On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?
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TLDR
This paper used a dynamic conditional correlation model to examine whether Bitcoin can act as a hedge and safe haven for major world stock indices, bonds, oil, gold, the general commodity index and the US dollar index.About:
This article is published in Finance Research Letters.The article was published on 2017-02-01 and is currently open access. It has received 854 citations till now. The article focuses on the topics: Hedge (finance) & Cryptocurrency.read more
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Exploring the dynamic relationships between cryptocurrencies and other financial assets
TL;DR: In this article, the authors analyse the relationship between three popular cryptocurrencies and a variety of other financial assets and find evidence of the relative isolation of these assets from the financial and economic assets.
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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
The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies
Shaen Corbet,Shaen Corbet,Charles James Larkin,Charles James Larkin,Brian M. Lucey,Brian M. Lucey,Brian M. Lucey +6 more
TL;DR: In this article, the volatility relationship between the main Chinese stock markets and Bitcoin evolved significantly during this period of enormous financial stress, and the authors provided a number of observations as to why this situation occurred.
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Can volume predict Bitcoin returns and volatility? A quantiles-based approach
TL;DR: In this article, a non-parametric causality-in-quantiles test was employed to analyse the causal relation between trading volume and Bitcoin returns and volatility, over the whole of their respective conditional distributions.
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Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance
TL;DR: In this paper, the authors compared the conditional variance properties of Bitcoin and gold as well as other assets and found differences in their structure and concluded that Bitcoin and Gold feature fundamentally different properties as assets and linkages to equity markets.
References
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Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation models is proposed, which have the flexibility of univariate generalized autoregressive conditional heteroskedasticity (GARCH) models coupled with parsimonious parametric models for the correlations.
Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models - eScholarship
TL;DR: In this paper, a new class of multivariate models called dynamic conditional correlation (DCC) models is proposed, which have the flexibility of univariate GARCH models coupled with parsimonious parametric models for the correlations.
Journal ArticleDOI
Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
Dirk G. Baur,Brian M. Lucey +1 more
TL;DR: In this article, constant and time-varying relations between U.S., U.K. and German stock and bond returns and gold returns were investigated to investigate gold as a hedge and a safe haven.
Journal ArticleDOI
Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold
TL;DR: In this paper, the authors investigated the relationship between stocks, bonds and gold and found that gold is a hedge against stocks on average and a safe haven in extreme stock market conditions.
Journal ArticleDOI
Dynamic conditional correlation - a simple class of multivariate garch models
Robert F. Engle,Robert F. Engle +1 more
TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation (DCC) models is proposed, which have the flexibility of univariate GARCH models coupled with parsimonious parametric models for the correlations.
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