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On the hedge and safe haven properties of Bitcoin : is it really more than a diversifier?
Bouri, Elie; Molnár, Peter; Azzi, Georges; Roubaud, David - In: Finance research letters 20 (2017), pp. 192-198
Persistent link: https://www.econbiz.de/10011806908
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Bitcoin for Energy Commodities Before and After the December 2013 Crash : Diversifier, Hedge or Safe Haven?
Bouri, Elie - 2017
We study the relationship between Bitcoin and commodities by assessing the ability of Bitcoin to act as a diversifier, hedge, or safe haven against daily movements in commodities in general, and energy commodities in particular. We focus on energy commodities because energy, in the form of...
Persistent link: https://www.econbiz.de/10012961939
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Bitcoin for energy commodities before and after the December 2013 crash : diversifier, hedge or safe haven?
Bouri, Elie; Jalkh, Naji; Molnár, Peter; Roubaud, David - In: Applied economics 49 (2017) 50, pp. 5063-5073
Persistent link: https://www.econbiz.de/10011844889
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On the return-volatility relationship in the Bitcoin market around the price crash of 2013
Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - 2016
The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. They test if...
Persistent link: https://www.econbiz.de/10011539994
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On the dynamic transmission of mean and volatility across the Arab stock markets
Bouri, Elie; Azzi, Georges - In: Journal of emerging market finance 13 (2014) 3, pp. 279-304
Persistent link: https://www.econbiz.de/10010492029
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On the return-volatility relationship in the Bitcoin market around the price crash of 2013
Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - 2017
The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in US dollar. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. The authors test if there...
Persistent link: https://www.econbiz.de/10011600035
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On the Return-Volatility Relationship in the Bitcoin Market around the Price Crash of 2013
Bouri, Elie - 2017
We examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. We test if there is a...
Persistent link: https://www.econbiz.de/10012967432
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On the return-volatility relationship in the Bitcoin market around the price crash of 2013
Bouri, Elie; Azzi, Georges; Haubo Dyhrberg, Anne - 2016
The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. They test if...
Persistent link: https://www.econbiz.de/10011540702
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On the return-volatility relationship in the Bitcoin market around the price crash of 2013
Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - In: Economics: The Open-Access, Open-Assessment E-Journal 11 (2017) 2017-2, pp. 1-16
The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in US dollar. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. The authors test if there...
Persistent link: https://www.econbiz.de/10011600316
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On the Dynamic Transmission of Mean and Volatility across the Arab Stock Markets
Bouri, Elie; Azzi, Georges - In: Journal of Emerging Market Finance 13 (2014) 3, pp. 279-304
This article applies a multivariate model to uncover the dynamic mean and volatility interdependence across the markets of Morocco, Tunisia, Egypt, Lebanon, Jordan, Kuwait, Bahrain, Qatar, United Arabic Emirates (UAE), Saudi Arabia and Oman from June 2005 to January 2012. Results show that the...
Persistent link: https://www.econbiz.de/10011099951