Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles
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More about this item
KeywordsBitcoin; global financial stress index; dependence; copula; quantiles;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-07-02 (All new papers)
- NEP-PAY-2017-07-02 (Payment Systems & Financial Technology)
- NEP-RMG-2017-07-02 (Risk Management)
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