Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices
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- Elie Bouri & Rangan Gupta & Amine Lahiani & Muhammad Shahbaz, 2017. "Testing for Asymmetric Nonlinear Short- and Long-Run Relationships between Bitcoin, Aggregate Commodity and Gold Prices," Working Papers 201760, University of Pretoria, Department of Economics.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Afees A. Salisu & Wasiu Adekunle & Zachariah Emmanuel & Wasiu A. Alimi, 2018. "Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries," Working Papers 055, Centre for Econometric and Allied Research, University of Ibadan.
More about this item
KeywordsCointegration; Asymmetry; Nonlinearity; Quantile dependence; Bitcoin; Commodity; Gold;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
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