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Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance
Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018
Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold … variance properties of Bitcoin and Gold as well as other assets and nd differences in their structure. Secondly, we implement a … BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …
Persistent link: https://www.econbiz.de/10011906446
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Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
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Higher moment connectedness of cryptocurrencies : a time-frequency approach
Nyakurukwa, Kingstone; Seetharam, Yudhvir - In: Journal of economics and finance : JEF 47 (2023) 3, pp. 793-814
Persistent link: https://www.econbiz.de/10014380684
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Performance of crypto-Forex portfolios based on intraday data
Esparcia, Carlos; López, Raquel - In: Research in international business and finance 69 (2024), pp. 1-32
Persistent link: https://www.econbiz.de/10015052354
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Volatile safe-haven asset : evidence from Bitcoin
Yae, James; Tian, George Zhe - In: Journal of financial stability 73 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015081182
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Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach
Trucíos, Carlos; Tiwari, Aviral Kumar; Alqahtani, Faisal - In: Applied economics 52 (2020) 24, pp. 2580-2593
Persistent link: https://www.econbiz.de/10012210957
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Hedging Bitcoin with conventional assets
Nekhili, Ramzi; Sultan, Jahangir - In: Borsa Istanbul Review 22 (2022) 4, pp. 641-652
The recent 50% drop in the price of the flagship cryptocurrency Bitcoin reinforces the persistent anxiety among … cryptocurrency investors. Can alternative assets hedge Bitcoin risk? This study investigates the ability of equities, commodities …, bonds, currencies, and VIX futures to hedge Bitcoin. Our in-sample analysis shows that the USDX, Gilt, Australian dollars …
Persistent link: https://www.econbiz.de/10013334846
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Regime-switching angular correlation diversification
Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10014234140
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Return and volatility spillovers between South African and Nigerian equity markets
Bonga-Bonga, Lumengo; Phume, Maphelane Palesa - In: African journal of economic and management studies 13 (2022) 2, pp. 205-218
Persistent link: https://www.econbiz.de/10013279227
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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365