Portfolio diversification with virtual currency: Evidence from bitcoin
Abstract
The paper investigates the proprieties of Bitcoin in the financial markets. Specifically, we explore the conditional cross effects and volatility spillover between Bitcoin and financial indicators using different multivariate GARCH specifications. The nature of interaction between Bitcoin and financial variables and their transmission mechanisms are taken into account when analyzing the diversification and hedging effectiveness across gold asset...
Paper Details
Title
Portfolio diversification with virtual currency: Evidence from bitcoin
Published Date
May 1, 2019
Volume
63
Pages
431 - 437
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