Spillovers between Bitcoin and other Assets during Bear and Bull Markets
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- Elie Bouri & Mahamitra Das & Rangan Gupta & David Roubaud, 2018. "Spillovers between Bitcoin and other assets during bear and bull markets," Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5935-5949, November.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kazeem Isah & Ibrahim D. Raheem, 2018. "The Hidden Predictive Power of Cryptocurrencies: Evidence from US Stock Market," Working Papers 056, Centre for Econometric and Allied Research, University of Ibadan.
- Zhou, Siwen, 2018. "Exploring the Driving Forces of the Bitcoin Exchange Rate Dynamics: An EGARCH Approach," MPRA Paper 89445, University Library of Munich, Germany.
- Afees A. Salisu & Lateef O. Akanni & Rasheed O. Azeez, 2018. "Could this be a fiction? Bitcoin forecasts most tradable currency pairs better than ARFIMA," Working Papers 051, Centre for Econometric and Allied Research, University of Ibadan.
More about this item
KeywordsBitcoin; asset classes; return and volatility spillovers; asymmetry; smooth transition; bivariate GARCH-M;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2018-03-12 (All new papers)
- NEP-FMK-2018-03-12 (Financial Markets)
- NEP-PAY-2018-03-12 (Payment Systems & Financial Technology)
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