Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps
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DOI: 10.1016/j.frl.2022.103201
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- Umar, Zaghum & Usman, Muhammad & Choi, Sun-Yong & Rice, John, 2023. "Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios," Research in International Business and Finance, Elsevier, vol. 65(C).
- Elie Bouri & Afees A. Salisu & Rangan Gupta, 2023. "The predictive power of Bitcoin prices for the realized volatility of US stock sector returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
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More about this item
Keywords
Block chain and crypto-exposed companies; Cryptocurrencies; Jumps and co-jumps; GARCH-based model; COVID-19 outbreak;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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