Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying

In this study, we analyze the properties of Bitcoin as a diversifier asset and hedge asset against the movement of international market stock indices: S&P500 (US), STOXX50 (EU), NIKKEI (Japan), CSI300 (Shanghai), and HSI (Hong Kong). For this, we use several copula models: Gaussian, Student-t, C...

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Detalles Bibliográficos
Autores principales: Garcia-Jorcano, Laura, Benito, Sonia
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7395826/
https://www.ncbi.nlm.nih.gov/pubmed/34173407
http://dx.doi.org/10.1016/j.ribaf.2020.101300

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7395826/
https://www.ncbi.nlm.nih.gov/pubmed/34173407
http://dx.doi.org/10.1016/j.ribaf.2020.101300

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