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This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show that the connectedness is 23.49%, indicating a low level...
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We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, we propose a new model involving a multi-dimensional scaled Brownian bridge that is stopped before price convergence....
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