Testing for Asymmetric Nonlinear Short- and Long-Run Relationships between Bitcoin, Aggregate Commodity and Gold Prices
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- Bouri, Elie & Gupta, Rangan & Lahiani, Amine & Shahbaz, Muhammad, 2018. "Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices," Resources Policy, Elsevier, vol. 57(C), pages 224-235.
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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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-09-03 (All new papers)
- NEP-MAC-2017-09-03 (Macroeconomics)
- NEP-PAY-2017-09-03 (Payment Systems & Financial Technology)
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