Symitsi, E orcid.org/0000-0001-6371-4156 and Chalvatzis, KJ (2018) Return, volatility and shock spillovers of Bitcoin with energy and technology companies. Economics Letters, 170. pp. 127-130. ISSN 0165-1765
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2018 Elsevier B.V. All rights reserved. This is an author produced version of a paper published in Economics Letters. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Bitcoin; Energy; Technology; Spillovers; Multivariate GARCH |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 04 Dec 2018 15:00 |
Last Modified: | 19 Dec 2019 01:38 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.econlet.2018.06.012 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:139550 |