Trabelsi, Nader - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-17
In the present paper, we investigate connectedness within cryptocurrency markets as well as across the Bitcoin index (hereafter, BPI) and widely traded asset classes such as traditional currencies, stock market indices and commodities, such as gold and Brent oil. A spill over index approach with...