Return, volatility and shock spillovers of Bitcoin with energy and technology companies
By Efthymia Symitsi, Konstantinos Chalvatzis. Economics Letters, 2018
184 citations recorded by the source corpus.
We employ an asymmetric multivariate VAR-GARCH model to study spillover effects between Bitcoin and energy and technology companies. We find unilateral return and volatility spillovers and bidirectional shock influences and demonstrate portfolio management implications of dynamic conditional correlations.
Subfields: Economics and Econometrics, Information Systems, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/04a959ec5322f19902defe339d84d309c69cb669
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- David Gabauer
- Ioannis Chatziantoniou
- Nikolaos Antonakakis
- Aytaç Altan
- Seçkin Karasu
- Stelios D. Bekiros
- George Filis
- Rangan Gupta
In Information Systems
- David Gabauer
- Ioannis Chatziantoniou
- Stelios D. Bekiros
- Aytaç Altan
- Seçkin Karasu
- Nikolaos Antonakakis
In Renewable Energy, Sustainability and the Environment
- David Gabauer
- Nikolaos Antonakakis
- Ioannis Chatziantoniou
- Stelios D. Bekiros
- Aytaç Altan
- Seçkin Karasu
- George Filis
- Stavros Degiannakis *
Citations in the corpus
- Digital currency forecasting with chaotic meta-heuristic bio-inspired signal processing techniques (2019, methodology): “Introducing of new cryptocurrencies and verification of transactions by decoding of crypto-puzzles are realized by blockchain technology [5].”
- Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios (2019, background): “On a parallel note, Symitsi and Chalvatzis (2018) show that shares of technology companies affect Bitcoin in the short run, whereas, Bitcoin has a lagged impact both on fossil fuel and clean-energy companies.”
- The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks (2019, unknown): “pendencies (e.g., Ciaian et al., 2018; Corbet et al., 2018; Symitsi and Chalvatzis, 2018), and market inefficiencies of cryptocurrencies (e.”