Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors
Tóm tắt
Từ khóa
Tài liệu tham khảo
Abuzayed, 2018, Long range dependence in an emerging stock market's sectors: volatility modelling and var forecasting, Appl. Econ., 50, 2569, 10.1080/00036846.2017.1403559
Adams, 2017, Are correlations constant? Empirical and theoretical results on popular correlation models in finance, J. Bank. Financ., 84, 9, 10.1016/j.jbankfin.2017.07.003
Arouri, 2012, Oil prices and stock markets in gcc countries: empirical evidence from panel analysis, Int. J. Financ. Econ., 17, 242, 10.1002/ijfe.443
Bai, 2003, Computation and analysis of multiple structural change models, J. Appl. Econom., 18, 1, 10.1002/jae.659
Balcilar, 2015, Are there long-run diversification gains from the dow jones islamic finance index?, Appl. Econ. Lett., 22, 945, 10.1080/13504851.2014.990613
Balli, 2013, Sectoral equity returns and portfolio diversification opportunities across the gcc region, J. Int. Financ. Mark. Inst. Money, 25, 33, 10.1016/j.intfin.2013.01.001
Baumhl, 2018, Are cryptocurrencies connected to forex? A quantile cross-spectral approach, Financ. Res. Lett.
Baur, 2018, Bitcoin: medium of exchange or speculative assets?, J. Int. Financ. Mark. Inst. Money, 54, 177, 10.1016/j.intfin.2017.12.004
Benlagha, 2014, Dependence structure between nominal and index-linked bond returns: a bivariate copula and DCC-GARCH approach, Appl. Econ., 46, 3849, 10.1080/00036846.2014.943886
Berger, 2011, International diversification with frontier markets, J. Financ. Econ., 101, 227, 10.1016/j.jfineco.2011.02.009
Bhme, 2015, Bitcoin: economics, technology, and governance, J. Econ. Perspect., 29, 213, 10.1257/jep.29.2.213
Bouoiyour, 2015, What does bitcoin look like?, Ann. Econ. Finance, 16, 449
Bouri, 2017, On the hedge and safe haven properties of Bitcoin: is it really more than a diversifier?, Financ. Res. Lett., 20, 192, 10.1016/j.frl.2016.09.025
Bouri, 2017, Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?, Appl. Econ., 49, 5063
Brauneis, 2018, Price discovery of cryptocurrencies: bitcoin and beyond, Econ. Lett., 165, 58, 10.1016/j.econlet.2018.02.001
Brire, 2015, Virtual currency, tangible return: portfolio diversification with bitcoin, J. Asset Manag., 16, 365, 10.1057/jam.2015.5
Cappiello, 2006, Asymmetric dynamics in the correlations of global equity and bond returns, J. Financ. Econom., 4, 537, 10.1093/jjfinec/nbl005
Charfeddine, 2016, Breaks or long range dependence in the energy futures volatility: out-of-sample forecasting and var analysis, Econ. Modell., 53, 354, 10.1016/j.econmod.2015.12.009
Charfeddine, 2016, A time-varying copula approach for modelling dependency: new evidence from commodity and stock markets, J. Multinatl. Financ. Manag., 3738, 168, 10.1016/j.mulfin.2016.10.003
Charfeddine, 2019, Are shocks on the returns and volatility of cryptocurrencies really persistent?, Financ. Res. Lett., 28, 423, 10.1016/j.frl.2018.06.017
Charles, 2019, Volatility estimation for bitcoin: replication and robustness, Int. Econ., 157, 23, 10.1016/j.inteco.2018.06.004
Cherubini, 2004
Chollete, 2011, International diversification: a copula approach, J. Bank. Financ., 35, 403, 10.1016/j.jbankfin.2010.08.020
Ciaian, 2016, The economics of BitCoin price formation, Appl. Econ., 48, 1799, 10.1080/00036846.2015.1109038
Ciaian, 2018, Virtual relationships: short- and long-run evidence from bitcoin and altcoin markets, J. Int. Financ. Mark. Inst. Money, 52, 173, 10.1016/j.intfin.2017.11.001
Cont, 2001, Empirical properties of asset returns: stylized facts and statistical issues, Quant. Finance, 1, 223, 10.1080/713665670
Corbet, 2018, Exploring the dynamic relationships between cryptocurrencies and other financial assets, Econ. Lett., 165, 28, 10.1016/j.econlet.2018.01.004
Dowd, 2015, Bitcoin will bite the dust, Cato J., 35, 357
Dyhrberg, 2016, Hedging capabilities of bitcoin. Is it the virtual gold?, Financ. Res. Lett., 16, 139, 10.1016/j.frl.2015.10.025
Engle, 2002, Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models, J. Bus. Econ. Stat., 20, 339, 10.1198/073500102288618487
Engle, 1995, Multivariate simultaneous generalized arch, Econom. Theor., 11, 122, 10.1017/S0266466600009063
European Central Bank, 2015
Fang, 2019, Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?, Int. Rev. Financ. Anal., 61, 29, 10.1016/j.irfa.2018.12.010
Feng, 2018, Can cryptocurrencies be a safe haven: a tail risk perspective analysis, Appl. Econ., 50, 4745, 10.1080/00036846.2018.1466993
Ftiti, 2018, What can we learn about the real exchange rate behavior in the case of a peripheral country?, J. Quant. Econ., 16, 681, 10.1007/s40953-017-0098-z
Garcia, 2015, Social signals and algorithmic trading of bitcoin, R. Soc. Open Sci., 2, 1, 10.1098/rsos.150288
Grgoire, 2008, Using copulas to model price dependence in energy markets, Energy Risk, 5, 62
Grundke, 2012, Crisis and risk dependencies, Eur. J. Oper. Res., 223, 518, 10.1016/j.ejor.2012.06.024
Guesmi, 2018, Portfolio diversification with virtual currency: evidence from bitcoin, Int. Rev. Financ. Anal.
International Monetary Fund, 2018
Jawadi, 2017, Assessing efficiency and investment opportunities in commodities: a time series and portfolio simulations approach, Econ. Modell., 64, 567, 10.1016/j.econmod.2017.04.021
Ji, 2018, Network causality structures among Bitcoin and other financial assets: a directed acyclic graph approach, Q. Rev. Econ. Finance, 70, 203, 10.1016/j.qref.2018.05.016
Kajtazi, 2018, The role of bitcoin in well diversified portfolios: a comparative global study, Int. Rev. Financ. Anal., 2011, 1
Klein, 2018, Bitcoin is not the New Gold a comparison of volatility, correlation, and portfolio performance, Int. Rev. Financ. Anal., 59, 105, 10.1016/j.irfa.2018.07.010
Kristoufek, 2013, BitCoin meets Google Trends and Wikipedia: quantifying the relationship between phenomena of the Internet era, Sci. Rep., 3, 3415, 10.1038/srep03415
Kristoufek, 2015, What are the main drivers of the bitcoin price? Evidence from wavelet coherence analysis, PLoS One, 10, 1, 10.1371/journal.pone.0123923
Kroner, 1998, Modeling asymmetric comovements of asset returns, Rev. Financ. Stud., 11, 817, 10.1093/rfs/11.4.817
Kroner, 1993, Time-varying distributions and dynamic hedging with foreign currency futures, J. Financ. Quant. Anal., 28, 535, 10.2307/2331164
Longin, 2001, Extreme correlation of international equity markets, J. Financ., 56, 649, 10.1111/0022-1082.00340
McNeil, 2015
Mimouni, 2016, Do oil producing countries offer international diversification benefits? evidence from gcc countries, Econ. Modell., 57, 263, 10.1016/j.econmod.2016.05.001
Narayan, 2014, Stock market integration of emerging asian economies, patterns and causes, Econ. Modell., 39, 19, 10.1016/j.econmod.2014.02.012
Patton, 2006, Modelling asymmetric exchange rate dependence, Int. Econ. Rev., 47, 527, 10.1111/j.1468-2354.2006.00387.x
Platanakis, 2018, Optimal vs nave diversification in cryptocurrencies, Econ. Lett., 171, 93, 10.1016/j.econlet.2018.07.020
Selmi, 2018, Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold, Energy Econ., 74, 787, 10.1016/j.eneco.2018.07.007
Shahzad, 2019
Sim, 2015, Oil prices, us stock return, and the dependence between their quantiles, J. Bank. Financ., 55, 1, 10.1016/j.jbankfin.2015.01.013
Sklar, 1959, vol. 8, 229
Symitsi, 2018, Return, volatility and shock spillovers of bitcoin with energy and technology companies, Econ. Lett., 170, 127, 10.1016/j.econlet.2018.06.012
Tiwari, 2018, Informational efficiency of Bitcoin - an extension, Econ. Lett., 163, 106, 10.1016/j.econlet.2017.12.006
Tse, 1998, The conditional heteroscedasticity of the yen-dollar exchange rate, J. Appl. Econom., 13, 49, 10.1002/(SICI)1099-1255(199801/02)13:1<49::AID-JAE459>3.0.CO;2-O
Wei, 2018, Multifractal detrended cross-correlation analysis of the return volume relationship of bitcoin market, Complexity