Journal ArticleDOI
Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold
TLDR
In this paper, the authors assess the roles of Bitcoin as a hedge, a safe haven and/or a diversifier against extreme oil price movements, in comparison to the corresponding roles of gold.About:
This article is published in Energy Economics.The article was published on 2018-08-01. It has received 314 citations till now. The article focuses on the topics: Downside risk.read more
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Cryptocurrencies as a financial asset: A systematic analysis
TL;DR: A systematic review of the empirical literature based on the major topics that have been associated with the market for cryptocurrencies since their development as a financial asset in 2009 is presented in this article, where the authors provide a systematic analysis of the main topics that influence the perception of cryptocurrencies as a credible investment asset class and legitimate of value.
Journal ArticleDOI
Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis
John W. Goodell,Stéphane Goutte +1 more
TL;DR: In this article, the authors apply wavelet methods to daily data of COVID-19 world deaths and daily Bitcoin prices from 31th December 2019 to 29th April 2020, and find, especially for the period post April 5, that levels of CO VID-19 caused a rise in Bitcoin prices.
Journal ArticleDOI
A novel cryptocurrency price trend forecasting model based on LightGBM
TL;DR: Results show that the robustness of the LightGBM model is better than the other methods, and the comprehensive strength of the cryptocurrencies impacts the forecasting performance.
Journal ArticleDOI
Is gold a hedge or a safe-haven asset in the COVID–19 crisis?
TL;DR: This article examined the role of gold as a hedge or safe-haven asset in different phases of the COVID-19 pandemic crisis, corresponding to the timing of fiscal and monetary stimuli to support the weakened economy.
Journal ArticleDOI
Does gold or Bitcoin hedge economic policy uncertainty
TL;DR: In this article, the hedge and safe-haven properties of gold and Bitcoin via GARCH model and quantile regression with dummy variables were investigated. And they found that neither gold nor Bitcoin can serve as a strong hedge or safe-avenging for economic policy uncertainty (EPU) at the average condition.
References
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Journal ArticleDOI
Regression and time series model selection in small samples
TL;DR: In this article, a bias correction to the Akaike information criterion, called AICC, is derived for regression and autoregressive time series models, which is of particular use when the sample size is small, or when the number of fitted parameters is a moderate to large fraction of the sample sample size.
Journal ArticleDOI
Estimating and testing linear models with multiple structural changes
Jushan Bai,Pierre Perron +1 more
TL;DR: In this article, the authors developed the statistical theory for testing and estimating multiple change points in regression models, and several test statistics were proposed to determine the existence as well as the number of change points.
Journal ArticleDOI
Measuring Economic Policy Uncertainty
TL;DR: The authors developed a new index of economic policy uncertainty based on newspaper coverage frequency and found that policy uncertainty spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of Lehman Brothers, the 2011 debt ceiling dispute and other major battles over fiscal policy.
Journal ArticleDOI
Computation and analysis of multiple structural change models
Jushan Bai,Pierre Perron +1 more
TL;DR: In this paper, the problem of estimating the break dates and the number of breaks in a linear model with multiple structural changes has been considered and an efficient algorithm based on the principle of dynamic programming has been proposed.
Posted Content
Computation and Analysis of Multiple Structural-Change Models
Jushan Bai,Pierre Perron +1 more
TL;DR: In this paper, the problem of estimating the number of break dates in a linear model with multiple structural changes has been studied and an efficient algorithm to obtain global minimizers of the sum of squared residuals has been proposed.