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Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies
(
Elsevier
, 2023 , Article)
This paper investigates the extreme dependence and risk spillovers between Bitcoin and the currencies of the BRICS and G7 economies. We find time-varying dependence between Bitcoin and all currencies. Moreover, when analysing ...
Green bonds’ connectedness with hedging and conditional diversification performance
(
Elsevier Ltd
, 2023 , Article)
Investments in green assets are becoming increasingly significant, and they present a new asset class for investors. Consequently, the resulting connectedness among these green assets has implications for investments. Our ...
Comovement and spillover among energy markets: A Comparison across different crisis periods
(
Elsevier B.V.
, 2023 , Article)
We compare the comovement and spillover between returns of six developed energy markets during different crisis periods using wavelet multiple correlation and wavelet multiple cross-correlation. The considered countries ...