Whereas much research has largely investigated the safe haven, diversifier and hedge proprieties of cryptocurrency, very few papers have analyzed hedging issue cryptocurrency with other assets. As such, this paper attempts to investigate possibility if Bitcoin can be hedged by selected fiat currencies (EUR, JPY GBP) as prices experienced high persistent volatility. To do so, we compute optimal ...

Green bonds play a pivotal role in the financing of sustainable infrastructure systems. Likewise, CO 2 emissions and oil prices can cause an impact on green market. In order to better understand this issue, study analyzes relationship among bonds, futures’ prices, using daily data set that includes 2,206 observations corresponding information from 1 January 2014 15 June 2022. The Granger Causal...

Exchange rate volatility, or a continuous fluctuation in the currency has been major concern recent years due to its impact on economic activities. No wonder concerns have raised regarding connection between exchange fluctuations and their effects overall economy. The motivation for study is based fact that most emerging economies experiencing inflationary tendencies are more likely experience ...

We propose sparse DCC-GARCH and BEKK-GARCH models based on L 1 ${L}_{1}$ regularization. use the to study daily return volatility correlation spillovers for 24 constituents of Bloomberg commodity index in period 2000–2018. The outperform diagonal out-of-sample terms model fit other criteria. also test whether higher visibility metals energy markets compared with agricultural commodities affects...

This article quantifies the correlation between Bitcoin and NVIDIA using DCC-GARCH model during period of 2020-2023. We analyzed data from investing.com for this research. is a cryptocurrency based on blockchain technology, which involves mining by solving complex cryptographic puzzles. Mining refers to process verifying recording transactions through computation, acquiring newly generated Bitc...

Discussion Papers are a series of manuscripts in their draft form. They are not intended for circulation or distribution except as indicated by the author. For that reason Discussion Papers may not be reproduced or distributed without the written consent of the author. for financial support. This is an abridged and revised version of a paper entitled " Do we really need both BEKK and DCC? A tal...

This study examines the connectedness and time-frequency correlation of price volatility across Chinese stock market major commodity markets. paper applies a DCC-GARCH-based model cross-wavelet transform to examine transmission risk patterns in these markets before during COVID-19 outbreak, as well leading lag relationship synergistic movements between different time domains. First, findings DC...

To specifically analyze the impact of SSE 50 stock index futures on volatility underlying market, daily closing price China's and data from 2008-2022 are selected as samples, GARCH model, Granger causality test, DCC-GARCH model used for empirical analysis in conjunction with launch time futures. It is found that: intensifies spot market short run, but suppresses long risk to a certain extent; t...