Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies

Rehman, M.U., Katsiampa, P. orcid.org/0000-0003-0477-6503, Zeitun, R. et al. (1 more author) (2022) Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies. Emerging Markets Review. 100966. ISSN 1566-0141

Abstract

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Authors/Creators:
Copyright, Publisher and Additional Information: © 2022 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND licence (http://creativecommons.org/licenses/by-nc-nd/4.0/).
Keywords: Bitcoin; Exchange rates; Dependence structure; Risk spillovers; Copula; Delta CoVaR
Dates:
  • Accepted: 27 September 2022
  • Published (online): 5 October 2022
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield)
Depositing User: Symplectic Sheffield
Date Deposited: 10 Nov 2022 09:53
Last Modified: 10 Nov 2022 09:53
Status: Published online
Publisher: Elsevier BV
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.ememar.2022.100966

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