عرض بسيط للتسجيلة

المؤلفAl-Yahyaee, Khamis Hamed
المؤلفMensi, Walid
المؤلفAl-Jarrah, Idries Mohammad Wanas
المؤلفHamdi, Atef
المؤلفKang, Sang Hoon
تاريخ الإتاحة2020-05-14T09:55:44Z
تاريخ النشر2019
اسم المنشورNorth American Journal of Economics and Finance
المصدرScopus
الرقم المعياري الدولي للكتاب10629408
معرّف المصادر الموحدhttp://dx.doi.org/10.1016/j.najef.2019.04.001
معرّف المصادر الموحدhttp://hdl.handle.net/10576/14830
الملخصThis 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, and gold–GSCI using five bivariate DCC-GARCH family models, two popular forecasting measures (MSE and MAE), the Diebold and Mariano (1995) test, and different risk measures (value-at-risk, expected shortfall, semivariance, and regret) for different portfolios. We find that BTC and gold provide diversification benefits for oil and S&P GSCI. Moreover, by comparing the fitting and forecast performances of the five GARCH models, we find that the standard GARCH model is the best for the gold–oil and BTC–S&P GSCI pairs, while the HYGARCH model is the best for the BTC–oil and gold–S&P GSCI pairs regardless of the time horizon. Finally, we find strong evidence of hedging effectiveness and downside risk reductions, confirming the importance of BTC and gold in oil and S&P GSCI portfolio management.
راعي المشروعThe last author acknowledges financial support from the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF- 2017S1A5A8019204 ). Appendix A
اللغةen
الناشرElsevier Inc.
الموضوعBitcoin
Commodity markets
Downside risk
Forecasting
Multivariate GARCH models
العنوانVolatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal
النوعArticle
الصفحات104-120
رقم المجلد49


الملفات في هذه التسجيلة

الملفاتالحجمالصيغةالعرض

لا توجد ملفات لها صلة بهذه التسجيلة.

هذه التسجيلة تظهر في المجموعات التالية

عرض بسيط للتسجيلة