Tail dependence between bitcoin and green financial assets
Muhammad Naeem,Sitara Karim +1 more
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TLDR
In this paper, the authors utilize the time-varying optimal copula (TVOC) approach to showcase the dependence structure between bitcoin and green financial assets, and find multiple tail-dependence regimes characterize the extreme dependence between Bitcoin and green assets.About:
This article is published in Economics Letters.The article was published on 2021-11-01 and is currently open access. It has received 120 citations till now. The article focuses on the topics: Tail dependence.read more
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Quantifying the hedge and safe-haven properties of bond markets for cryptocurrency indices
TL;DR: In this article , the authors quantified the hedge and safe haven features of bond markets for multiple cryptocurrency indices from June 2014 to April 2021 to highlight whether bond markets offer hedging facilities to uncertainty indices of cryptocurrencies.
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Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies
TL;DR: In this article , the authors examined the extreme risk transmission of blockchain markets using the quantile connectedness technique at the median, extreme low, and extreme high volatility conditions and found significant risk spillovers among blockchain markets with strong disconnection of NFTs.
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Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?
Sitara Karim,Muhammad Naeem +1 more
TL;DR: In this article , the authors examined the connectedness among green, Islamic and conventional financial markets from December 2008 to May 2021, and the impact of global factors on connectedness of given financial markets is also observed.
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A tale of two tails among carbon prices, green and non-green cryptocurrencies
TL;DR: In this article , the authors studied the tail dependence among carbon prices, green and non-green cryptocurrencies and found that carbon prices are largely disconnected from cryptocurrencies during periods of low volatilities, while Bitcoin and Ethereum exhibit time-varying spillovers to other markets.
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A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies
Boru Ren,Brian M. Lucey +1 more
TL;DR: In this article , the authors investigated the hedge and safe haven property of a wide range of clean energy indices against two distinct types of cryptocurrencies based on their energy consumption levels, termed "dirty" and "clean".
References
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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.
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Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆
TL;DR: In this paper, a rolling window analysis is used to construct out-of-sample one-step-ahead forecasts of dynamic conditional correlations and optimal hedge ratios for emerging market stock prices.
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Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH
Syed Abul Basher,Sadorsky Perry +1 more
TL;DR: In this paper, a rolling window analysis is used to construct out-of-sample onestep-ahead forecasts of dynamic conditional correlations and optimal hedge ratios for emerging market stock prices.
Journal ArticleDOI
Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
TL;DR: It is found that these 52 cryptocurrencies are tightly interconnected and “mega-cap” cryptocurrencies are more likely to propagate volatility shocks to others and some unnoticeable cryptocurrencies are also significant net-transmitters of volatility connectedness and have larger contribution of volatility spillovers to others.