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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2020
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| Materias: | |
| 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 |