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Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal
(
Elsevier Inc.
, 2019 , Article)
This study examines the diversification and hedging properties of Bitcoin (BTC) and gold assets for oil and S&P GSCI investors. We model and forecast the volatility performance of the pairs BTC–oil, gold–oil, BTC–S&P GSCI, ...
Can uncertainty indices predict Bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches
(
Elsevier Inc.
, 2019 , Article)
This paper uses bivariate and multivariate wavelet approaches to revisit the co-movements between the Volatility Uncertainty Index (VIX) and Bitcoin (BTC). This is achieved by accounting for the impacts of the three major ...
Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal
(
Elsevier
, 2019 , Article)
This study examines the diversification and hedging properties of Bitcoin (BTC) and gold assets for oil and S&P GSCI investors. We model and forecast the volatility performance of the pairs BTC-oil, gold-oil, BTC-S&P GSCI, ...