Article ID Journal Published Year Pages File Type
7348783 Economics Letters 2018 4 Pages PDF
Abstract
We employ an asymmetric multivariate VAR-GARCH model to study spillover effects between Bitcoin and energy and technology companies. We find unilateral return and volatility spillovers and bidirectional shock influences and demonstrate portfolio management implications of dynamic conditional correlations.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Return, volatility and shock spillovers of Bitcoin with energy and technology companies
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