@article{Baur2019,
  author  = {Baur, Dirk G. and Cahill, Daniel and Godfrey, Keith and Liu, Zhangxin (Frank)},
  title   = {Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume},
  journal = {Finance Research Letters},
  year    = {2019},
  volume  = {31},
  pages   = {78--92},
  doi     = {10.1016/j.frl.2019.04.023}
}

@article{Bouri2017,
  author  = {Bouri, Elie and Moln{\'a}r, Peter and Azzi, Georges and Roubaud, David and Hagfors, Lars Ivar},
  title   = {On the Hedge and Safe Haven Properties of {Bitcoin}: Is It Really More than a Diversifier?},
  journal = {Finance Research Letters},
  year    = {2017},
  volume  = {20},
  pages   = {192--198},
  doi     = {10.1016/j.frl.2016.09.025}
}

@article{Bouri2020,
  author  = {Bouri, Elie and Shahzad, Syed Jawad Hussain and Roubaud, David and Kristoufek, Ladislav and Lucey, Brian},
  title   = {Bitcoin, Gold, and Commodities as Safe Havens for Stocks: New Insight through Wavelet Analysis},
  journal = {Quarterly Review of Economics and Finance},
  year    = {2020},
  volume  = {77},
  pages   = {156--164},
  doi     = {10.1016/j.qref.2020.03.004}
}

@article{Chaim2018,
  author  = {Chaim, Pedro and Laurini, M{\'a}rcio P.},
  title   = {Volatility and Return Jumps in Bitcoin},
  journal = {Economics Letters},
  year    = {2018},
  volume  = {173},
  pages   = {158--163},
  doi     = {10.1016/j.econlet.2018.10.011}
}

@article{ConlonMcGee2020,
  author  = {Conlon, Thomas and McGee, Richard},
  title   = {Safe Haven or Risky Hazard? {Bitcoin} during the {COVID-19} Bear Market},
  journal = {Finance Research Letters},
  year    = {2020},
  volume  = {35},
  pages   = {101607},
  doi     = {10.1016/j.frl.2020.101607}
}

@article{Corbet2018,
  author  = {Corbet, Shaen and Meegan, Andrew and Larkin, Charles and Lucey, Brian and Yarovaya, Larisa},
  title   = {Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets},
  journal = {Economics Letters},
  year    = {2018},
  volume  = {165},
  pages   = {28--34},
  doi     = {10.1016/j.econlet.2018.01.004}
}

@article{Corbet2020,
  author  = {Corbet, Shaen and Larkin, Charles and Lucey, Brian},
  title   = {The Contagion Effects of the {COVID-19} Pandemic: Evidence from Gold and Cryptocurrencies},
  journal = {Finance Research Letters},
  year    = {2020},
  volume  = {35},
  pages   = {101554},
  doi     = {10.1016/j.frl.2020.101554}
}

@article{Elsayed2022,
  author  = {Elsayed, Ahmed H. and Gozgor, Giray and Lau, Chi Keung Marco},
  title   = {Risk Transmissions between Bitcoin and Traditional Financial Assets during the {COVID-19} Era: The Role of Global Uncertainties},
  journal = {International Review of Financial Analysis},
  year    = {2022},
  volume  = {81},
  pages   = {102069},
  doi     = {10.1016/j.irfa.2022.102069}
}

@article{Eross2019,
  author  = {Eross, Andrea and McGroarty, Frank and Urquhart, Andrew and Wolfe, Simon},
  title   = {The Intraday Dynamics of Bitcoin},
  journal = {Research in International Business and Finance},
  year    = {2019},
  volume  = {49},
  pages   = {71--81},
  doi     = {10.1016/j.ribaf.2019.01.008}
}

@techreport{Iyer2022,
  author      = {Iyer, Tara},
  title       = {Cryptic Connections: Spillovers between Crypto and Equity Markets},
  institution = {International Monetary Fund},
  type        = {Global Financial Stability Notes},
  number      = {2022/001},
  year        = {2022},
  doi         = {10.5089/9781616358068.065}
}

@article{Ji2019a,
  author  = {Ji, Qiang and Bouri, Elie and Lau, Chi Keung Marco and Roubaud, David},
  title   = {Dynamic Connectedness and Integration in Cryptocurrency Markets},
  journal = {International Review of Financial Analysis},
  year    = {2019},
  volume  = {63},
  pages   = {257--272},
  doi     = {10.1016/j.irfa.2018.12.002}
}

@article{Ji2019b,
  author  = {Ji, Qiang and Bouri, Elie and Roubaud, David and Kristoufek, Ladislav},
  title   = {Information Interdependence among Energy, Cryptocurrency and Major Commodity Markets},
  journal = {Energy Economics},
  year    = {2019},
  volume  = {81},
  pages   = {1042--1055},
  doi     = {10.1016/j.eneco.2019.06.005}
}

@article{Katsiampa2017,
  author  = {Katsiampa, Paraskevi},
  title   = {Volatility Estimation for {Bitcoin}: A Comparison of {GARCH} Models},
  journal = {Economics Letters},
  year    = {2017},
  volume  = {158},
  pages   = {3--6},
  doi     = {10.1016/j.econlet.2017.06.023}
}

@article{Makarov2020,
  author  = {Makarov, Igor and Schoar, Antoinette},
  title   = {Trading and Arbitrage in Cryptocurrency Markets},
  journal = {Journal of Financial Economics},
  year    = {2020},
  volume  = {135},
  number  = {2},
  pages   = {293--319},
  doi     = {10.1016/j.jfineco.2019.07.001}
}

@article{Yousaf2023,
  author  = {Yousaf, Imran and Pham, Linh and Goodell, John W.},
  title   = {The Connectedness between Meme Tokens, Meme Stocks, and Other Asset Classes: Evidence from a Quantile Connectedness Approach},
  journal = {Journal of International Financial Markets, Institutions and Money},
  year    = {2023},
  volume  = {82},
  pages   = {101694},
  doi     = {10.1016/j.intfin.2022.101694}
}

% ---------------------------------------------------------------- intraday patterns in equities
@article{Harris1986,
  author  = {Harris, Lawrence},
  title   = {A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns},
  journal = {Journal of Financial Economics},
  year    = {1986},
  volume  = {16},
  number  = {1},
  pages   = {99--117},
  doi     = {10.1016/0304-405X(86)90044-9}
}

@article{Wood1985,
  author  = {Wood, Robert A. and McInish, Thomas H. and Ord, J. Keith},
  title   = {An Investigation of Transactions Data for {NYSE} Stocks},
  journal = {Journal of Finance},
  year    = {1985},
  volume  = {40},
  number  = {3},
  pages   = {723--739},
  doi     = {10.1111/j.1540-6261.1985.tb04996.x}
}