Return, volatility and shock spillovers of Bitcoin with energy and technology companies

Symitsi, Efthymia and Chalvatzis, Konstantinos J. (2018) Return, volatility and shock spillovers of Bitcoin with energy and technology companies. Economics Letters, 170. pp. 127-130. ISSN 0165-1765

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Abstract

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.

Item Type: Article
Uncontrolled Keywords: bitcoin,energy,technology,spillovers,multivariate garch
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Depositing User: LivePure Connector
Date Deposited: 27 Jun 2018 14:30
Last Modified: 16 May 2020 00:01
URI: https://ueaeprints.uea.ac.uk/id/eprint/67476
DOI: 10.1016/j.econlet.2018.06.012

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