Quantile dependencies and connectedness between the gold and cryptocurrency markets: effects of the COVID-19 crisis
This paper examines the quantile dependence, connectedness, and return spillovers between gold and the price returns of leading cryptocurrencies, using quantile cross-spectral, the return spillovers based the quantile VAR, and quantile connectedness approaches. The results show that the dependencies...
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| Other Authors: | , , , |
| Format: | article |
| Published: |
2023
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| Online Access: | http://hdl.handle.net/10725/14976 https://doi.org/10.1016/j.ribaf.2023.101929 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.sciencedirect.com/science/article/pii/S0275531923000557 |
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