Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies
نویسندگان
چکیده
This paper investigates the extreme dependence and risk spillovers between Bitcoin currencies of BRICS G7 economies. We find time-varying all currencies. Moreover, when analysing from to currencies, we that exercises significant power over most with South African rand Brazilian real holding both highest downside upside before during COVID-19 pandemic period, respectively. When considering towards Bitcoin, Japanese yen exhibits spillovers. Importantly, asymmetric upward downward movements. • study dependencies fiat considered
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ژورنال
عنوان ژورنال: Emerging Markets Review
سال: 2022
ISSN: ['1566-0141', '1873-6173']
DOI: https://doi.org/10.1016/j.ememar.2022.100966