Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets

Corbet, S., Katsiampa, P. orcid.org/0000-0003-0477-6503 and Lau, C.K.M. (2020) Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets. International Review of Financial Analysis, 71. 101571. ISSN 1057-5219

Abstract

Metadata

Authors/Creators:
Copyright, Publisher and Additional Information: © 2020 The Authors. Published by Elsevier Inc. This is an Open Access article distributed under the terms of the Creative Commons Attribution Licence (http://creativecommons.org/licenses/by/4.0).
Keywords: Bitcoin; Cryptocurrency; Granger causality in distribution; Quantile dependence; Directional predictability; Cross-quantilogram
Dates:
  • Accepted: 21 July 2020
  • Published (online): 9 September 2020
  • Published: October 2020
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Symplectic Sheffield
Date Deposited: 13 Oct 2020 09:38
Last Modified: 27 Jan 2022 10:44
Status: Published
Publisher: Elsevier
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.irfa.2020.101571

Share / Export

Statistics